Optimal Stopping Reading Seminar

Fall 2021

Welcome to the Optimal Stopping Reading Seminar, run by the students of Columbia University.

This Fall we will continue studying Optimal Stopping Theory. We are going to read various books and papers, in particular Optimal Stopping and Free-Boundary Problems by Peskir and Shiryaev. Our talks will be held in hybrid form over Zoom and in Columbia University on Thursdays from 6p.m. to 7p.m. EDT.

This seminar is the continuation of the same seminar held in Summer - OS Seminar, Summer 2021.

If you would like to come or to be added on the mailing list, please email ggaitsgori@math.columbia.edu.

Next Seminar

Date and time Speaker Title and abstract
Thursday, October 14, 6:00p.m. EDT Ioannis Karatzas A class of stochastic control problems, and their relation to optimal stopping

We present a class of so-called “singular" stochastic control problems, which go a long way back to Bather and Chernoff in the 1960’s; then explain their rather unexpected connections to optimal stopping.

Past Seminars

Date and time Speaker Title and abstract
Thursday, September 30, 6:00p.m. EDT Everyone Organizational Meeting

Thursday, October 7, 6:00p.m. EDT Georgy Gaitsgori Recalling the summer seminars

Since we have already started the book, but our last seminar was two months ago, I have decided to dedicate our first seminar to recalling the materials we covered before. Thus today we will recall the last three seminars, using the presentations by Hindy, Lane, and myself. We will discuss what is an optimal stopping problem and how it can be related to free-boundary problems. Then we will discuss a few examples of such free-boundary problems and the issue of the uniqueness of their solution.