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Accueil du site > Agenda > Colloques et rencontres > Archives > Agenda 2011 > Conference on Stochastic Filtrations

Conference on Stochastic Filtrations

IRMA, September 20-22, 2011

An international Conference on Stochastic Filtrations will be held in Strasbourg on September 20-21-22, 2011.

The conference intends to be a panorama of the state of the art and of recent advances concerning probabilistic aspects of filtrations generated by stochastic processes. In discrete, negative time, this includes such topics as standardness, Vershik’s criterion, etc. ; in continuous time, Brownian filtrations, weak or strong solutions to SDEs, and related themes. The aim is twofold : to allow researchers to exchange and discuss recent results, and to provide probabilists who are not specialists in this field with an overview of results and open questions.

Registration is required (and free of charge) at the following link.

Participants having registered before July 10 will be accomodated (free of charge) in local hotels. Limited funding will be available for some travel expenses, especially for junior participants ; to apply for support, contact Michel Émery.

Location : Salle de séminaires, Institut de Recherche Mathématique Avancée, rue du Général Zimmer, Strasbourg.

Non local participants

Scientific committee :

- Michel Émery (IRMA, Strasbourg)
- Christophe Leuridan (Institut Fourier, Grenoble)
- Anatoly Vershik (Steklov Institute, Saint Petersburg)
- Marc Yor (Laboratoire de Probabilités et Modèles Aléatoires, Paris)

Organization :

- Michel Émery
- Boubacar-Binta Baldé

Financial support : ANR, programme ProbaGeo

PROGRAMME


20 septembre 2011

09h45

Reception of participants

10h10

Walter Schachermayer - Vienna

Hiding the drift.

11h00

Discussion

11h10

Break

11h30

Christophe Leuridan - Grenoble

A filtration interlinking standardness and non-standardness.

12h20

Discussion

14h10

Ioannis Karatzas - New York

A planar diffusion with rank-based characteristics.

15h00

Discussion

15h10

Jean Brossard - Grenoble

Angular part of Brownian motion and complementability.

16h00

Discussion

16h10

Break

16h30

Claude Dellacherie - Rouen

Filtrations indexed by ordinals.

17h20

Discussion


21 septembre 2011

09h10

Anatolii Vershik - Saint Petersburg

Is it possible to classify the filtrations ?

10h00

Discussion

10h10

Aleksandr Gorbulskii - Saint Petersburg

Scaling entropy of the filtrations related to random walks in random sceneries.

11h00

Discussion

11h10

Break

11h30

Stéphane Laurent - Liège

On Vershik’s intermediate-level standardness criterion.

12h20

Discussion

14h10

Xavier Bressaud - Toulouse

Standardness for chains with infinite memory.

15h00

Discussion

15h10

Gaël Ceillier - Strasbourg

Universal parametrization for a stationary process.

16h00

Discussion

16h10

Break

16h30

Miklos Rasonyi - Edinburgh

Randomized strategies and optimal investment for optimal investors.

17h20

Discussion


22 septembre 2011

09h10

Vilmos Prokaj - Budapest

On the ergodicity of the Lévy transformation.

10h00

Discussion

10h10

Anatolii Vershik - Saint Petersburg

Universality, randomness and invariant measures on graphs and structures.

11h00

Discussion

11h10

Break

11h30

Servet Martinez - Santiago

Bernoulli property of STIT tessellations.

12h20

Discussion

14h10

Jaime San Martin - Santiago

Ultrametricity, filtered operators and potential theory : the matrix case.

15h00

Discussion

15h10

Liudmila Vostrikova - Angers

Enlargements of filtrations, pricing and optimal strategies for exponential Lévy models with change-point.

16h00

Discussion

Dernière mise à jour le 30-08-2011