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International Conference
“Stochastic analysis, Statistics of Random Processes and Optimisation”
dedicated to the 90th anniversary of Academician Albert Shiryaev

(December 9–14, 2024, Tbilisi – Bakuriani, Georgia)

The structure of the Conference mirrors the research fields to which Albert Shiryaev made outstanding contributions:

  • Theory of optimal stopping rules;
  • Theory of filtration of random processes;
  • Theory of stochastic integration and martingales;
  • The theory of signal detection, in particular, the problem of detecting the disorder of random
  • processes;
  • Statistics of random processes;
  • Stochastic optimization theory;
  • Insurance and Financial Mathematics.

Program

Practical information

Organizing Committee
Gushchin Alexander Alexandrovich, Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Kordzahiya Nino E, Macquarie University
Mania Michael Gvancievich, Andrea Razmadze Mathematical Institute of I. Javakhishvili Tbilisi State University
Novikov Aleksandr Aleksandrovich, Steklov Mathematical Institute of Russian Academy of Sciences, Moscow; University of Technology, Sydney
Purtukhiya Omar Grishaevich, Tbilisi Ivane Javakhishvili State University
Shashiashvili Malkhaz Aleksandrovich, Kutaisi International University
Stoyanov Jordan, Institute of Mathematics and Informatics, Bulgarian Academy of Sciences
Yaskov Pavel Andreevich, Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Zhitlukhin Mikhail Valentinovich, Steklov Mathematical Institute of Russian Academy of Sciences, Moscow

Financial support
The conference is supported by the Ministry of Science and Higher Education of the Russian Federation (the grant to the Steklov International Mathematical Center, agreement no. 075-15-2022-265).


Institutions
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Steklov International Mathematical Center
Andrea Razmadze Mathematical Institute of I. Javakhishvili Tbilisi State University
Kutaisi International University


International Conference “Stochastic analysis, Statistics of Random Processes and Optimisation” dedicated to the 90th anniversary of Academician Albert Shiryaev, Tbilisi – Bakuriani, December 9–14, 2024

December 9, 2024 (Mon)
1. Opening the conference
N. E. Kordzahiya, O. G. Purtukhiya
December 9, 2024 10:00–10:10, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
2. Welcome from Georgia Mathematical Institute and Tbilisi State University
P. Babilua
December 9, 2024 10:10–10:20, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
3. Information on the Festschrift “Albert Shiryaev - 90” volume
H. Kalantarova
December 9, 2024 10:20–10:25, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
4. List of PhD students of Albert Shiryaev
A. A. Novikov, M. G. Mania
December 9, 2024 10:25–10:45, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
5. Greetings by R. Dalang, A. Zvonkin, J. Stoyanov and other
Greetings from Albert Shiryaev's colleagues around the world
December 9, 2024 10:45–11:00, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
6. Self-Aware Transport of Economic Agents
Andrew Lyasoff
December 9, 2024 11:30–11:50, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
7. Remarks on limit theorems for stochastic processes
J. Kallsen
December 9, 2024 11:50–12:10, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
8. Two-sided problems for Lévy processes: optimal stopping and Dynkin games
É. Mordecki
December 9, 2024 12:10–12:30, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
9. Brownian Motion and Wiener Measure
A. N. Shiryaev
December 9, 2024 12:30–13:00, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall

December 10, 2024 (Tue)
10. On parameter estimation of diffusion-type processes: sequential approach revisited
A. A. Novikov, A. N. Shiryaev, N. E. Kordzahiya
December 10, 2024 15:00–15:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
11. Asymptotic analysis in problems with fractional processes
M. L. Kleptsyna, P. Yu. Chigansky
December 10, 2024 15:45–16:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
12. Stochastic Energy-Balance Model With A Moving Ice Line
I. E. Pavlyukevich
December 10, 2024 16:15–16:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
13. Multilayer heat equations and their solutions via oscillating integrals
D. L. Muravey
December 10, 2024 16:45–17:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
14. F-divergences and Predictable Processes in Probability and Mathematical Finance
L. Yu. Vostrikova
December 10, 2024 17:15–17:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
15. Mutually exciting point processes with latency
V. Volkov
December 10, 2024 17:45–18:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
16. Change-Point Detection in Time Series Using Mixed Integer Programming
Ar. Prokhorov
December 10, 2024 18:15–18:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
17. On the asymptotic behavior of bubble date estimators
A. Skrobotov
December 10, 2024 18:45–19:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall

December 11, 2024 (Wed)
18. The Gapeev-Shiryaev Conjecture
G. Peškir
December 11, 2024 15:00–15:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
19. Yule’s ”nonsense correlation”: Moments and density
Ph. Ernst
December 11, 2024 15:45–16:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
20. Some non-additive change-point (disorder) detection problems for diffusion processes
P. V. Gapeev
December 11, 2024 16:15–16:35, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
21. Optimal Stopping Reversed
E. B. Boguslavskaya
December 11, 2024 16:35–16:55, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
22. Semimartingale modelling in financial markets
T. Schmidt
December 11, 2024 17:05–17:25, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
23. Blotto Game with Testing (The Locks, Bombs and Testing Model)
I. M. Sonin
December 11, 2024 17:25–17:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
24. Attrition Game and Polya Urn Models
V. V. Mazalov
December 11, 2024 17:45–18:05, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
25. Martingales and stochastic evolutionary games
M. V. Zhitlukhin
December 11, 2024 18:20–18:40, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall

December 12, 2024 (Thu)
26. Probabilistic foundations of generative models based on stochastic processes
E. A. Feinberg
December 12, 2024 15:00–15:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
27. Probabilistic approaches to nonlinear parabolic equations and systems
Ya. I. Belopol'skaya
December 12, 2024 15:45–16:05, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
28. On Dobrushin’s central limit theorem for non-homogeneous Markov chain
A. Yu. Veretennikov
December 12, 2024 16:05–16:25, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
29. The Disorder Problem. An approach based on partially observable Markov decision processes
D. S. Donchev
December 12, 2024 16:45–17:05, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
30. Stationary processes, Wiener-Granger causality, and matrix spectral factorization
L. Efremidhze
December 12, 2024 17:05–17:25, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
31. Fractional Brownian motion, problems of prediction and estimation
A. V. Savitskii
December 12, 2024 17:25–17:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
32. Necessary and sufficient conditions for survival strategies in asset markets with endogenous prices
A. A. Tokaeva
December 12, 2024 17:45–18:05, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall

December 13, 2024 (Fri)
33. Systematic Jump Risk
J. Jacod
December 13, 2024 15:00–15:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
34. Optional semimartingales: a new perspective
L. I. Gal'chuk
December 13, 2024 15:45–16:05, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
35. Auto-induced regime switching diffusions and applications
M. L. Esquível
December 13, 2024 16:05–16:25, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
36. Martingale functions of a Brownian motion and their relation with general solutions of several functional equations
M. G. Mania
December 13, 2024 16:45–17:05, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
37. An approach to the Greeks for indifference pricing
O. Mostovyi
December 13, 2024 17:05–17:25, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
38. Backward martingale transport maps and equilibrium with insider
D. O. Kramkov
December 13, 2024 17:25–17:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
39. Hereditary and Lacunary Limit Theorems in Probability and Analysis
I. Karatzas
December 13, 2024 17:45–18:30, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
40. Greetings to Albert Shiryaev
R. Douady
December 13, 2024 18:30–18:40, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
41. TBA
A. N. Shiryaev
December 13, 2024 18:40–19:25, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
42. Closing the Conference
A. A. Novikov
December 13, 2024 19:25–19:30, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
 
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