The conference will start on the 6 June, after lunch, and will end on 8 June around 18h00. Registration starts on the 6 June at 10h00.
10:00-12:00 | Registration (room I-105)
12:00-13:30 | Lunch
13:00-14:00 | Registration (room I-105)
13:30-15:35 | Opening | Session S01 (room B017)
- Chair: Valentine Genon‐Catalot
- S01.1 INFERENCE ON PRICE AND VOLATILITY JUMPS IN NOISY SEMI-MARTINGALE MODELS
- S01.2 THE NULL HYPOTHESIS OF COMMON JUMPS IN CASE OF IRREGULAR AND ASYNCHRONOUS OBSERVATIONS
- Ole Martin, Mathias Vetter
- S01.3 EFFICIENT ESTIMATION FOR JUMP-DIFFUSIONS
- Nina Munkholt Jakobsen, Michael Sørensen
- S01.4 MINIMAX RATES OF CONVERGENCE FOR THE ESTIMATION OF CO-INTEGRATED VOLATILITY IN THE CASE OF A MULTIDIMENSIONAL LEVY PROCESS
15:35-16:00 | Coffee break (room I-105)
16:00-17:30 | Session S02 (room B017)
- Chair: Markus Bibinger
- S02.1 APPROXIMATION OF THE INVARIANT MEASURE OF AN SDE WITH SUB-GAUSSIAN JUMPS
- Dasha Loukianova, Arnaud Gloter, Igor Honoré
- S02.2 ADAPTIVE NONPARAMETRIC ESTIMATION OF COMPOUND POISSON PROCESSES OBSERVED DISCRETELY AT ARBITRARY FREQUENCIES
- S02.3
BERNSTEIN-VON MISES THEOREMS FOR COMPOUND POISSON PROCESSES Moved to S06.2Jakob Söhl, Richard Nickl
18:30 | Reception at the City Museum and Old Town tour, on foot (amateur guidance)
08:30-10:00 | Session S03 (room B017)
- Chair: Catherine Laredo
- S03.1 ON STABLE REGRESSION
- S03.2 ESTIMATING FUNCTIONS FOR SDE DRIVEN BY STABLE LÉVY PROCESSES
- Emmanuelle Clément, Arnaud Gloter
- S03.3 QUASI LIKELIHOOD ANALYSIS OF RATIO MODELS AND LIMIT ORDER BOOK
- Nakahiro Yoshida, Ioane Muni Toke
10:00-10:30 | Coffee break (room I-105)
10:30-12:00 | Session S04 (room B017)
- Chair: Hiroki Masuda
- S04.1 STATE-DEPENDENT JUMP ACTIVITY ESTIMATION FOR MARKOVIAN JUMP DIFFUSIONS
- Fabian Mies, Ansgar Steland
- S04.2 WASSERSTEIN AND TOTAL VARIATION DISTANCE FOR LÉVY PROCESSES
- Ester Mariucci, Markus Reiss
- S04.3 ON RADIOACTIVE SOURCE LOCALIZATION
12:00-13:30 | Lunch
13:30-15:30 | Session S05 (room B013)
- Chair: Jeanette Woerner
- S05.1 HYBRID ESTIMATORS FOR ERGODIC DIFFUSION PROCESSES FROM THINNED DATA
- Masayuki Uchida, Yusuke Kaino
- S05.2 ADAPTIVE NON PARAMETRIC DRIFT ESTIMATION OF AN INTEGRATED JUMP DIFFUSION PROCESS
- Émeline Schmisser, Benedikt Funke
- S05.3 A NONPARAMETRIC ESTIMATION METHOD FOR SDE MODELS
- Patrícia A. Filipe, Carlos A. Braumann
- S05.4 ESTIMATION ON A NEW JUMP DIFFUSION MODEL DRIVEN BY A HAWKES PROCESS
- Sarah Lamler, Charlotte Dion
15:30-15:50 | Coffee break (room I-105)
15:50-16:05 | DynStoch meeting (room I-105)
16:10-18:10 | Session S06 (room B013)
- Chair: Frank van der Meulen
- S06.1 NONPARAMETRIC BAYESIAN INFERENCE FOR LÉVY SUBORDINATORS
- Moritz Schauer, Denis Belomestny, Shota Gugushvili, Peter Spreij
