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 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 
ElKaroui 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. 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. in branching diffusions 
Piryatinska 
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 on GaltonWatson trees 
Shcherbakov Cooperative sequential
absorption and related sequential Markov point processes 
Rider Gaussian fluctuations
for nonHermitian random matrix ensembles 
Zhang Continuoustime
principalagent 
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 
Atzberger A stochastic immersed
boundary method for microscale biological fluid dynamics 
Allaart Prophet regions for
uniformly bounded random variables with random discounting 
Hadjiliadis with twosided
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 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 
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
 Longrange Dependence and HeavyTails Chaired by M. Ryznar 
D3  Mathematical
Finance II Chaired by J. Zhang 
2:00~2:20 
Assing 
Debowski Excess entropy, ergodic
decomposition, and universal codes 
Didier Gaussian stationary
processes: discrete approximations, special wavelet decompositions and
simulation 
FigueroaLopez On optimal portfolios in
a Lévy market via fictitious completion 
2:25~2:45 
Kordzakhia 
Fabian 
Kozubowski Fractional Laplace
motion 
Ludkovski Solving optimal
switching problems by simulation 
2:50~3:10 
Loebus 
Jain Simulationbased uniform
estimates of value functions of Markov decision processes 
Podgorski Negative bionomial Lévy
process 
Meng Optimal portfolio
selection strategies in the presence of transaction costs 
3:15~3:35 
RassoulAgha 
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 Lévy 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 meanvariance
hedging problem under transaction costs and the "Nofreelunch in L^2
condition 
4:15~4:35 
Erlihson Limit shapes of
coagulationfragmentation processes on the set of partitions 
Helan 
Bradley On a stationary,
triplewise independent, absolutely regular counterexample to the central limit
theorem 
Bishwal The value of waiting to
invest under persistent shocks 
4:40~5:00 
Strum 
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 



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 
Ghosh 
Herbin Hölder regularity for a
setindexed fractional Brownian motion 
Blanchet Approximations for the
distribution of infinite horizon discounted rewards 
2:25~2:45 
Kaspi 
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 
SanzSole Small perturbations of
rough paths of fractional Brownian
motion 
Chernobai Modelling catastrophe
claims with lefttruncated 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.
ChaleyatMaurel

D6  Mathematical
Finance IV Chaired by D. Duffie 
3:50~4:10 
Hult by regularly varying
Lévy processes 
Bhattacharya 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 
TinLam to multiple stochastic
integrals 
Chigansky 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 