The symposium takes place at Columbia University on the 20th and 21st of September, 2019.
Location for Friday: Room C06 on the C floor (basement) of the School of Social Work building, 1255 Amsterdam Avenue.
Location for Saturday: Room 903 on the 9th floor of the School of Social Work building, 1255 Amsterdam Avenue.
Philip Protter is a Professor in the Statistics Department of Columbia University. He studied at Yale (BA, 1971) and received his PhD in Mathematics from the University of California at San Diego, in 1975, under the supervision of Ronald K. Getoor. His working career began at Duke University for two years, then one year at the Institute for Advanced Study, and from there he moved to Purdue in 1978. In 2000 he moved to Cornell and in 2011 he moved to Columbia, in New York, where he happily remains.
Philip began his career enamored of French style probability, often known at the time as Strasbourg style, due to the influence of P.A. Meyer and C. Dellacherie. He was lucky to obtain a bourse from an NSF-CNRS joint program to go to Paris in 1979-80, where he met his wife and life partner, Diane Rubenstein. He also learned a lot more mathematics that year, from the seminars of H. Körezlioğlu and N. El Karoui, and his personal friendship with J. Jacod.
Working in what is now called stochastic analysis, Philip met Darrell Duffie at a math conference in Santa Cruz in the mid 1980s. Darrell asked him several questions which profoundly affected his future research efforts. He visited Madison in 1985-86 where he discovered Tom Kurtz had similar interests and began a longstanding interest in weak convergence of stochastic integrals and differential equations. This in turn led to his collaboration with Denis Talay and Jean Jacod and others on numerical methods of stochastic differential equations.
Regarding Philip’s book on stochastic integration, he wrote and re-wrote and re-wrote it again, from 1984 to 1990, benefiting from the selfless help of Svante Janson of Sweden, and his patient partner Diane, herself an accomplished author, and whose belief in him has sustained him.
The lectures of Hans Föllmer in Sigmundsberg in the early 1990s reinforced Philip’s nascent involvement in Mathematical Finance, and the subject gradually captured his interest to a large extent. He found an enthusiastic collaborator, Robert Jarrow, when he joined the faculty of Cornell University. It has been a joy working with Bob and sharing PhD students with him.
Indeed, Philip’s twenty-five PhD students, plus one in the making, are his proudest professional achievement. They form a miniature United Nations, coming from North and South America, Asia, Europe, and most recently Africa.
Photo credit: Zvi Landsman
Friday (at Room C06 on the C floor (basement) of the School of Social Work building, 1255 Amsterdam Avenue)
- 9:15 - 9:30 Richard Davis (opening)
- 9:30 - 10:10 Tom Kurtz: Keep the Particles.
- 10:15 - 10:55 Denis Talay: On a very Singular McKean-Vlasov Dynamics.
- Coffee break
- 11:15 - 11:55 Arturo Kohatsu-Higa: The IBP Formula for killed Diffusion Processes: A Tale Related to Philip's Switch.
- 12:00 - 12:40 Nicole El Karoui: Revealed Dynamic Utilities with Economic Equilibrium Illustration.
- Lunch break
- 14:15 - 14:55 Jean Jacod: High-Frequency Statistics for a Semimartingale with Jump Activity Varying with Time.
- 15:00 - 15:40 Aditi Dandapani: From Quadratic Hawkes Processes to Super-Heston Rough Volatility Models with Zumbach Effect.
- Coffee break
- 16:00 - 16:40 Bob Jarrow: Informational Efficiency with Trading Constraints: A Characterization.
- 16:45 - 17:25 Jin Ma: Philip's Work: Mathematical Finance throught the Lens of a Probabilist.
- 17:30 - 18:30 Reception (on the 10th floor of the same building)
Saturday (at Room 903 on the 9th floor of the School of Social Work building, 1255 Amsterdam Avenue)
- 10:15 - 10:55 Darrell Duffie: Size Discovery.
- 11:00 - 11:40 Jianfeng Zhang: Set Values for Nonzero Sum Games with Multiple Equilibriums.
- 11:45 - 12:25 Xin Guo: Bregman, Wasserstein, GANs, and MFGs.
- Snack/coffee break
- 13:00 - 13:40 Jaime San Martin: Uniqueness for a System of SDE.
- 13:45 - 14:25 Hans Föllmer: Probabilistic Encounters with Philip.
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