The conference starts 9:00h on 12 June and will end around 17:00h on 14 June. Registration starts on 12 June at 08:45.
On Wednesday the registration will be in the entrance hall of Mekelweg 4. On Thursady and Friday the registation will be opposite to lecture hall Pi in Mekelweg 4.
All talks will be in lecture hall Pi in Mekelweg 4.
08:45-09:20 Registration
09:20-10:30 | Opening | Session S01
- Chair: Frank van der Meulen
- S01.1 ON OPTIMAL ESTIMATION OF CERTAIN RANDOM QUANTITIES
- Mark Podolskij, Jevgenijs Ivanovs
- S01.2 FUNCTIONAL CENTRAL LIMIT THEOREMS FOR MULTIVARIATE BESSEL PROCESSES
- Jeannette Woerner, Michael Voit
10:30-11:00 | Coffee break
11:00-12:00 | Session S02
- Chair: Mark Podolskij
- S02.1 ESTIMATING LONG MEMORY IN RANDOM-COEFFICIENT AR(1) PANEL
- Vytautė Pilipauskaitė, Remigijus Leipus, Anne Philippe, Donatas Surgailis
- S02.2 PARAMETRIC ESTIMATION FOR AN INTEGRATED SIGNAL-PLUS-NOISE MODEL FROM DISCRETE TIME OBSERVATIONS
- Dominique Dehay, K. El Waled, V. Monsan
12:00-13:30 | Lunch (Café LABS)
13:30-15:00 | Session S03
- Chair: Valentine Genon-Catalot
- S03.1 GLOBAL JUMP FILTERS AND QUASI LIKELIHOOD ANALYSIS FOR VOLATILITY
- Nakahiro Yoshida, Haruhiko Inatsugu
- S03.2 UNBIASED TRUNCATED QUADRATIC VARIATION FOR VOLATILITY ESTIMATION IN JUMP DIFFUSION PROCESSES
- Chiara Amorino, Arnaud Gloter
- S03.3 IS VOLATILITY ROUGH? INFERENCE ON THE REGULARITY OF STOCHASTIC FRACTIONAL VOLATILITY
- Markus Bibinger, Moritz Jirak
15:00-15:30 | Coffee break
15:30-17:00 | Session S04
- Chair: Shota Gugushvili
- S04.1 STATISTICAL ESTIMATION OF THE INPUT TO A QUEUE DRIVEN BY A LÉVY PROCESS BY POISSON SAMPLING OF THE WORKLOAD
- Liron Ravner, Onno Boxma, Michel Mandjes, Cornelia Wichelhaus
- S04.2 PARAMETER ESTIMATION FOR THE ROSENBLATT ORNSTEIN-UHLENBECK PROCESS WITH PERIODIC MEAN
- Radomyra Shevchenko, Ciprian Tudor
- S04.3 SHARP LARGE DEVIATIONS FOR THE DRIFT PARAMETER OF THE EXPLOSIVE COX-INGERSOLL-ROSS PROCESS
- Marie du Roy de Chaumaray
17:15 Reception (PSOR café)
09:00-10:30 09:30-10:30 | Session S05
- Chair: Joris Bierkens
S05.1 SAMPLING FROM INVARIANT MEASURES OF SDES: NON-ASYMPTOTIC ANALYSIS VIA COUPLING CANCELLED Mateusz B. Majka, Aleksandar Mijatović, Łukasz Szpruch
- S05.2 HIGH-DIMENSIONAL SCALING LIMIT OF MONTE CARLO METHODS
- S05.3 A PIECEWISE DETERMINISTIC MONTE CARLO METHOD FOR DIFFUSION BRIDGES
- Sebastiano Grazzi, Joris Bierkens, Frank van der Meulen, Moritz Schauer
10:30-11:00 | Coffee break
11:00-12:00 | Session S06
- Chair: Dominique Dehay
- S06.1 ADAPTIVE ESTIMATION OF THE JUMP RATE OF A PDMP
- Émeline Schmisser, Nathalie Krell
- S06.2 ON PARAMETER ESTIMATION OF HIDDEN MARKOV PROCESSES: A SURVEY
12:00-13:30 | Lunch (Café LABS)
13:30-15:00 | Session S07
- Chair: Jeanette Woerner
- S07.1 RATE-EFFICIENT ESTIMATION OF THE BG INDEX OF A LÉVY PROCESS
- S07.2 SYMBOLS AND TIME INHOMOGENEOUS PROCESSES
- Kevin Musielak, Alexander Schnurr
- S07.3 ON A MISSING CHARACTERISTIC IN THE THEORY OF SEMIMARTINGALES
15:00-15:30 | Coffee break
15:30-15:45 | DynStoch meeting
15:45-16:45 | Session S08
- Chair: Reinhard Hoepfner
- S08.1 STATISTICAL TESTING OF THE COVARIANCE MATRIX IN MULTIDIMENSIONAL NEURONAL MODELS
- Anna Melnykova, Patricia Reynaud-Bouret, Adeline Samson
- S08.2 PARAMETER INFERENCE FOR DIFFUSION PROCESSES FROM FIRST-PASSAGE TIME OBSERVATIONS
- Moritz Schauer, Susanne Ditlevsen, Marcin Mider
19:00 – Dinner (Cafė Einstein)
09:00-10:30 | Session S09
- Chair: Markus Bibinger
- S09.1 ESTIMATION OF A PARABOLIC SPDE MODEL BASED ON ULTRA HIGH FREQUENCY DATA
- Masayuki Uchida, Yusuke Kaino
- S09.2 NONPARAMETRIC ESTIMATION FOR LINEAR SPDES FROM LOCAL MEASUREMENTS
- Randolf Altmeyer, Markus Reiß
- S09.3 PARAMETER ESTIMATION FOR SPDEs BASED ON DISCRETE OBSERVATIONS IN TIME AND SPACE
- Florian Hildebrandt, Mathias Trabs
10:30-11:00 | Coffee break
11:00-12:00 | Session S10
- Chair: Nakahiro Yoshida
- S10.1 FAST AND SCALABLE NON-PARAMETRIC BAYESIAN INFERENCE FOR POISSON POINT PROCESSES
- Shota Gugushvili, Frank van der Meulen, Moritz Schauer, Peter Spreij
- S10.2 TRACTABILITY OF CONTINUOUS TIME OPTIMAL STOPPING PROBLEMS
- John Schoenmakers, Denis Belomestny, Maxim Kaledin
12:00-13:30 | Lunch (Café LABS)
13:30-15:00 | Session S11
- Chair: Moritz Schauer
- S11.1 NONPARAMETRIC ESTIMATION IN FRACTIONAL SDE
- Nicolas Marie, Fabienne Comte
- S11.2 JOINT ESTIMATION FOR SDE DRIVEN BY LOCALLY STABLE LÉVY PROCESSES
- Emmanuelle Clément, Arnaud Gloter
- S11.3 NONLINEAR LOCALLY STABLE REGRESSION
15:00-15:30 | Coffee break
15:30-16:30 | Session S12 | Closing
- Chair: Jakob Söhl
- S12.1 LIFE TIME ESTIMATION FOR PARTICLES FOLLOWING PATHS OF A SYMMETRICAL LÉVY PROCESS
- S12.2 NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT IN DISCRETELY OBSERVED BRANCHING DIFFUSIONS WITH IMMIGRATION
- Reinhard Höpfner, Matthias Hammer