Impact of main ion pressure anisotropy on stellarator impurity transport
 Calvo, I Parra Diaz, F Velasco, J García-Regaña, J Nuclear Fusion volume 60 (11 Dec 2019)
Dependence on ion temperature of shallow-angle magnetic presheaths with
adiabatic electrons
 Geraldini, A Parra, F Militello, F Journal of Plasma Physics
The GALAH survey and Gaia DR2: dissecting the stellar disc's phase space by age, action, chemistry, and location
 Bland-Hawthorn, J Sharma, S Tepper-Garcia, T Binney, J Freeman, K Kos, J De Silva, D Ellis, S Lewis, G Asplund, M Buder, S Casey, A D'Orazi, V Duong, L Khanna, S Lin, J Lind, K Martell, S Ness, M Simpson, J Zucker, D Zwitter, T Kafle, P Quillen, A Ting, Y Wyse, R Monthly Notices of the Royal Astronomical Society volume 486 issue 1 1167-1191 (22 Jan 2019)
Non-locality, contextuality and valuation algebras: a general theory of disagreement
 Abramsky, S Caru, G Philosophical Transactions A: Mathematical, Physical and Engineering Sciences volume 377 issue 2157 (16 Sep 2019)
Search for Sources of Astrophysical Neutrinos Using Seven Years of
IceCube Cascade Events
 Aartsen, M Ackermann, M Adams, J Aguilar, J Ahlers, M Ahrens, M Alispach, C Andeen, K Anderson, T Ansseau, I Anton, G Argüelles, C Auffenberg, J Axani, S Backes, P Bagherpour, H Bai, X V, A Barbano, A Barwick, S Bastian, B Baum, V Baur, S Bay, R Beatty, J Becker, K Tjus, J BenZvi, S Berley, D Bernardini, E Besson, D Binder, G Bindig, D Blaufuss, E Blot, S Bohm, C Börner, M Böser, S Botner, O Böttcher, J Bourbeau, E Bourbeau, J Bradascio, F Braun, J Bron, S Brostean-Kaiser, J Burgman, A Buscher, J Busse, R Carver, T Chen, C Cheung, E Chirkin, D Clark, K Classen, L Coleman, A Collin, G Conrad, J Coppin, P Correa, P Cowen, D Cross, R Dave, P André, J Clercq, C DeLaunay, J Dembinski, H Deoskar, K Ridder, S Desiati, P Vries, K Wasseige, G With, M DeYoung, T Diaz, A Díaz-Vélez, J Dujmovic, H Dunkman, M Dvorak, E Eberhardt, B Ehrhardt, T Eller, P Engel, R Evenson, P Fahey, S Fazely, A Felde, J Filimonov, K Finley, C Franckowiak, A Friedman, E Fritz, A Gaisser, T Gallagher, J Ganster, E Garrappa, S Gerhardt, L Ghorbani, K Glauch, T Glüsenkamp, T Goldschmidt, A Gonzalez, J Grant, D Griffith, Z Günder, M Gündüz, M Haack, C Hallgren, A Halve, L Halzen, F Hanson, K Haungs, A Hebecker, D Heereman, D Heix, P Helbing, K Hellauer, R Henningsen, F Hickford, S Hignight, J Hill, G Hoffman, K Hoffmann, R Hoinka, T Hokanson-Fasig, B Hoshina, K Huang, F Huber, M Huber, T Hultqvist, K Hünnefeld, M Hussain, R In, S Iovine, N Ishihara, A Japaridze, G Jeong, M Jero, K Jones, B Jonske, F Joppe, R Kang, D Kang, W Kappes, A Kappesser, D Karg, T Karl, M Karle, A Katz, U Kauer, M Kelley, J Kheirandish, A Kim, J Kintscher, T Kiryluk, J Kittler, T Klein, S Koirala, R Kolanoski, H Köpke, L Kopper, C Kopper, S Koskinen, D Kowalski, M Krings, K Krückl, G Kulacz, N Kurahashi, N Kyriacou, A Labare, M Lanfranchi, J Larson, M Lauber, F Lazar, J Leonard, K Leszczyńska, A Leuermann, M Liu, Q Lohfink, E Mariscal, C Lu, L Lucarelli, F Lünemann, J Luszczak, W Lyu, Y Ma, W Madsen, J Maggi, G Mahn, K Makino, Y Mallik, P Mallot, K Mancina, S Mariş, I Maruyama, R Mase, K Maunu, R McNally, F Meagher, K Medici, M Medina, A Meier, M Meighen-Berger, S Menne, T Merino, G Meures, T Micallef, J Momenté, G Montaruli, T Moore, R Morse, R Moulai, M