Academic Programme, March 20-24, 2006

Monday 20

9.00-9.10            Welcoming Remarks

Víctor Pérez-Abreu (UAM-Cuajimalpa & CIMAT, Mexico)

9.10-10.00           Inaugural Talk

Chair: Claudia Klüppelberg (Munich University of Technology, Germany)

Designing Realised kernels to measure the ex-post variation of equity prices in the presence of noise

Neil Shephard (Oxford University, United Kingdom)

10.00-10.30          Coffee Break

10.30-12.45          Invited Session 1: Infinite Divisibility and Lévy Processes

Organiser: Ken-iti Sato (Nagoya University, Japan)

Chair: Víctor Pérez-Abreu (UAM-Cuajimalpa & CIMAT, Mexico)

10.30-11.15          “Classes of Infinitely Divisible Distributions on Rd and their Characterizations by Stochastic Integrals

Makoto Maejima (Keio University, Japan)

11.15-12.00          “Concentration Phenomena for Infinitely Divisible Laws:  A Survey”

Christian Houdré (Georgia Institute of Technology, USA)

12.00-12.45           “Asymptotic Estimates of Multi-dimensional Stable Densities and their Applications”

Toshiro Watanabe (University of Aizu, Japan)

13.00-15.00            Lunch Break

15.00-17.15            Invited Session 2: Finance

Organiser: Rama Cont (École Polytechnique, France)

Chair: Neil Shephard (Oxford University, United Kingdom)

15.00-15.45           “Dependence Models for Multidimensional Lévy Processes

Peter Tankov (Université Paris VII, France)

15.45-16.30           Ruin Probability and Optimal Stopping for Lévy Processes

Ernesto Mordecki (Universidad de la República, Uruguay)

16.30-17.15           “Discrete GARCH (p,q) Process

Alexander Linder (Munich University of Technology, Germany)

Tuesday 21

9.00-11.15             Invited Session 3: Quantum Statistics

Organiser: Richard Gill (Utrecht University, The Netherlands)

Chair: Michael Sørensen (University of Copenhagen, Denmark)

9.00-9.45             “Quantum Homodyne Tomography as an Inverse and Deconvolution Statistical Problem

Luis Artiles (EURANDOM, The Netherlands)

9.45-10.30           “Some Aspects of Quantum Statistical Inference”

Peter Jupp (University of St. Andrews, Scotland)        

10.30-11.15           “Reverse Estimation, Right Logarithmic Derivative, and Monotone Distances

Keiji Matsumoto (National Institute of Informatics, Japan)  

11.15-13.00            Special Invited Poster Session and Coffee

Chair: Eloísa Díaz Francés (CIMAT, Mexico)

13.00-15.00            Lunch Break

15.00-17.15            Invited Session 4: Stochastics in the Physical Sciences

Organiser: Ed Waymire (Oregon State University, USA)

Chair: Mogens Bladt (IIMAS-UNAM, México)

15.00-15.45            “Sand, Wind and Stochastics

Michael Sørensen (University of Copenhagen, Denmark)

15.45-16.30            “Data Network Models of Burstiness

Sidney Resnick (Cornell University, USA)

16.30-17.15             “A Generalized Taylor-Aris Formula  and Skew Diffusion

Ed Waymire  (Oregon State University, USA)

19.30-21.30            Conference Dinner

Wednesday 22

9.00-11.15             Invited Session 5: Bioinformatics

Organiser: Jens Ledet Jensen (Aarhus University, Denmark)

Chair: Miguel Nakamura (CIMAT, Mexico)

9.00-9.45           “The Ancestral Recombination Graph and Pedigrees

Jotun Hein (Oxford University, United Kingdom)

9.45-10.30          “Protein Interaction Network (PIN)

Carsten Wiuf (Aarhus University, Denmark)

10.30-11.15         “Detecting Local Deviations. Optimisation and Applications to RNA-gene Searching”      