S06.2 NONPARAMETRIC BAYESIAN VOLATILITY ESTIMATION CANCELLEDPeter Spreij, Shota Gugushvili, Moritz Schauer, Frank van der Meulen
- S06.2 BERNSTEIN-VON MISES THEOREMS FOR COMPOUND POISSON PROCESSES
- Jakob Söhl, Richard Nickl
- S06.3 BAYESIAN INFERENCE FOR DIFFUSION PROCESSES: USING HIGHER-ORDER APPROXIMATIONS FOR TRANSITION DENSITIES
- Susanne Pieschner, Christiane Fuchs
- S06.4 EXACT BAYESIAN INFERENCE FOR PARTIALLY AND SPARSELY OBSERVED DIFFUSIONS
- Marcin Mider, Paul Jenkins, Murray Pollock, Gareth Roberts
20:00 | Conference Dinner
08:30-10:00 | Session S07 (room B017)
- Chair: Mark Podolskij
- S07.1 LIPSCHITZ-KILLING CURVATURES OF EXCURSION SETS FOR TWO DIMENSIONAL RANDOM FIELDS
- Céline Duval, Hermine Biermé, Elena di Bernardino, Anne Estrade
- S07.2 MULTICLASS SUPERVISED CLASSIFICATION METHODS FOR DIFFUSION PATHS: A SMALL OBSERVATION TIME STRATEGY
- Christophe Denis, Charlotte Dion, Miguel Martinez
- S07.3 SAMPLE CROSS-COVARIANCES OF RANDOM-COEFFICIENT AR(1) PROCESSES
- Vytauté Pilipauskaité, Donatas Surgailis
10:00-10:30 | Coffee break (room I-105)
10:30-12:00 | Session S08 (room B017)
- Chair: Paula Milheiro‐Oliveira
- S08.1 PARAMETRIC INFERENCE FOR MULTIDIMENSIONAL HYPOELLIPTIC DIFFUSION WITH FULL OBSERVATIONS
- S08.2 PARAMETER ESTIMATION FOR SPDEs BASED ON DISCRETE OBSERVATIONS IN TIME AND SPACE
- Florian Hildebrandt, Mathias Trabs
- S08.3 EMPIRICAL L2-DISTANCE TEST STATISTICS FOR ERGODIC DIFFUSIONS
- Alessandro De Gregorio, Stefano Iacus
12:00-13:30 | Lunch
13:30-15:30 | Session S09 (room B017)
- Chair: Alexander Schnurr
- S09.1 EXACT SPECTRAL ASYMPTOTICS OF FRACTIONAL PROCESSES WITH APPLICATIONS TO INFERENCE
- Pavel Chigansky, Marina Kleptsyna, Dmytro Marushkevych
- S09.2 ESTIMATION FOR DIFFUSION PROCESSES PARTIALLY OBSERVED WITH MEASUREMENT ERRORS. APPLICATIONS TO EPIDEMICS
- Maud Delattre, Catherine Laredo, Romain Narci, Elisabeta Vergu
- S09.3 ACCURACY IN FILTERING PROBLEMS FOR FRACTIONAL SIGNALS IN WHITE NOISE
- Dmytro Marushkevych, Marina Kleptsyna, Pavel Chigansky
- S09.4 CONTINUOUS-DISCRETE SMOOTHING OF DIFFUSIONS
- Frank van der Meulen, Moritz Schauer
15:30-16:00 | Coffee break (room I-105)
16:00-18:00 | Session S10 (room B017)
- Chair: Michael Sørensen
- S10.1 ESTIMATION OF THE DRIFT FOR FRACTIONAL ORNSTEIN-UHLENBECK PROCESSES WITH PERIODIC MEAN STRUCTURE
- Radomyra Shevchenko, Jeannette Woerner
- S10.2 NON-PARAMETRIC INFERENCE FOR CONTINUOUS-TIME MOVING AVERAGE PROCESSES
- S10.3 MINIMAL CONTRAST ESTIMATION OF THE FRACTIONAL STABLE MOTION
- Mathias Ljungdahl, Mark Podolskij
- S10.4 ON LIMIT THEORY FOR FUNCTIONALS OF STATIONARY INCREMENTS LÉVY DRIVEN MOVING AVERAGES
- Mark Podolskij, Andreas Basse-O'Connor, Claudio Heinrich
18:00 | Closing
Photo by Michell Zappa