Monday, June 27 Monday Schedule of Contributed Paper Sessions

Time

A

Corwin East

B

State Street

C

Harbor

D

Corwin West

 

A1 - Branching Processes

 

Chaired by J.F. LeGall

B1 - Stochastic Modeling

in Physics and Biology I

Chaired by S. Kou

C1 - Random Matrices and
Related Processes

Chaired by P. Deift

D1 - Mathematical Finance I

 

Chaired by J. Vecer

2:00~2:20

Aldous

A critical branching process model for biodiversity

Ozbek
Decomposition of motor unit firing pattern with Kalman filtering

El-Karoui

Recent results about the largest eigenvalue of large random covariance matrices and statistical applications

Lee

Insider's hedging

in jump diffusion model

2:25~2:45

Harris J.
Branching Brownian motion

with absorption

Papavasiliou

Simulating multiscale systems

Kawczak

On spectrum of the

covariance operator for nilpotent Markov chain

Lim

Pricing derivative securities

in incomplete markets:

a simple approach

2:50~3:10

Harris S.
Application of `spines'

in branching diffusions

Piryatinska
Estimations of the parameters of the smoothly truncated Lvy distributions and their applications to EEG-sleep patterns of neonates

Liao

Simultaneous bootstrap confidence region for covariance matrix

Zitkovic

Financial equilibria in the semimartingale setting:

complete markets and markets

with withdrawal constraints

3:15~3:35

Yanev
Number of infinite N-ary subtrees

on Galton-Watson trees

Shcherbakov

Cooperative sequential absorption and related sequential Markov point processes

Rider

Gaussian fluctuations for non-Hermitian random matrix ensembles

Zhang

Continuous-time principal-agent
problems with hidden actions

3:35~3:50

Refreshments

 

A2 - Stochastic Analysis I

 

Chaired by H. Kaspi

B2 - Stochastic Modeling

in Physics and Biology II

Chaired by T. Warnow

C2 - Ruin and Gambling

 

Chaired by A. Puha

D2 - Stochastic Control

 

Chaired by D. Ocone

3:50~4:10

Zhou
Exit problems for reflected spectrally negative Lvy processes

Atzberger

A stochastic immersed boundary method for microscale biological fluid dynamics

Allaart

Prophet regions for uniformly bounded random variables

with random discounting

Hadjiliadis
Change-point detection in the Brownian motion model

with two-sided alternatives

4:15~4:35

Salminen

Integral functionals, occupation times and hitting times of diffusions

Kou

Stochastic modeling in single molecule biophysics

Krinik

Gambler's ruin with catastrophes

Weerasinghe

A bounded variation control problem for diffusion processes

4:40~5:00

Ryznar
Hitting distributions

of geometric Brownian motion

Yang

Canonical forms for identifying aggregated Markov models of single ion channel gating kinetics

Schweinsberg

Improving on bold play

when the gambler is restricted

Yao

Corrected random walk approximations to free boundary problems in optimal stopping

5:00~5:25

Bojchuk
On boundary functionals connected with crossing of the level by Lvy process

Nacu

Ant networks

Lu

Finite horizon ruin probability computation for heavy tailed distributions through corrected

diffusion approximation

Zamfirescu

Martingale approach to stochastic control with discretionary stopping


 

Tuesday, June 28 Tuesday Schedule of Contributed Paper Sessions

Time

A

Corwin East

B

State Street

C

Harbor

D

Corwin West

 

A3 - Interacting Particle Systems

Chaired by A.S. Sznitman

B3 - Information and

Related Topics

Chaired by A. Carter

C3 - Long-range Dependence

and Heavy-Tails

Chaired by M. Ryznar

D3 - Mathematical Finance II

 

Chaired by J. Zhang

2:00~2:20

Assing
The behavior of the critical second order field in the symmetric simple exclusion regime

Debowski

Excess entropy, ergodic decomposition, and universal codes

Didier

Gaussian stationary processes: discrete approximations, special wavelet decompositions and simulation

Figueroa-Lopez

On optimal portfolios in a Lvy market via fictitious completion

2:25~2:45

Kordzakhia
A predator-prey model on a homogeneous tree

Fabian
Core function of stationary non-Gaussian process

Kozubowski

Fractional Laplace motion

Ludkovski

Solving optimal switching problems by simulation

2:50~3:10

Loebus
Weak convergence of n-particle systems using bilinear forms

Jain

Simulation-based uniform estimates of value functions of Markov decision processes

