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Stochastic Days. Conference in honor of the 85th birthday of Albert Shiryaev
(October 14–15, 2019)

Stochastic Days. Conference in honor of the 85th birthday of Albert Shiryaev

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Website: http://sdays.mi-ras.ru

Photogallery

Program

Рoster

Speakers
Burnaev Evgenii Vladimirovich, Skolkovo Institute of Science and Technology
Dalang Robert, École Polytechnique Fédérale de Lausanne
Eberlein Ernst, Albert Ludwigs University of Freiburg
Jacod Jean, Université Pierre & Marie Curie, Paris VI
Piterbarg Vladimir Il'ich, Lomonosov Moscow State University
Schweizer Martin, Swiss Federal Institute of Technology
Shabanov Dmitry Aleksandrovich, Lomonosov Moscow State University
Stoyanov Jordan, Institute of Mathematics and Informatics, Bulgarian Academy of Sciences
Urusov Mikhail Aleksandrovich, University of Duisburg-Essen, Department of Mathematics
Vostrikova Lyudmila Yur'evna, Université d'Angers
Zhitlukhin Mikhail Valentinovich, Steklov Mathematical Institute of Russian Academy of Sciences, Moscow

Organisations
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow


Stochastic Days. Conference in honor of the 85th birthday of Albert Shiryaev, October 14–15, 2019

October 14, 2019 (Mon)
1. Opening
D. V. Treschev
October 14, 2019 09:30–09:40
D. V. Treschev
  
2. High-frequency statistics for a semimartingale with jump activity varying with time
J. Jacod
October 14, 2019 09:40–10:20
J. Jacod
  
3. Some thoughts about absence of arbitrage
M. Schweizer
October 14, 2019 10:20–11:00
M. Schweizer
  
4. On maximums of Gaussian fields. Application to processes of Bessel type
V. I. Piterbarg
October 14, 2019 11:20–12:00
V. I. Piterbarg
  
5. Wasserstein-2 generative networks
E. V. Burnaev
October 14, 2019 12:00–12:40
E. V. Burnaev
  

October 15, 2019 (Tue)
6. An optimal detection problem with switching
R. Dalang
October 15, 2019 09:30–10:10
R. Dalang
  
7. Variable annuities in a Lévy-based hybrid model with surrender risk
E. Eberlein
October 15, 2019 10:10–10:50
E. Eberlein
  
8. Non-conventional limits of random sequences via semi-invariants and/or moments
J. Stoyanov
October 15, 2019 11:10–11:50
J. Stoyanov
  
9. Concentration of the chromatic number of a random graph
D. A. Shabanov
October 15, 2019 11:50–12:30
D. A. Shabanov
  
10. On distributions of exponential functionals of the processes with independent increments
L. Yu. Vostrikova
October 15, 2019 12:30–13:10
L. Yu. Vostrikova
  
11. On stopped fractional Brownian motion, Brownian motion with square root drift, and Gaussian multiplicative chaos
P. A. Yaskov
October 15, 2019 14:30–15:10
P. A. Yaskov
  
12. Relatively optimal investment strategies in a market with competition
M. V. Zhitlukhin
October 15, 2019 15:10–15:50
M. V. Zhitlukhin
  
 
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