STOCHASTIC DAYS
In honor of Albert Shiryaev's 85th birthday
14 – 15 October 2019, Steklov Mathematical Institute, Moscow
On 14–15 October 2019, Conference "Stochastic Days" in honor of Professor Albert Nikolaevich Shiryaev's 85th birthday will be held at Steklov Mathematical Institute in Moscow.
The topics of the conference include stochastic calculus, statistics of random processes, optimal stopping theory, martingales, financial mathematics. Talks will be presented by pupils and colleagues Albert Shiryaev.
We invite researchers specializing in probability theory, statistics, stochastic process and financial mathematics to attend the conference.
Conference program
Monday, 14 October 2019
9:30 – 9:40 |
Opening (Dmitry Treschev) |
9:40 – 10:20 |
Jean Jacod: High-frequency statistics for a semimartingale with jump activity varying with time |
10:20 – 11:00 |
Martin Schweizer: Some thoughts about absence of arbitrage |
11:00 – 11:20 |
Coffee break |
11:20 – 12:00 |
Mikhail Urusov: The EMCEL scheme for approximating irregular SDEs and general diffusions |
12:00 – 12:40 |
Evgeny Burnaev: Wasserstein-2 generative networks |
12:40 – 13:20 |
Vladimir Piterbarg: On maximums of Gaussian fields. Application to processes of Bessel type |
13:20 |
Lunch |
Tuesday, 15 October 2019
9:30 – 10:10 |
Robert Dalang: An optimal detection problem with switching |
10:10 – 10:50 |
Ernst Eberlein: Variable annuities in a Levy-based hybrid model with surrender risk |
10:50 – 11:10 |
Coffee break |
11:10 – 11:50 |
Jordan Stoyanov: Non-conventional limits of random sequences via semi-invariants and/or moments |
11:50 – 12:30 |
Dmitry Shabanov: Concentration of the chromatic number of a random graph |
12:30 – 13:10 |
Lioudmila Vostrikova: On distributions of exponential functionals of the processes with independent increments |
13:10 – 14:30 |
Lunch |
14:30 – 15:10 |
Pavel Yaskov: On fractional Brownian motion, Brownian motion with square root drift, and Gaussian multiplicative chaos |
15:10 – 15:50 |
Mikhail Zhitlukhin: Relatively optimal strategies in a market with competition |
15:50 |
Closing and celebration |
Venue
Conference Hall of Steklov Mathematical Institute, 9th floor, 8 Gubkina St., Moscow
Contact
Organizers: Pavel Yaskov, Mikhail Zhitlukhin, Vera Timofeeva
E-mail:
sdays@mi-ras.ru
Sponsor