Laboratoire Manceau
de Mathématiques
Equipe d'Accueil N° 3263
Membre de la Fédération de mathématiques des Pays de Loire
Faculté des Sciences et Techniques - Université du Maine
Program
Workshop : S.A.P.S. X (17-20 Mars 2015) Presentation Program Participants Practical Information for Participants Dinner

Asymptotical Statistics of Stochastic Processes X

(Statistique Asymptotique des Processus Stochastiques X)

Le Mans, 17 - 20 March, 2015

Tuesday, March 17

- Morning session chair : Podolskij M. 
- Afternoon session chair : Gushchin A.

09h00 - 09h10 Opening
09h10 - 09h45 Yoshida N. Ultra high frequency data and statistical inference : back to the continuous-time paradigm. Abstract Slides Photo
09h45 - 10h20 Koike Y. Detecting infinitesimal lead-lag effects from noisy high-frequency data. Abstract Slides Photo
10h20 - 10h40 Break
10h40 - 11h15 Küchler U. Sequential parameter estimators with guaranteed
accuracy for delay differential equations.
Abstract Slides Photo
11h15 - 11h50 Gushchin A. Continuity of stationary solutions of delay differential equations driven by Lévy processes. Abstract Slides Photo
11h50 - 11h55 Break
11h55 - 12h30 Höpfner R. Harris recurrence for strongly degenerate stochastic systems, with application to stochastic Hodgkin-Huxley models. Abstract Slides Photo
12h30 - 14h00 Lunch
14h00 - 14h35 Negri I. Z-process method for statistical change point problems. Abstract Slides Photo
14h35 - 15h10 Bosq D. Detecting instants of jumps and estimating intensity of jumps from continuous or discrete data. Abstract Slides Photo
15h10 - 15h30 Break
15h30 - 16h05 Dachian S. On hypotheses testing for Poisson processes : regular and singular cases. Abstract Slides Photo
16h05 - 16h40 Chigansky P. Inference in models with mixed fractional Brownian motion part II. Abstract Slides Photo
16h40 - 16h50 Break
16h50 - 17h25 Mishura Yu. Consistency of the drift parameter estimator for the discretized Ornstein-Uhlenbeck process involving fBm with Hurst index  \textit{H} \in (0, {1\over 2} )
.
Abstract Slides Photo
17h25 - 18h00 Ralchenko K. Drift parameter estimation in models with fractional Brownian motion by discrete observations. Abstract Slides Photo

Wednesday, March 18

- Morning session chair : Höpfner R.
- Afternoon session chair : Küchler U.

09h00 - 09h35 Ibragimov I. On the estimation of analytic intensity density Poisson random fields. Abstract Slides Photo
09h35 - 10h10 Golubev Yu.. Minimax interpolation of smooth random processes. Abstract Slides Photo
10h10 - 10h30 Break
10h30 - 11h05 Dalalyan A. Langevin diffusion and approximate sampling from a smooth and log-concave density. Abstract Slides Photo
11h05 - 11h40 Ogihara T. Parametric inference for diffusion processes with noisy, nonsynchronous observations. Abstract Slides Photo
11h40 - 11h55 Break
11h55 - 12h30 Cialenco I. Hypothesis testing for Stochastic PDEs. Abstract Slides Photo
12h30 - 14h00 Lunch
14h00 - 14h35 Bercu B. Large deviations for the Ornstein-Uhlenbeck process without tears. Abstract Slides Photo
14h35 - 15h10 Lototsky S. Parameter estimation in second-order continuous time Gaussian autoregressions. Abstract Slides Photo
15h10 - 15h30 Break
15h30 - 16h05 Kamatani K. Efficient strategy of MCMC in high-dimensional and its application to diffusion process. Abstract Slides Photo
16h05 - 16h40 Dehay D. Block bootstrap for Poisson-sampled almost periodic processes. Abstract Slides Photo
16h40 - 17h10 Mourid T. Parametric estimation in non recurrent diffusion processes. Abstract Slides Photo
17h10 - 17h20 Break
17h20 - 18h00 Poster Session Ben Abdeddaiem M., Cai C., Gasparyan S., Korso M., Motrunich A., Rozanov A.E. and Litvinov S.V., Top A., Yang L., Zhou L.

Thursday, March 19

- Morning session chair : Mishura Y.

09h00 - 09h35 Gloter A. Local asymptotic mixed normality property for discretely observed SDE driven by stable Lévy processes. Abstract Slides Photo
09h35 - 10h10 Masuda H. On variants of stable quasi-likelihood for Lévy driven SDE. Abstract Slides Photo
10h10 - 10h30 Break
10h30 - 11h05 Podolskij M. Limit theorems for stationary increments Lévy driven moving average processes. Abstract Slides Photo
11h05 - 11h40 Shimizu Y. LSE-type estimation for stochastic processes with small Lévy noise. Abstract Slides Photo
11h40 - 11h45 Break
11h45 - 12h20 Pergamenchtchikov S. Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions. Abstract Slides Photo
12h20 - 14h00 Lunch
15h00 - 17h00 Excursion in "Vieux Mans"
20h00 Conference Dinner Photos

Friday, March 20

- Morning session chair : Uchida M.
- Afternoon session chair : Yoshida N.

09h00 - 09h35 Burnashev M. Some comparison theorems for minimax detection of Gaussian stochastic signals. Abstract Slides Photo
09h35 - 10h10 Ermakov M. On consistent hypothesis testing. Abstract Slides Photo
10h10 - 10h30 Break
10h30 - 11h05 Martynov G. Cramér-von Mises test for Gaussian distribution in Hilbert Space. Abstract Slides Photo
11h05 - 11h40 Solev V. Vector Hunt-Mackenhoupt-Wheeden condition and an estimating problem. Abstract Slides Photo
11h40 - 11h45 Break
11h45 - 12h20 Dabye A. On minimum Lp -distance estimation for inhomogeneous Poisson processes. Abstract Slides Photo
12h20 - 14h00 Lunch
14h00 - 14h35 Zaiats V. On asymptotically efficient estimation in partially observed systems. Abstract Slides Photo
14h35 - 15h10 Uchida M. Hybrid multi-step estimation of the volatility for stochastic regression models. Abstract Slides Photo
15h10 - 15h45 Kutoyants Yu. On multi-step MLE-processes for some stochastic models. Abstract Slides Photo
15h45 Closing
Laboratoire Manceau de Mathématiques
Université du Maine - Faculté des Sciences et Techniques
Avenue Olivier Messiaen - 72085 Le Mans Cedex 9 (France)
Tel : +(33) 2 43 83 32 19
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