S'abonner à l'agenda

Du 20 au 22 septembre 2011

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

    Reception of participants
  • 10:10 - 11:00

    Walter Schachermayer, Vienna

    Hiding the drift.

  • 11:00 - 11:10

    Discussion
  • 11:10 - 11:30

    Break
  • 11:30 - 12:20

    Christophe Leuridan, Grenoble

    A filtration interlinking standardness and non-standardness.

  • 12:20 - 12:30

    Discussion
  • 14:10 - 15:00

    Ioannis Karatzas, New York

    A planar diffusion with rank-based characteristics.

  • 15:00 - 15:10

    Discussion
  • 15:10 - 16:00

    Jean Brossard, Grenoble

    Angular part of Brownian motion and complementability.

  • 16:00 - 16:10

    Discussion
  • 16:10 - 16:30

    Break
  • 16:30 - 17:20

    Claude Dellacherie, Rouen

    Filtrations indexed by ordinals.

  • 17:20 - 17:30

    Discussion
  • Mercredi 21 septembre 2011

  • 09:10 - 10:00

    Anatolii Vershik, Saint Petersburg

    Is it possible to classify the filtrations?

  • 10:00 - 10:10

    Discussion
  • 10:10 - 11:00

    Aleksandr Gorbulskii, Saint Petersburg

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

  • 11:00 - 11:10

    Discussion
  • 11:10 - 11:30

    Break
  • 11:30 - 12:20

    Stéphane Laurent, Liège

    On Vershik's intermediate-level standardness criterion.

  • 12:20 - 12:30

    Discussion
  • 14:10 - 15:00

    Xavier Bressaud, Toulouse

    Standardness for chains with infinite memory.

  • 15:00 - 15:10

    Discussion
  • 15:10 - 16:00

    Gaël Ceillier, Strasbourg

    Universal parametrization for a stationary process.

  • 16:00 - 16:10

    Discussion
  • 16:10 - 16:30

    Break
  • 16:30 - 17:20

    Miklos Rasonyi, Edinburgh

    Randomized strategies and optimal investment for optimal investors.

  • 17:20 - 17:30

    Discussion
  • Jeudi 22 septembre 2011

  • 09:10 - 10:00

    Vilmos Prokaj, Budapest

    On the ergodicity of the Lévy transformation.

  • 10:00 - 10:10

    Discussion
  • 10:10 - 11:00

    Anatolii Vershik, Saint Petersburg

    Universality, randomness and invariant measures on graphs and structures.

  • 11:00 - 11:10

    Discussion
  • 11:10 - 11:30

    Break
  • 11:30 - 12:20

    Servet Martinez, Santiago

    Bernoulli property of STIT tessellations.

  • 12:20 - 12:30

    Discussion
  • 14:10 - 15:00

    Jaime San Martin, Santiago

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

  • 15:00 - 15:10

    Discussion
  • 15:10 - 16:00

    Liudmila Vostrikova, Angers

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

  • 16:00 - 16:10

    Discussion