Stochastic Models & Control Workshop
March 23-26, 2026 · Tegernsee
About the Workshop

Aims and Scope

The Workshop on Stochastic Models and Control is a well-established international conference that has brought together leading researchers and experts in stochastic control and optimization since 1994.

Held biennially, the workshop provides a forum for discussing recent theoretical advances and their applications in areas such as game theory, operations research, finance, and engineering.

A central objective of SMC is to foster scientific exchange, interdisciplinary collaboration, and the connection between fundamental research and practical applications.

Scientific Program

Invited Speakers

Eduardo Abi Jaber
Ecole Polytechnique
Hedging with Memory using Signatures
Samuel Cohen
University of Oxford
Neural Networks, PDEs and Control
Christa Cuchiero
University of Vienna
Dynamic universal approximation and modeling with neural and signature SDEs
Roxana Dumitrescu
ENSAE Paris
Fast-slow mean-field games with common noise
Michaela Hitz
University of Klagenfurt
An optimal transport approach to quantifying model uncertainty of SDEs
Anna Jaskiewicz
Wrocław University
Deterministic semi-Markov strategies in multiple objective Markov decision processes
Johannes Muhle-Karbe
Imperial College London
A unified theory of order flow, market impact and volatility
Jan Palczewski
Politechnika Wrocławska
When to Stop and Who Knows What? Zero-sum Optimal Stopping Games with Secrets
Mete Soner
Princeton University
Finite and Mean-Field Games with Discrete State Spaces
Sara Svaluto-Ferro
University of Verona
Signature-based models: theory, calibration, and expansions
Raúl Tempone
KAUST
Belief-Space Stochastic Optimal Control with Discrete-Time Observations: Interlaced HJB and Pontryagin Principles
Program

Schedule

Titles and abstracts of the talks can be found in the Workshop Booklet.

Day 0 · Monday, March 23
17:30–19:00
Welcome Reception
Day 1 · Tuesday, March 24
08:45–09:00
Opening Remarks
09:00–09:40
Samuel Cohen
Neural Networks, PDEs and Control
09:40–10:00
Jackson Hebner
Deep Hilbert Galerkin methods for PDEs on Hilbert spaces via derivative-informed operator learning with applications to stochastic optimal control of infinite-dimensional systems
10:00–10:20
Filippo de Feo
Derivative-informed Hilbert neural operators solve PDEs on Hilbert spaces and infinite-dimensional optimal control problems
10:20–10:40
Christian Laudagé
When risk defies order: On the limits of fractional stochastic dominance
10:40–11:10
Coffee Break
11:10–11:50
Eduardo Abi Jaber
Hedging with Memory and Signatures
11:50–12:10
Alexander Kalinin
Stochastic Volterra equations with random functional coefficients in Banach spaces
12:10–12:30
Laura Voß
Learning to Stop Multivariate Diffusions in Continuous Time via Nonparametric Estimation
12:30–12:50
Tobias Lausser
Optimal investment under stochastic volatility models in discrete time
12:50–14:00
Lunch Break
14:00–14:40
Raúl Tempone
Belief-Space Stochastic Optimal Control with Discrete-Time Observations: Interlaced HJB and Pontryagin Principles
14:40–15:00
Saifeddine Ben Naamia
A Pontryagin Maximum Principle on the Belief Space for Continuous-Time Stochastic Optimal Control Problems with Discrete Observations
15:00–15:20
Eya Ben Amar
Hierarchical Importance Sampling for Estimating Rare Event Probabilities in SDE Solutions
15:20–15:50
Coffee Break
15:50–16:30
Michaela Hitz
An optimal transport approach to quantifying model uncertainty of SDEs
16:30–16:50
Manuel Hasenbichler
The Martingale Sinkhorn Algorithm
Day 2 · Wednesday, March 25
09:00–09:40
Roxana Dumitrescu
Fast-slow mean-field games with common noise
09:40–10:00
Philip Biegel
Expected Utility Spreads in a Black-Scholes Type Market with Drift Uncertainty
10:00–10:20
Sascha Desmettre
Equilibrium investment under dynamic preference uncertainty
10:20–10:40
Lukas Eichhorn
Robustifying Expert Opinions for Portfolio Optimization with Partial Information
10:40–11:10
Coffee Break
11:10–11:50
Christa Cuchiero
Dynamic universal approximation and modeling with neural and signature SDEs
11:50–12:30
Sara Svaluto–Ferro
Signature-based models: theory, calibration, and expansions
12:30–12:50
Jörn Sass
Regulation of Emission Trading Systems
12:50–14:00
Lunch Break
14:00–16:30
Social Event
Guided Brewery or Distillery Tour
17:00–20:00
Workshop Dinner
Day 3 · Thursday, March 26
09:00–09:40
Mete Soner
Finite and Mean-Field Games with Discrete State Spaces
09:40–10:00
Felix Hoefer
Markov Perfect Equilibria in Discrete Finite-Player and Mean-Field Games
10:00–10:20
Sebastian Zimper
Mean-field optimal control with stochastic leaders
10:20–10:40
Gemma Sedrakjan
Trading with the flow: Optimal execution and liquidity provision in a stylized limit order book model
10:40–11:10
Coffee Break
11:10–11:50
Anna Jaśkiewicz
Deterministic semi-Markov strategies in multiple objective Markov decision processes
11:50–12:10
Athanasios Vasileiadis
Markov Decision Processes of the Third Kind: Learning Distributions by Policy Gradient Descent
12:10–12:30
Florian Döttling
A Hot Topic: Modeling Prosumer Heat Storage with a Markov Decision Process
12:30–12:50
Alexander Schütt
Deep Duality Methods for Constrained Optimal Portfolios
12:50–14:00
Lunch Break
14:00–14:40
Jan Palczewski
When to Stop and Who Knows What? Zero-sum Optimal Stopping Games with Secrets
14:40–15:00
Philip Le Borne
Learning to steer with Brownian noise
15:00–15:20
Sven Karbach
Semi-Static Variance-Optimal Hedging of Correlation Risk
15:20–15:50
Coffee Break
15:50–16:30
Johannes Muhle Karbe
A unified theory of order flow, market impact and volatility
16:50–17:00
Closing Remarks
Organizing Committee

Contact

In case you have any questions, please contact the local organizers via bettina.haas@tum.de

Local Organizers:

Christoph Knochenhauer (TUM)

Bettina Haas (TUM)

Program Committee:

Nicole Bäuerle (Karlsruhe Institute of Technology)

Sören Christensen (University of Kiel)

Jörn Sass (RPTU Kaiserslautern-Landau)

Stefan Thonhauser (Graz University of Technology)

Ralf Wunderlich (Brandenburg University of Technology Cottbus-Senftenberg)