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LUNCH |
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Ernst Eberlein (University of Freiburg): TWO PRICE ECONOMIES IN CONTINUOUS TIME |
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Markus Bibinger (Humboldt-Universität zu Berlin): VOLATITLITY
MATRIX ESTIMATION FROM NOISY OBSERVATIONS |
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Ernst August v. Hammerstein (University of Freiburg): OPTIMALITY OF PAYOFFS IN LEVY MODELS. |
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BREAK |
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Alexander Schnurr (TU Dortmund): AN ORDINAL PATTERN APPROACH TO DETECT AND TO MODEL DEPENDENCE STRUCTURES BETWEEN FINANCIAL TIME SERIES |
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Hilmar Mai (Weierstrass Institute Berlin): MINIMAX ESTIMATION OF A
SUBORDINATOR'S DENSITY: UNIFORM RATES OF CONVERGENCE |
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Olivier Bouaziz (University of Paris 5): A LASSO ESTIMATOR FOR EVENT-SPECIFIC RATE MODELS FOR RECURRENT EVENTS |
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Li Zhou (Université du Maine): ON APPROXIMATION OF BSDE |
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WELCOME RECEPTION |
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Nakahiro Yoshida (University of Tokyo): MARTINGALE EXPANSION AND STATISTICS OF VOLATILITY |
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Kleptsyna Marina (Université du Maine): INFERENCE IN
SYSTEMS WITH MIXED FRACTIONAL BROWNIAN MOTION NOISES |
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Catherine Larédo (INRA & Université Paris Diderot):
EQUIVALENCE FOR NON PARAMETRIC DRIFT ESTIMATION OF A DIFFUSION PROCESS AND ITS EULER SCHEME |
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BREAK |
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Adeline Samson (University Paris Descartes): PARAMETER ESTIMATION IN THE STOCHASTIC MORRIS-LECAR NEURONAL MODEL |
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Masayuki Uchida (Osaka University): DISCRIMINANT ANALYSIS FOR DISCRETELY OBSERVED STOCHASTIC DIFFERENTIAL EQUATIONS |
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Romain Guy (INRA & Université Paris Diderot): INFERENCE FOR
PARTIALLY AND DISCRETELY OBSERVED DIFFUSIONS WITH SMALL DIFFUSION COEFFICIENT - APPLICATION TO EPIDEMICS |
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LUNCH |
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NETWORK MEETING |
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Valentine Genon-Catalot (University Paris Descartes): STATIONARY DISTRIBUTIONS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM EFFECTS AND STATISTICAL APPLICATIONS |
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PRESENTATION OF POSTERS: Laura Sacerdote (University of Torino), Ana Prior (University of Porto) and Maud Delattre (AgroParisTech). |
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Helle Sørensen (University of Copenhagen): PARAMETER ESTIMATION FOR DIFFUSION PROCESSES WITH RANDOM EFFECTS |
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PRESENTATION OF POSTERS: Émeline Schmisser (Université
Lille 1), Imma Valentina Curato (University of Pisa) |
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POSTER SESSION WITH WINE |
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CONFERENCE DINNER at Nørrebro Bryghus, Ryesgade 3, 2200 København N |
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Yury A. Kutoyants (Université du Maine): GOODNESS OF FIT
TESTS FOR STOCHASTIC PROCESSES WITH PARAMETRIC BASIC HYPOTHESIS |
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Dominique Dehay (University of Rennes): PARAMETRIC AND NON- PARAMETRIC ESTIMATION PROBLEMS FOR SOME TIME-PERIODIC- DRIFT LANGEVIN TYPE STOCHASTIC DIFFERENTIAL EQUATION |
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Hiroki Masuda (Kyushu University): ON OPTIMAL ESTIMATION OF STABLE ORNSTEIN-UHLENBECK PROCESSES |
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Break |
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Petra Posedel (Zagreb School of Economics and Management): ASYMPTOTIC ANALYSIS FOR OPTIMAL ESTIMATING FUNCTIONS FOR A CLASS OF STOCHASTIC VOLATILITY MODELS WITH JUMPS |
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Benedikt Funke (TU Dortmund): ADAPTIVE NADARAYA-WATSON LIKE
ESTIMATORS FOR THE ESTIMATION OF THE DRIFT IN A JUMP DIFFUSION MODEL |
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Mathias Trabs (Humboldt-Universität zu Berlin): EFFICIENCY
IN DECONVOLUTION AND LÉVY MODELS |
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LUNCH |
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Christian Schmidt (Heidelberg University): LIMIT THEOREMS FOR NON-DEGENERATE U-STATISTICS OF CONTINUOUS SEMIMARTINGALES |
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Gang Huang (University of Amsterdam): LIMIT THEOREMS FOR REFLECTED ORNSTEIN-UHLENBECK PROCESSES |
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Mark Podolskij (Heidelberg University): VARIOUS LIMIT THEOREMS FOR AMBIT PROCESSES |
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BREAK |
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Jakob Söhl (University of Cambridge): CONFIDENCE SETS IN NONPARAMETRIC CALIBRATION OF EXPONENTIAL LÉVY MODELS |
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Moritz Schauer (Delft University of Technology & EURANDOM): GUIDED PROPOSALS FOR SIMULATING DIFFUSION BRIDGES |
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John Schoenmakers (WIAS Berlin): SIMULATION OF CONDITIONAL DIFFUSIONS VIA FORWARD-REVERSE STOCHASTIC REPRESENTATIONS |