DynStoch 2019

Delft, The Netherlands, 12–14 June

PROGRAMME

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.

Schedule

WEDNESDAY, 12 JUNE

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)

THURSDAY, JUNE 13

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
        • Kengo Kamatani
    • 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
        • Yury Kutoyants

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
        • Fabian Mies
    • S07.2 SYMBOLS AND TIME INHOMOGENEOUS PROCESSES
        • Kevin Musielak, Alexander Schnurr
    • S07.3 ON A MISSING CHARACTERISTIC IN THE THEORY OF SEMIMARTINGALES
        • Alexander Schnurr

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)

FRIDAY, JUNE 14

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
        • Hiroki Masuda

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
        • Viktor Schulmann
    • S12.2 NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT IN DISCRETELY OBSERVED BRANCHING DIFFUSIONS WITH IMMIGRATION
        • Reinhard Höpfner, Matthias Hammer