[grads] [Seminar-coll] Department Colloquium Monday, January 23, 2017: Igor Cialenco, 1:50pm RE 104

Robert Ellis rellis at math.iit.edu
Fri Jan 20 22:24:29 CST 2017

Dear all,

Please join the Department of Applied Mathematics for our colloquium this
coming Monday at 1:50pm in RE 104 (formerly E1 104).  Graduate students
interested in mathematical finance are especially encouraged to attend.
Note the room change from the fall semester.

*Time:* Monday, January 23, 1:50pm-2:55pm
*Location:* RE 104 (Rettaliata Engineering Center)
Coffee and cookies afterward in RE 112 until 3:30pm
*Speaker:* Igor Cialenco, Associate Professor of Applied Mathematics,
Illinois Institute of Technology

*Title:*  Time Consistency in Decision Making

The speaker will discuss the time consistency related to dynamic decision
making subject to various uncertainties that evolve in time. Typically,
decisions are made subject to the decision maker's preferences, which may
change in time and thus they need to be progressively assessed as an
integral part of the decision making process. Naturally, the assessment of
preferences should be done in such a way that the future preferences are
assessed consistently with the present ones. Traditionally, in finance and
economics, the preferences are aimed at ordering cash and/or consumption
streams. A convenient way to study preferences is to study them via
numerical representations, such as (dynamic) risk measures, and (dynamic)
performance measures. The speaker proposes a new flexible framework
allowing for a unified study of time consistency of these measures, but
also suited for a large class of maps. The time consistency is defined in
terms of an update rule, a notion that would be discussed into details and
illustrated through various examples. Additionally, The speaker will give a
fair overview of some known and popular existing forms of time consistency
and the connections between them. This is a joint work with Tomasz R.
Bielecki and Marcin Pitera.

*Speaker Bio*Igor Cialenco is an Associate Professor of Applied Mathematics
at IIT, and also the Director of Graduate Studies and the Co-Director of
the Mathematical Finance Program (with Tomasz Bielecki).  His research
interests include probability and stochastic processes, stochastic PDEs,
risk measures and models, and operator theory.

Robert B. Ellis, PhD
Assoc. Prof., IIT Applied Mathematics
10 W 32nd St, E1 208, Chicago, IL 60637
rellis at math.iit.edu
http://math.iit.edu/~rellis <http://math.iit.edu/%7Erellis/>
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