event
Du 20 au 22 septembre 2011
place
IRMA

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:

Financial support : ANR, programme ProbaGeo

  • Mardi 20 septembre 2011

  • 09:45 - 10:10

    Accueil

    Reception of participants
  • 10:10 - 11:00

    Hiding the drift.

    — Walter Schachermayer (Vienna)

  • 11:00 - 11:10

    Discussion

    Discussion
  • 11:10 - 11:30

    Pause

    Break
  • 11:30 - 12:20

    A filtration interlinking standardness and non-standardness.

    — Christophe Leuridan (Grenoble)

  • 12:20 - 12:30

    Discussion

    Discussion
  • 14:10 - 15:00

    A planar diffusion with rank-based characteristics.

    — Ioannis Karatzas (New York)

  • 15:00 - 15:10

    Discussion

    Discussion
  • 15:10 - 16:00

    Angular part of Brownian motion and complementability.

    — Jean Brossard (Grenoble)

  • 16:00 - 16:10

    Discussion

    Discussion
  • 16:10 - 16:30

    Pause

    Break
  • 16:30 - 17:20

    Filtrations indexed by ordinals.

    — Claude Dellacherie (Rouen)

  • 17:20 - 17:30

    Discussion

    Discussion
  • Mercredi 21 septembre 2011

  • 09:10 - 10:00

    Is it possible to classify the filtrations?

    — Anatolii Vershik (Saint Petersburg)

  • 10:00 - 10:10

    Discussion

    Discussion
  • 10:10 - 11:00

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

    — Aleksandr Gorbulskii (Saint Petersburg)

  • 11:00 - 11:10

    Discussion

    Discussion
  • 11:10 - 11:30

    Pause

    Break
  • 11:30 - 12:20

    On Vershik's intermediate-level standardness criterion.

    — Stéphane Laurent (Liège)

  • 12:20 - 12:30

    Discussion

    Discussion
  • 14:10 - 15:00

    Standardness for chains with infinite memory.

    — Xavier Bressaud (Toulouse)

  • 15:00 - 15:10

    Discussion

    Discussion
  • 15:10 - 16:00

    Universal parametrization for a stationary process.

    — Gaël Ceillier (Strasbourg)

  • 16:00 - 16:10

    Discussion

    Discussion
  • 16:10 - 16:30

    Pause

    Break
  • 16:30 - 17:20

    Randomized strategies and optimal investment for optimal investors.

    — Miklos Rasonyi (Edinburgh)

  • 17:20 - 17:30

    Discussion

    Discussion
  • Jeudi 22 septembre 2011

  • 09:10 - 10:00

    On the ergodicity of the Lévy transformation.

    — Vilmos Prokaj (Budapest)

  • 10:00 - 10:10

    Discussion

    Discussion
  • 10:10 - 11:00

    Universality, randomness and invariant measures on graphs and structures.

    — Anatolii Vershik (Saint Petersburg)

  • 11:00 - 11:10

    Discussion

    Discussion
  • 11:10 - 11:30

    Pause

    Break
  • 11:30 - 12:20

    Bernoulli property of STIT tessellations.

    — Servet Martinez (Santiago)

  • 12:20 - 12:30

    Discussion

    Discussion
  • 14:10 - 15:00

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

    — Jaime San Martin (Santiago)

  • 15:00 - 15:10

    Discussion

    Discussion
  • 15:10 - 16:00

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

    — Liudmila Vostrikova (Angers)

  • 16:00 - 16:10

    Discussion

    Discussion