Stochastic Dynamics in Economics and Finance

Hausdorff Trimester Program

May 2 - August 23, 2013

Organizers: R. Amir, I. V. Evstigneev, K. R. Schenk-Hoppé

The trimester program offered a unique framework for research in the area of stochastic dynamics in economics and finance. It combined modern mathematics (probability, optimization, game theory, control, dynamical systems) with innovative modeling approaches in the social sciences. A central theme was the development of new models of market dynamics and equilibrium going beyond the classical Walrasian equilibrium paradigm and relying upon recent advances in strategic (game-theoretic) analysis, along with behavioral and evolutionary principles.

Four workshops contributed to the realization of the research program:

• 27-29 May 2013
  Stochastic Optimization: Models and Algorithms
  Organizers: Jofré, Rockafellar and Ziemba
• 17-20 June 2013
  Stochastic Dynamic Games with Applications in Economics and Finance
  Organizers: Amir, Kifer, Riedel and Vieille
• 15-18 July 2013
  Evolutionary Dynamics and Market Behavior
  Organizers: Hofbauer and Sorin
• 19-22 August 2013
  Modeling Market Dynamics and Equilibrium: New Challenges, New Horizons
  Organizers: Evstigneev and Schenk-Hoppé

Confirmed Senior Participants: E. J. Balder, I. Ekeland, S. D. Flåm, H. Föllmer, P. Hammond, T. Hens, W. Hildenbrand, J. Hofbauer, U. Horst, A. Jofré, M. Ali Khan, Yu. Kifer, S. Kusuoka, T. Lensberg, B. Moldovanu, A. Neyman, G. Peskir, F. Riedel, R. T. Rockafellar, A. N. Shiryaev, S. Sorin, Y. Sun, N. Vieille, J. Weibull, R. J.-B. Wets, N. Yannelis, H. Peyton Young, W. T. Ziemba