17. Doktorand:innentreffen der Stochastik

Session

Session A1 Stochastics

3 Aug 2022, 13:30

HS 3 (Universität Klagenfurt)

Conveners

Session A1 Stochastics: Chair: Anna Paula Kwossek

• Mohamed Elfatih Hady (BTU Cottbus-Senftenberg)
• Kristof Wiedermann (TU Wien)
• Kathrin Spendier (Universität Klagenfurt)

Description

Kathrin Spendier,
Verena Schwarz,
Iris

Contribution list Timetable

39. An SMP-Based Algorithm for Solving the Constrained Utility Maximization Problem via Deep Learning

03/08/2022, 13:30

Stochastics

Talk

We consider the utility maximization problem under convex constraints with regard to theoretical results which allow the formulation of algorithmic solvers which make use of deep learning techniques. In particular for the case of random coefficients, we prove a stochastic maximum principle (SMP) generalizing the SMP proved by Li and Zheng (2018). We use this SMP together with the strong...

20. Deep neural network discretization of the Wong-Zakai approximation of stochastic differential equations

03/08/2022, 14:00

Stochastics

Talk

In recent years, deep neural networks (DNNs) have been successfully used in many computational problems including, for example, fraud detection or pattern recognition. DNN algorithms have been also proven to be enormously successful in overcoming the curse of dimensionality, in particular for solving Kolmogorov-type partial differential equations in hundreds of dimensions in reasonable...

31. Stochastic Optimal Control of Occupational Pension Funds Under Dynamic Risk Constraints

03/08/2022, 14:30

Stochastics

Talk

In this presentation we consider occupational pension funds provided by a company to its employees. A special feature of such pension funds is that collectives of insured persons are typically smaller and benefit payments depend on seniority and salary of the insured.
Therefore, temporal fluctuations of the composition of the collective of insured persons w.r.t. age, seniority and ...