Program

Conference

Conference on Stochastic Modeling and Control, May 8-13, 2023, Będlewo

Workshops - working groups

• Risk theory and risk sensitive portfolio, May 15-19, 2023, Warsaw

• Workshop on Modeling with Hawkes processes: Theory, Statistics and Applications, May 29-June 2, 2023, Warsaw

• Nonconvex problems in stochastic control and in mathematics of finance, June 5-9, 2023, Warsaw

• Stochastic Games with Asymmetric Information, June 12-16, 2023, Warsaw

• Gaussian Multiplicative Chaos, June 18-21, 2023 Warsaw

• Modeling with non Markovian processes, June 26-30, 2023 Warsaw

Lectures (on-site in room no 6 and on-line via Zoom)

Tomasz Bielecki (Illinois Institute of Technology), Structured dependence between stochastic processes

Dates:

• • Monday, 15 May, 14:30-16:00, 

  • Wednesday, 17 May, 16:30-18:00, 

  • Friday, 19 May, 14:30-16:00, 

  • Thursday, 1 June, 16:30-18:00, 

  • Friday, 2 June, 15:30-17:00.

Igor Cialenco (Illinois Institute of Technology), Dynamic Risk and Performance Measures and their Control

Dates

• • Monday, 15 May, 11:30-13:00, 

  • Wednesday, 17 May,  14:30-16:00, 

  • Friday, 19 May,  11:30-13:00, 

  • Monday, 29 May, 16:30-18:00, 

  • Tuesday, 30 May,16:30-18:00.

Jan Palczewski (University of Leeds), Games with asymmetric information

Dates:

• • Wednesday, 7 June, 11:30-13:00

  • Friday, 9 June, 11:30-13:00

  • Monday, 12 June, 11:30-13:00

  • Wednesday, 14 June, 11:30-13:00

  • Friday, 16 June, 11:30-13:00

Yuliya Mishura (Taras Shevchenko National University of Kyiv), Standard and fractional diffusion models  with financial and statistical applications

Dates:

• • Thursday, 22 June, 11:30-13:00

  • Friday, 23 June, 11:30-13:00

  • Monday, 26 June, 11:30-13:00

  • Wednesday, 28 June, 11:30-13:00

  • Friday, 30 June, 11:30-13:00

  • Monday, 3 July, 11:30-13:00

Contents:

• Standard Cox-Ingersoll-Ross and Bessel processes: local and global behaviour of the trajectories as the functionals of coefficients.

• Fractional Cox-Ingersoll-Ross and Bessel processes:   behaviour of the trajectories as the functionals of Hurst index.

• Statistical parameter estimation in standard and fractional CIR and Bessel processes.

• Some approximation  schemes in financial markets. Approximations of option prices in  Heston model with fractional stochastic volatility. 

• Weak convergence of discrete-time models to the fractional limits. Some unsolved problems.

• Convexity of Renyi entropy of probability distribution. Entropy of fractional Gaussian noise: solved and unsolved problems. 

The lectures are streamed using Zoom. If you wish to participate, contact Łukasz Stettner at stettner(at)impan.pl.