A.N. Shiryaev and Contemporary Probability Theory

from Monday, 30 November 2015 (08:00) to Wednesday, 2 December 2015 (20:45)
Angers - France

        : Sessions
    /     : Talks
        : Breaks
30 Nov 2015
1 Dec 2015
2 Dec 2015
AM
10:00 Estimation of volatility in presence of high activity jumps, noise and irregular sampling - Prof. Jean Jacod (Université Pierre-et-Marie Curie)   ()
10:40 --- Coffee Break ---
11:00 Two price valuation theory - Prof. Ernst Eberlein (University of Freiburg)   ()
11:40 --- Break ---
11:50 Moral hazard and second order backward SDEs - Prof. Nizar Touzi (Ecole Polythecnique)   ()
10:00 On the Martingale Property of Local Martingales: When a Local Martingale is a True Martingale? - Prof. Hans-Jürgen Engelbert (Friedrich Schiller-University of Jena, Institute of Mathematics)   ()
10:40 --- Coffee Break ---
11:00 Valuation, put-call parity and bubbles - Prof. Martin Schweizer (ETH Zurich)   ()
11:40 --- Break ---
11:50 On one application of the Cherny-Shiryaev criterion of stochastic integrability - Prof. Yuri Kabanov (Université Franche-Comté)   ()
10:00 --- Discussions ---
PM
12:30 --- Lunch, Foyer Darwin ---
14:30 Optimization problem for a portfolio with an illiquid asset: Lie group analysis - Prof. Ljudmila Bordag (University of Applied Sciences Zittau/Görlitz)   ()
15:10 --- Break ---
15:20 Mixed Gaussian processes: a filtering approach - Prof. Marina Kleptsyna (Université du Maine)   ()
16:00 --- Coffee Break ---
16:20 Probability Distributions: Characterizations by Their Moments - Prof. Jordan Stoyanov (Newcastle University & University of Ljubljana)   ()
16:50 --- Break ---
17:00 Inversion, duality and h-processes of self-similar Markov processes - Prof. Loïc Chaumont (Université d'Angers)   ()
19:30 --- Conference dinner at the restaurant ''La Ferme'' . Adresse : 2 Place Freppel, 49100 Angers. Téléphone :02 41 87 09 90 ---
12:30 --- Lunch, Foyer Darwin ---
14:30 Probabilistic interpretation for Fully nonlinear Stochastic PDEs - Prof. Anis Matoussi (Université du Maine)   ()
15:10 --- Break ---
15:20 Existence and uniqueness of viscosity solutions for second order integro-differential equations without monotonicity condition - Prof. Said Hamadène (Université du Maine)   ()
16:00 --- Coffee Break ---
16:20 On exponential functionals for processes with independent increments - Prof. Lioudmila Vostrikova (Université d'Angers)   ()
19:30 --- Dinner at the restaurant ''Au Quai Des Saveurs''. Adresse : Boulevard Henri Arnauld, 49100 Angers. Téléphone : 02 41 87 85 80 ---
12:00 --- Lunch (possibility to go to Foyer Darwin or Baussier) ---
15:00 --- Ceremony at Grenier St Jean ---
17:20 --- Cocktail ---