Niels Richard Hansen (University of Copenhagen, Denmark)

11.15-11.45            Coffee Break

11.45-14.00            Invited Session 6: Likelihood Theory

Organiser and Chair: Alessandra Salvan (University of Padova, Italy)

11.45-12.30            “Likelihood Ratio Tests in Models with Nuisance Parameters Present only Under the Alternative

Ib Skovgaard (Royal Veterinary and Agricultural University, Denmark)

12.30-13.15            “Effect of the Reference Set on Frequentist Inference

Donald Pierce (Oregon State University, USA)

13.15-14.00            “Likelihood-based Inference in Complex Models

Nancy Reid (University of Toronto, Canada)

14.00-15.00             Lunch

Free afternoon

Thursday 23

9.10-10.00              Special Invited Talk

Chair: Ed Waymire (Oregon State University, USA)

The  Classical, Statistical and Stochastic Approaches to the Hydrodynamical Turbulence (an Overview for Probabilists)

Albert Shiryaev (Steklov Mathematical Institute of Russian Academy of Sciences, Russia)

10.00-10.30             Coffee Break


10.30-12.45             Invited Session 7: Infinite Divisibility in Quantum Stochastics

Organiser: Steen Thorbjørnsen (University of Southern Denmark, Denmark)

Chair: Makoto Maejima (Keio University, Japan)

10.30-11.15            “Infinitely Divisible Measures for the Monotone Convolution”

Uwe Franz (Institut für Mathematik und Informatik, Germany)

11.15-12.00            “Analyticity in the Study of Infinite Divisibility”

Hari Bercovici (Indiana University, USA)

12.00-12.45            “Some Aspects of the Connection Between Free and Classical Infinite Divisibility

      Steen Thorbjørnsen (University of Southern Denmark, Denmark)

13.00-15.00            Lunch Break


15.00-17.15            Invited Session 8: Applications of Lévy Theory

Organiser and chair: Søren Asmussen (Aarhus University, Denmark)

15.00-15.45           “A Conjecture Concerning the Smooth Fit Versus the Continuous Fit Principle for Optimal Stopping Problems

Andreas Kyprianou (Heriot-Watt University, United Kingdom)

15.45-16.30           “On the Asymptotic Behavior of Lévy Processes”

Mattias Bengtsson (Chalmers University of Technology, Sweden)

16.30-17.15           “Loss Rates for Lévy Processes with Two Reflecting Barriers

Mats Pihlsgaard (Lund University, Sweden)

Friday 24

9.00-11.15              Invited Session 9: Tempo-Spatial Modeling

Organisers: Eva Vedel Jensen & Jürgen Schmiegel (Aarhus University, Denmark)

Chair: Albert Shiryaev (Steklov Mathematical Institute, Russia)

9.00-9.45           "On Three Methods to Compute a Series Expansion for Infinitely Divisible Probability Distributions from their
                         Lévy Measure”

Friedrich Hubalek (Aarhus University, Denmark)

9.45-10.30           "Lévy Based Growth Models

Kristjana Yr Jónsdóttir (Aarhus University, Denmark)

10.30-11.15          “Lévy Based Modelling of Turbulent Flows

Jürgen Schmiegel (Aarhus University, Denmark)

11.15-11.45             Coffee Break

11.45-14.00            Invited Session 10: Applications of Lévy Processes

Organiser: Claudia Klüppelberg (Munich University of Technology, Germany)

Chair: Ole E. Banrdorff-Nielsen (Aarhus University, Denmark)

11.45-12.30           “Coalescents, Stochastic Flows and Generalized Fleming-Viot Processes

Jean Bertoin (Université Paris VI, France)

12.30-13.15           “Laws of Large Numbers and Central Limit Theorem for Increments of a Semimartingale”

Jean Jacod (Université Paris VI, France)

13.15-14.00           “Liquidity Risk

Phillip Protter (Cornell University, USA)