Muth, P Nagai, R Naumann, U Neer, G Niederhausen, H Nowicki, S Nygren, D Pollmann, A Oehler, M Olivas, A O'Murchadha, A O'Sullivan, E Palczewski, T Pandya, H Pankova, D Park, N Peiffer, P Heros, C Philippen, S Pieloth, D Pinat, E Pizzuto, A Plum, M Porcelli, A Price, P Przybylski, G Raab, C Raissi, A Rameez, M Rauch, L Rawlins, K Rea, I Reimann, R Relethford, B Renschler, M Renzi, G Resconi, E Rhode, W Richman, M Robertson, S Rongen, M Rott, C Ruhe, T Ryckbosch, D Rysewyk, D Safa, I Herrera, S Sandrock, A Sandroos, J Santander, M Sarkar, S Satalecka, K Schaufel, M Schieler, H Schlunder, P Schmidt, T Schneider, A Schneider, J Schröder, F Schumacher, L Sclafani, S Seckel, D Seunarine, S Shefali, S Silva, M Snihur, R Soedingrekso, J Soldin, D Song, M Spiczak, G Spiering, C Stachurska, J Stamatikos, M Stanev, T Stein, R Steinmüller, P Stettner, J Steuer, A Stezelberger, T Stokstad, R Stößl, A Strotjohann, N Stürwald, T Stuttard, T Sullivan, G Taboada, I Tenholt, F Ter-Antonyan, S Terliuk, A Tilav, S Tomankova, L Tönnis, C Toscano, S Tosi, D Trettin, A Tselengidou, M Tung, C Turcati, A Turcotte, R Turley, C Ty, B Unger, E Elorrieta, M Usner, M Vandenbroucke, J Driessche, W Eijk, D Eijndhoven, N Vanheule, S Santen, J Vraeghe, M Walck, C Wallace, A Wallraff, M Wandkowsky, N Watson, T Weaver, C Weindl, A Weiss, M Weldert, J Wendt, C Werthebach, J Whelan, B Whitehorn, N Wiebe, K Wiebusch, C Wille, L Williams, D Wills, L Wolf, M Wood, J Wood, T Woschnagg, K Wrede, G Xu, D Xu, X Xu, Y Yanez, J Yodh, G Yoshida, S Yuan, T Zöcklein, M The Astrophysical Journal: an international review of astronomy and astronomical physics (13 Nov 2019) http://arxiv.org/abs/1907.06714v1
Thu, 07 Nov 2019

16:00 - 17:00
L4

Sensitivity Analysis of the Utility Maximization Problem with Respect to Model Perturbations

Oleksii Mostovyi
(University of Connecticut)
Abstract

First, we will give a brief overview of the asymptotic analysis results in the context of optimal investment. Then, we will focus on the sensitivity of the expected utility maximization problem in a continuous semimartingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled by a general utility function, we obtain a second-order expansion of the value function, a first-order approximation of the terminal wealth, and construct trading strategies that match the indirect utility function up to the second order. If a risk-tolerance wealth process exists, using it as numeraire and under an appropriate change of measure, we reduce the approximation problem to a Kunita–Watanabe decomposition. Then we discuss possible extensions and special situations, in particular, the power utility case and models that admit closed-form solutions. The central part of this talk is based on the joint work with Mihai Sirbu.

Using maths for infectious disease epidemic forecasting

The 1918 Spanish influenza pandemic claimed around fifty million lives worldwide. Interventions were introduced to reduce the spread of the virus, but these were not based on quantitative assessments of the likely effects of different control strategies. One hundred years later, mathematical modelling is routinely used for forecasting and to help plan interventions during outbreaks in populations of humans, animals and plants.

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