Podgorski

Negative bionomial Lvy process

Meng

Optimal portfolio selection strategies in the presence of transaction costs

3:15~3:35

Rassoul-Agha
The random average process and random walk in a space-time random environment in one dimension

Rezaeian

The entropy rate of the hidden Markov process

Zanten

Representations of fractional Brownian motion

using vibrating strings

Palczewski

Impulsive control of portfolios

3:35~3:50

Refreshments

 

A4 - Stochastic Analysis II

Chaired by B. Rider

B4 - Time Series

Chaired by K. Podgorski

C4 - Limit Theorems

Chaired by J. Yukich

D4 - Mathematical Finance III

Chaired by G. Zitkovic

3:50~4:10

Delmas

Fragmentation associated to Lvy processes using snake

Di Lascio

Nonlinear ARMA doubly stochastic and state dependent models:

a new general approach to nonlinear time series analysis

Balan

A strong invariance principle

for associated random fields

Beutner

On the mean-variance hedging problem under transaction costs and the "No-free-lunch in L^2 condition

4:15~4:35

Erlihson

Limit shapes of coagulation-fragmentation processes on the set of partitions

Helan
Forecasting performance of asymmetric GARCH models

Bradley

On a stationary, triple-wise independent, absolutely regular counterexample

to the central limit theorem

Bishwal

The value of waiting to invest

under persistent shocks

4:40~5:00

Strum
A super-stable motion with infinite mean branching

Torrisi

Approximate and perfect simulation of spatial Hawkes processes

Carter

Approximating nonparametric regression experiments by

continuous Gaussian processes when the variance is unknown

Vecer

Crash options, rally options

5:05~5:25

Swanson
Weak convergence of the median of independent Brownian motions

 

 

 


 

Thursday, June 30 Thursday Schedule of Contributed Paper Sessions

Time

A

Corwin East

B

State Street

C

Harbor

D

Corwin West

 

A5 - Stochastic Analysis III

Chaired by G. O'Brien

B5 - Stochastic Networks

Chaired by P. Glynn

C5 - Extremes/Path Properties

Chaired by R. Bradley

D5 - Risk Theory

Chaired by M. Tehranchi

2:00~2:20

Cox
Skorokhod embeddings with Chacon-Walsh style constructions

Ghosh
Optimal controls for stochastic networks in heavy traffic

Herbin

Hlder regularity for a set-indexed fractional Brownian motion

Blanchet

Approximations for the distribution of infinite horizon discounted rewards

2:25~2:45

Kaspi
A characterization of the Infinitely divisible squared Gaussian processes

Kang

An invariance principle for semimartingale reflecting Brownian motions (SRBMs) in domains with piecewise smooth boundaries

Nardi

On the distribution of the maximum of a smooth Gaussian field

Molina

Risk measures for derivative securities on diffusion processes

2:50~3:10

Picard

About the

stochastic integral representation

of Wiener functionals

Puha
The fluid limit of an overloaded processor sharing queue

Sanz-Sole

Small perturbations of rough paths

of fractional Brownian motion

Chernobai

Modelling catastrophe claims with left-truncated severity distributions

3:15~3:35

Sauga

Anomalous mobility of Brownian particles in a tilted symmetric sawtooth potential

Xia

Poisson process approximation

in Jackson networks

Yukich

Central limit theorems for

convex hulls and maximal points

 

3:35~3:50

Refreshments

 

A6 - Stochastic Integrals

 

Chaired by R. Feldman

B6 - Filtering and Estimation

 

Chaired by J. Schweinsberg

C6 - Stochastic Partial

Differential Equations

Chaired by M. Chaleyat-Maurel

D6 - Mathematical Finance IV

 

Chaired by D. Duffie

3:50~4:10

Hult
Extremal behavior of stochastic integrals driven

by regularly varying Lvy processes

Bhattacharya
Weighted conditional least squares estimation and its asymptotic properties

for controlled branching processes

Bonnet

On some nonlinear SPDE's,

from branching particle systems

to fluid dynamics

Rossi

Contingent claims valuation in a class of nonnormal autoregressive multifactor forward rate models

4:15~4:35

Tin-Lam
The Henstock approach

to multiple stochastic integrals

Chigansky
What is always stable

in nonlinear filtering?

Gawarecki

A relationship between finite

and infinite dimensional stochastic differential equations

Durrleman

From implied to spot volatilities

4:40~5:00

Bishwal

Stochastic integration and truncated Hausdorff moment problem

Konecny

Optimal nonlinear and linear filtering of Poisson cluster processes

Lototsky

SPDEs, Wiener chaos,

and turbulent transport

Tehranchi

The term structure approach

to implied volatility