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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.

Website: http://shiryaev80.mi.ras.ru


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
1. Opening
V. V. Kozlov, Yu. M. Kabanov
October 13, 2014 09:30, Moscow, Steklov Mathematical Institute of RAS
V. V. Kozlov, Yu. M. Kabanov
  
2. Limit theorems for stochastic processes: some advances during the past ten years
Jean Jacod
October 13, 2014 10:00, Moscow, Steklov Mathematical Institute of RAS
Jean Jacod
  
3. Absolute continuity of measures, the Girsanov theorem, and Hellinger processes
Yu. M. Kabanov
October 13, 2014 10:45, Moscow, Steklov Mathematical Institute of RAS
Yu. M. Kabanov
  
4. A new approach for stochastic Fubini theorems
M. Schweizer
October 13, 2014 11:45, Moscow, Steklov Mathematical Institute of RAS
M. Schweizer
  
5. Gaussian measures on the space of matrcies and map enumeration
A. K. Zvonkin
October 13, 2014 12:30, Moscow, Steklov Mathematical Institute of RAS
A. K. Zvonkin
  
6. From lambda-convergence to Fisher and Wilks expansions
V. G. Spokoiny
October 13, 2014 14:30, Moscow, Steklov Mathematical Institute of RAS
V. G. Spokoiny
  
7. Generalizations of the multifactor dimensionality reduction method
A. V. Bulinski
October 13, 2014 15:15, Moscow, Steklov Mathematical Institute of RAS
A. V. Bulinski
  
8. Transformations of random variables and processes and their moment determinacy
J. Stoyanov
October 13, 2014 16:00, Moscow, Steklov Mathematical Institute of RAS
J. Stoyanov
  
9. Market microstructure invariance
Anna Obizhaeva
October 13, 2014 17:00, Moscow, Steklov Mathematical Institute of RAS
Anna Obizhaeva
  
10. Transmission of information over channels with feedback and filtration theory
P. K. Katyshev
October 13, 2014 17:45, Moscow, Steklov Mathematical Institute of RAS
P. K. Katyshev
  

October 14, 2014
11. Stochastic differential equations for sticky reflecting Brownian motion
H.-J. Engelbert
October 14, 2014 10:00, Moscow, Steklov Mathematical Institute of RAS
H.-J. Engelbert
  
12. Another look at Itô's formula
Hans Föllmer
October 14, 2014 10:45, Moscow, Steklov Mathematical Institute of RAS
Hans Föllmer
  
13. TBA
Marek Musiela
October 14, 2014 11:45, Moscow, Steklov Mathematical Institute of RAS
Marek Musiela
  
14. Optimal mean-variance portfolio selection
G. Peskir
October 14, 2014 12:30, Moscow, Steklov Mathematical Institute of RAS
15. First passage time problems: martingale approach revised
A. A. Novikov
October 14, 2014 14:30, Moscow, Steklov Mathematical Institute of RAS
A. A. Novikov
  
16. A generalized Donsker's theorem and approximating SDEs with irregular coefficients
M. A. Urusov
October 14, 2014 15:15, Moscow, Steklov Mathematical Institute of RAS
M. A. Urusov
  
17. On the inequalities connecting Hellinger processes and some statistical distances
A. A. Gushchin
October 14, 2014 16:00, Moscow, Steklov Mathematical Institute of RAS
A. A. Gushchin
  
18. Interpolation properties of martingale measures and Haar interpolations of $(B,S)$-markets
Igor Pavlov
October 14, 2014 17:00, Moscow, Steklov Mathematical Institute of RAS
Igor Pavlov
  
19. Stochastics in non-equilibrium statistical physics and econophysics
V. A. Malyshev
October 14, 2014 17:35, Moscow, Steklov Mathematical Institute of RAS
V. A. Malyshev
  
20. Sequential testing problem of two hypotheses for a fractional Brownian motion
A. A. Muravlev
October 14, 2014 18:10, Moscow, Steklov Mathematical Institute of RAS
A. A. Muravlev
  

October 15, 2014
21. The classical capacities of quantum communication channels
A. S. Holevo
October 15, 2014 10:00, Moscow, Steklov Mathematical Institute of RAS
A. S. Holevo
  
22. On asymptotic normality of sequential LS-estimates for unstable autoregressive processes AR(p)
L. I. Galtchouk
October 15, 2014 10:45, Moscow, Steklov Mathematical Institute of RAS
L. I. Galtchouk
  
23. On “downfalls” in a standard Brownian motion
R. Douady
October 15, 2014 11:45, Moscow, Steklov Mathematical Institute of RAS
R. Douady
  
24. Tempered stable distributions
Michael Grabchak
October 15, 2014 12:30, Moscow, Steklov Mathematical Institute of RAS
Michael Grabchak
  
25. How to price and hedge change-point models?
L. Yu. Vostrikova
October 15, 2014 14:30, Moscow, Steklov Mathematical Institute of RAS
L. Yu. Vostrikova
  
26. On solving optimal stopping problems for Levy processes via A-transform
E. B. Boguslavskaya
October 15, 2014 15:15, Moscow, Steklov Mathematical Institute of RAS
E. B. Boguslavskaya
  
27. Optimal stopping problems with unbounded payoffs
M. Zhitlukhin
October 15, 2014 15:50, Moscow, Steklov Mathematical Institute of RAS
M. Zhitlukhin
  
 
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