DYNSTOCH WORKSHOP 2013

PROGRAMME

Pdf-version for printing



Venue: Auditorium 4, The H.C. Ørsted Institute, Universitetsparken 5

Directions


Wednesday, April 17

12:30 - 14:00
LUNCH
14:00 - 14:30

Ernst Eberlein (University of Freiburg): TWO PRICE ECONOMIES
IN CONTINUOUS TIME
14:30 - 15:00

Markus Bibinger (Humboldt-Universität zu Berlin): VOLATITLITY
MATRIX ESTIMATION FROM NOISY OBSERVATIONS
15:00 - 15:30

Ernst August v. Hammerstein (University of Freiburg): OPTIMALITY
OF PAYOFFS IN LEVY MODELS.
15:30 - 16:00
BREAK
16:00 - 16:30


Alexander Schnurr (TU Dortmund): AN ORDINAL PATTERN
APPROACH TO DETECT AND TO MODEL DEPENDENCE
STRUCTURES BETWEEN FINANCIAL TIME SERIES
16:30 - 17:00

Hilmar Mai (Weierstrass Institute Berlin): MINIMAX ESTIMATION OF A
SUBORDINATOR'S DENSITY: UNIFORM RATES OF CONVERGENCE
17:00 - 17:30

Olivier Bouaziz (University of Paris 5): A LASSO ESTIMATOR FOR
EVENT-SPECIFIC RATE MODELS FOR RECURRENT EVENTS
17:30 - 18:00
Li Zhou (Université du Maine): ON APPROXIMATION OF BSDE
18:00 -          
WELCOME RECEPTION




Thursday, April 18


9:00 -   9:30

Nakahiro Yoshida (University of Tokyo): MARTINGALE EXPANSION
AND STATISTICS OF VOLATILITY
9:30 - 10:00

Kleptsyna Marina (Université du Maine): INFERENCE IN SYSTEMS
WITH MIXED FRACTIONAL BROWNIAN MOTION NOISES
10:00 - 10:30


Catherine Larédo (INRA & Université Paris Diderot): EQUIVALENCE
FOR NON PARAMETRIC DRIFT ESTIMATION OF A DIFFUSION
PROCESS AND ITS EULER SCHEME
10:30 - 11:00
BREAK
11:00 - 11:30

Adeline Samson (University Paris Descartes): PARAMETER ESTIMATION
IN THE STOCHASTIC MORRIS-LECAR NEURONAL MODEL
11:30 - 12:00

Masayuki Uchida (Osaka University): DISCRIMINANT ANALYSIS FOR
DISCRETELY OBSERVED STOCHASTIC DIFFERENTIAL EQUATIONS
12:00 - 12:30


Romain Guy (INRA & Université Paris Diderot): INFERENCE FOR PARTIALLY
AND DISCRETELY OBSERVED DIFFUSIONS WITH SMALL DIFFUSION
COEFFICIENT - APPLICATION TO EPIDEMICS
12:30 - 13:30
LUNCH
13:30 - 14:00
NETWORK MEETING
14:00 - 14:30


Valentine Genon-Catalot (University Paris Descartes): STATIONARY
DISTRIBUTIONS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
WITH RANDOM EFFECTS AND STATISTICAL APPLICATIONS
14:30 - 14:45

PRESENTATION OF POSTERS: Laura Sacerdote (University of Torino),
Ana Prior (University of Porto) and Maud Delattre (AgroParisTech).
14:45 - 15:15

Helle Sørensen (University of Copenhagen): PARAMETER ESTIMATION
FOR DIFFUSION PROCESSES WITH RANDOM EFFECTS
15:15 - 15:30

PRESENTATION OF POSTERS: Émeline Schmisser (Université Lille 1),
Imma Valentina Curato (University of Pisa)
15:30 - 17:30
POSTER SESSION WITH WINE
18:30 -          
CONFERENCE DINNER at Nørrebro Bryghus, Ryesgade 3, 2200 København N




Friday, April 19


9:00 -   9:30

Yury A. Kutoyants (Université du Maine): GOODNESS OF FIT TESTS FOR
STOCHASTIC PROCESSES WITH PARAMETRIC BASIC HYPOTHESIS
9:30 - 10:00


Dominique Dehay (University of Rennes): PARAMETRIC AND NON-
PARAMETRIC ESTIMATION PROBLEMS FOR SOME TIME-PERIODIC-
DRIFT LANGEVIN TYPE STOCHASTIC DIFFERENTIAL EQUATION
10:00 - 10:30

Hiroki Masuda (Kyushu University): ON OPTIMAL ESTIMATION OF
STABLE ORNSTEIN-UHLENBECK PROCESSES
10:30 - 11:00
Break
11:00 - 11:30


Petra Posedel (Zagreb School of Economics and Management): ASYMPTOTIC
ANALYSIS FOR OPTIMAL ESTIMATING FUNCTIONS FOR A CLASS OF
STOCHASTIC VOLATILITY MODELS WITH JUMPS
11:30 - 12:00


Benedikt Funke (TU Dortmund): ADAPTIVE NADARAYA-WATSON LIKE
ESTIMATORS FOR THE ESTIMATION OF THE DRIFT IN A JUMP
DIFFUSION MODEL
12:00 - 12:30

Mathias Trabs (Humboldt-Universität zu Berlin): EFFICIENCY IN
DECONVOLUTION AND LÉVY MODELS
12:30 - 14:00
LUNCH
14:00 - 14:30


Christian Schmidt (Heidelberg University): LIMIT THEOREMS FOR
NON-DEGENERATE U-STATISTICS OF CONTINUOUS
SEMIMARTINGALES
14:30 - 15:00

Gang Huang (University of Amsterdam): LIMIT THEOREMS FOR
REFLECTED ORNSTEIN-UHLENBECK PROCESSES
15:00 - 15:30

Mark Podolskij (Heidelberg University): VARIOUS LIMIT THEOREMS FOR
AMBIT PROCESSES
15:30 - 16:00
BREAK
16:00 - 16:30

Jakob Söhl (University of Cambridge): CONFIDENCE SETS IN
NONPARAMETRIC CALIBRATION OF EXPONENTIAL LÉVY MODELS
16:30 - 17:00

Moritz Schauer (Delft University of Technology & EURANDOM): GUIDED
PROPOSALS FOR SIMULATING DIFFUSION BRIDGES
17:00 - 17:30


John Schoenmakers (WIAS Berlin): SIMULATION OF CONDITIONAL
DIFFUSIONS VIA FORWARD-REVERSE STOCHASTIC
REPRESENTATIONS

This page was last updated on April 9, 2013.