Stochastic Analysis and 

Statistics 

2024

February 6 (Tue) - 8 (Thur), 2024

Room 126, Graduate School of Mathematical Sciences, University of Tokyo, Komaba campus.

https://www.ms.u-tokyo.ac.jp/access_e/index_e.html

Program

Feb 6 (Tue)

12:55 Opening


Chair: Kengo Kamatani (Institute of Statistical Mathematics)


13:00-13:30

Speaker: Hiroki Masuda (University of Tokyo)

Title: Asymptotics for a dynamic mixed-effects model with low-frequency and unbalanced data


13:40-14:10

Speaker: Chiara Amorino (University of Luxembourg)

Title: Evolving privacy: Drift parameter estimation for discretely observed i.i.d. paths of diffusion processes under local differential privacy constraints


Short break


14:30-15:00

Speaker: Shogo Nakakita (University of Tokyo)

Title: On over-parameterized linear regression with temporal dependence


15:10-15:40

Speaker: Shi-Yuan Zhou (University of Luxembourg)

Title: Nonparametric estimation of the interaction function in particle system models


Short break


Chair: Shogo Nakakita (University of Tokyo)


16:00-16:30

Speaker: Niklas Dexheimer (Aarhus University)

Title: Data-driven optimal stopping: A pure exploration analysis


16:40-17:10

Speaker: Teppei Ogihara (University of Tokyo)

Title: Local asymptotic normality for discretely observed jump-diffusion processes

Feb 7 (Wed)


Chair: Yuta Koike (University of Tokyo)


10:00-10:30

Speaker: Lukas Trottner (Aarhus University)

Title: Change point and change interface estimation of a stochastic heat equation


10:40-11:10

Speaker: Takaaki Shiotani (University of Tokyo)

Title: Modeling lead-lag effects using bivariate Neyman-Scott processes with gamma kernels


11:20-11:50

Speaker: Junichiro Yoshida (University of Tokyo)

Title: Quasi-maximum likelihood estimation and penalized estimation under non-standard conditions


12:30−14:30 Lunch break


Chair: Teppei Ogihara (University of Tokyo)


14:30-15:00

Speaker: Wangjun Yuan (University of Luxembourg)

Title: On a class of stochastic fractional heat equations


15:10-15:40

Speaker: Nicolas Lengert (University of Luxembourg)

Title: Limit theorems for functionals of local time of Brownian motion


Short break


16:00-16:30

Speaker: Yuta Koike (University of Tokyo)

Title: Estimation of the number of relevant factors from high-frequency data


16:40-17:10

Speaker: Kengo Kamatani (Institute of Statistical Mathematics)

Title: Scaling Limits of Markov Processes in Monte Carlo Methods


Feb 8 (Thu)


Chair: Hiroki Masuda (University of Tokyo)


10:00-10:30

Speaker: Masayuki Uchida (Osaka University) [Zoom]

Title: Parameter estimation for linear parabolic SPDEs in two space dimensions based on temporal and spatial increments


10:40-11:10

Speaker: Mark Podolskij (University of Luxembourg)

Title: Quantitative and stable limits of high-frequency statistics of Levy processes: A Stein's method approach


11:20-11:50

Speaker: Nakahiro Yoshida (University of Tokyo)

Title: Asymptotic expansion for the fractional Ornstein-Uhlenbeck process


Followed by Closing

Organizers

Funding Information