DynStoch 2018

PROGRAMME

(pdf version : 2/Jun)

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.

Schedule

WEDNESDAY, 6 JUNE

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
  • Markus Bibinger
• 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
  • Katerina Papagiannouli

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
  • Alberto J. Coca
• S02.3 BERNSTEIN-VON MISES THEOREMS FOR COMPOUND POISSON PROCESSES Moved to S06.2
  • Jakob Söhl, Richard Nickl

18:30 | Reception at the City Museum and Old Town tour, on foot (amateur guidance)

THURSDAY, 7 JUNE

08:30-10:00 | Session S03 (room B017)

• Chair: Catherine Laredo
• S03.1 ON STABLE REGRESSION
  • Hiroki Masuda
• 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
  • Yury Kutoyants

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 CANCELLED
  • Peter 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

FRIDAY, 8 JUNE

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
  • Anna Melnykova
• 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
  • Jeannette H.C. Woerner
• 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