Conference "Stochastics, Statistics, Financial Mathematics" in honor of Professor Albert Shiryaev's 80th anniversary (October 13–15, 2014, Steklov Mathematical Institute of RAS, Moscow)
The topics of the conference include stochastic calculus, statistics of random processes, optimal stopping theory, martingales and semimartingales, stochastic differential equations, stochastic financial mathematics. Talks will be presented by leading Russian and foreign researchers, including pupils of Albert Nikolaevich Shiryaev.
We invite researchers specializing in probability theory, statistics, stochastic process and financial mathematics to attend the conference.
Organisations
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow International Laboratory of Quantitative Finance, National Research University Higher School of Economics, Moscow 

Conference "Stochastics, Statistics, Financial Mathematics" in honor of Professor Albert Shiryaev's 80th anniversary, Moscow, October 13–15, 2014 


October 13, 2014 (Mon) 

1. 
Opening V. V. Kozlov, Yu. M. Kabanov October 13, 2014 09:30–10:00, Moscow, Steklov Mathematical Institute of RAS





2. 
Limit theorems for stochastic processes: some advances during the past ten years Jean Jacod October 13, 2014 10:00–10:40, Moscow, Steklov Mathematical Institute of RAS





3. 
Absolute continuity of measures, the Girsanov theorem, and Hellinger processes Yu. M. Kabanov October 13, 2014 10:45–11:25, Moscow, Steklov Mathematical Institute of RAS





4. 
A new approach for stochastic Fubini theorems M. Schweizer October 13, 2014 11:45–12:25, Moscow, Steklov Mathematical Institute of RAS





5. 
Gaussian measures on the space of matrcies and map enumeration A. K. Zvonkin October 13, 2014 12:30–13:10, Moscow, Steklov Mathematical Institute of RAS





6. 
From lambdaconvergence to Fisher and Wilks expansions V. G. Spokoiny October 13, 2014 14:30–15:10, Moscow, Steklov Mathematical Institute of RAS





7. 
Generalizations of the multifactor dimensionality reduction method A. V. Bulinski October 13, 2014 15:15–15:55, Moscow, Steklov Mathematical Institute of RAS





8. 
Transformations of random variables and processes and their moment determinacy J. Stoyanov October 13, 2014 16:00–16:40, Moscow, Steklov Mathematical Institute of RAS





9. 
Market microstructure invariance Anna Obizhaeva October 13, 2014 17:00–17:40, Moscow, Steklov Mathematical Institute of RAS





10. 
Transmission of information over channels with feedback and filtration theory P. K. Katyshev October 13, 2014 17:45–18:25, Moscow, Steklov Mathematical Institute of RAS






October 14, 2014 (Tue) 

11. 
Stochastic differential equations for sticky reflecting Brownian motion H.J. Engelbert October 14, 2014 10:00–10:40, Moscow, Steklov Mathematical Institute of RAS





12. 
Another look at Itô's formula Hans Föllmer October 14, 2014 10:45–11:25, Moscow, Steklov Mathematical Institute of RAS





13. 
TBA Marek Musiela October 14, 2014 11:45–12:25, Moscow, Steklov Mathematical Institute of RAS





14. 
Optimal meanvariance portfolio selection G. Peskir October 14, 2014 12:30–13:10, Moscow, Steklov Mathematical Institute of RAS





15. 
First passage time problems: martingale approach revised A. A. Novikov October 14, 2014 14:30–15:10, Moscow, Steklov Mathematical Institute of RAS





16. 
A generalized Donsker's theorem and approximating SDEs with irregular coefficients M. A. Urusov October 14, 2014 15:15–15:55, Moscow, Steklov Mathematical Institute of RAS





17. 
On the inequalities connecting Hellinger processes and some statistical distances A. A. Gushchin October 14, 2014 16:00–16:40, Moscow, Steklov Mathematical Institute of RAS





18. 
Interpolation properties of martingale measures and Haar interpolations of $(B,S)$markets Igor Pavlov October 14, 2014 17:00–17:30, Moscow, Steklov Mathematical Institute of RAS





19. 
Stochastics in nonequilibrium statistical physics and econophysics V. A. Malyshev October 14, 2014 17:35–18:05, Moscow, Steklov Mathematical Institute of RAS





20. 
Sequential testing problem of two hypotheses for a fractional Brownian motion A. A. Muravlev October 14, 2014 18:10–18:40, Moscow, Steklov Mathematical Institute of RAS






October 15, 2014 (Wed) 

21. 
The classical capacities of quantum communication channels A. S. Holevo October 15, 2014 10:00–10:40, Moscow, Steklov Mathematical Institute of RAS





22. 
On asymptotic normality of sequential LSestimates for unstable autoregressive processes AR(p) L. I. Galtchouk October 15, 2014 10:45–11:25, Moscow, Steklov Mathematical Institute of RAS





23. 
On “downfalls” in a standard Brownian motion R. Douady October 15, 2014 11:45–12:25, Moscow, Steklov Mathematical Institute of RAS





24. 
Tempered stable distributions Michael Grabchak October 15, 2014 12:30–13:10, Moscow, Steklov Mathematical Institute of RAS





25. 
How to price and hedge changepoint models? L. Yu. Vostrikova October 15, 2014 14:30–15:10, Moscow, Steklov Mathematical Institute of RAS





26. 
On solving optimal stopping problems for Levy processes via Atransform E. B. Boguslavskaya October 15, 2014 15:15–15:45, Moscow, Steklov Mathematical Institute of RAS





27. 
Optimal stopping problems with unbounded payoffs M. Zhitlukhin October 15, 2014 15:50–16:20, Moscow, Steklov Mathematical Institute of RAS





