BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Mathematical Sciences - ECPv6.15.18//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-ORIGINAL-URL:/math
X-WR-CALDESC:Events for Mathematical Sciences
REFRESH-INTERVAL;VALUE=DURATION:PT1H
X-Robots-Tag:noindex
X-PUBLISHED-TTL:PT1H
BEGIN:VTIMEZONE
TZID:America/Chicago
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20240310T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20241103T070000
END:STANDARD
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20250309T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20251102T070000
END:STANDARD
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20260308T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20261101T070000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250611T143000
DTEND;TZID=America/Chicago:20250611T163000
DTSTAMP:20260418T082149
CREATED:20250604T182125Z
LAST-MODIFIED:20250604T182125Z
UID:10016229-1749652200-1749659400@uwm.edu
SUMMARY:PhD Dissertation Defense: Mr. Steffen Domke
DESCRIPTION:Convergence Of A Numerical Scheme For Optimal Stopping Of A Diffusion Over A Finite Time-Horizon\nMr. Steffen Domke\nGraduate Student\nUniversity of Wisconsin-Milwaukee \nThis dissertation establishes an approximation scheme for finite time-horizon\nstopping problems involving a singular stochastic process on a compact state\nspace\, characterized by a singular martingale problem. The stopping problem\nis converted to a linear program (LP) with infinitely many constraints and\nvariables having infinite degrees of freedom. \nTo obtain a numerical solution\, the infinite-dimensional LP is converted\ninto a finite LP. The original LP is approximated by a sequence of finite LPs\,\nlimiting to both a finite set of constraints and a finite-dimensional solution\nspace. The value of an optimal approximate solution is shown to be arbitrarily\nclose to the optimal value of original LP\, and hence of the stopping probem\,\nwith increasing refinement of the approximation. Feasibility of the approximate\nsolutions is guaranteed due weak convergence of measures\, but only in the limit.\nThe problem of pricing an American floating strike lookback call option can be\nreformulated to fit the models covered by this dissertation. The price and the\nstopping boundary can therefore be approximated using this scheme. \nAdvisor:\nRichard Stockbridge \nCommittee Members:\nDavid Spade\, Lei Wang\, Jeb Willenbring\, and Chao Zhu
URL:/math/event/phd-dissertation-defense-mr-steffen-domke/
LOCATION:EMS Building\, Room W434\, W434; 3200 N Cramer St.\, Milwaukee\, WI\, 53211\, United States
CATEGORIES:Graduate Student Defenses
ORGANIZER;CN="The Department of Mathematical Sciences":MAILTO:math-staff@uwm.edu
X-TRIBE-STATUS:
GEO:43.0758771;-87.8858312
X-APPLE-STRUCTURED-LOCATION;VALUE=URI;X-ADDRESS=EMS Building Room W434 W434; 3200 N Cramer St. Milwaukee WI 53211 United States;X-APPLE-RADIUS=500;X-TITLE=W434; 3200 N Cramer St.:geo:-87.8858312,43.0758771
END:VEVENT
END:VCALENDAR