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. VII (16-19 Mars 2009) Participants Practical Information for Participants Présentation Program

SAPS VII

Program of 16, 17, 18 and 19 March 2009

Monday,
March 16


Morning session chair : R. HÖPFNER
Afternoon session chair : V. ZAIATS

09h00
- 09h10
Opening  
09h10- 09h45 N. YOSHIDA (Tokyo) Asymptotic expansion for the asymptotically conditionally normal law. AbstractPhoto
Slides (pdf)
09h45
- 10h20
A. DALALYAN (Paris) Sparse recovery by aggregation and langevin monte-carlo (joint work with A. Tsybakov). AbstractPhoto
Slides (pdf)
Break    
10h35
- 11h10
S. LOTOTSKY (Los Angeles) Parameter estimation in stochastic hyperbolic equations (joint work with W. Liu). AbstractPhoto
Slides (pdf)
11h10
- 11h45
D. LOUKIANOVA (Evry) Penalized nonparametric drift estimation in continuous time one-dimensional diffusion (joint work with E. Löcherbach and O. Loukianov). AbstractPhoto
Slides (pdf)
Break    
11h50
- 12h25
H. MASUDA (Kyushu) Quasi-likelihood estimation of a Levy-driven SDE and its application. AbstractPhoto
Slides (pdf)
Lunch   
14h15
- 14h50
U. KÜCHLER (Berlin) Statistical properties of affine stochastic delay differential equations. AbstractPhoto

Slides (pdf)

14h50
- 15h25
A. GUSHCHIN (Moscow) Approximations and limit theorems for log-likelihood ratio processes (joint work with E. Valkeila). AbstractPhoto

Slides (pdf)

Break    
15h40
- 16h15
T. MOURID (Tlemcen) Statistical problems on the delays measure density in small diffusion processes. AbstractPhoto
Slides (pdf)
16h15
- 16h50
L. SAKHANENKO (East Lansing) Integral curve estimation : methodology and applications to diffusion tensor imaging. AbstractPhoto
Slides (pdf)
Break    
16h55
- 17h30
D. DEHAY (Rennes) On the convergence in law of some empirical estimators. AbstractPhoto
Slides (pdf)

Tuesday,
March 17


Morning session chair : N. YOSHIDA
Afternoon session chair : U. KÜCHLER

09h00
- 09h35
R. KHASMINSKII (Detroit) Nonlinear functionals estimation for Poisson observed processes. AbstractPhoto
Slides (pdf)
09h35
- 10h10
I. IBRAGIMOV (St. Petersburg) On the estimation of analytic intensity density function of Poisson random fields. AbstractPhoto
Slides (pdf)
Break    
10h25
- 11h00
S. DACHIAN (Clermont-Ferrand) On limiting likelihood ratio processes of some change-point type statistical models. AbstractPhoto
Slides (pdf)
11h00
- 11h35
R. LIPTSER (Tel Aviv) Example of LDP approach to smoothing problem (joint work with F. Klebaner). AbstractPhoto
Slides (pdf)
Break    
11h40
- 12h15
D. BOSQ (Paris) Tensorial products of functional ARMA processes. Application to estimation of covariance functions. AbstractPhoto
Slides (pdf)
Lunch   
14h00
- 14h35
J. JACOD (Paris) Does a discretely observed process have infinitely many jumps ? (joint work with Y. Aït-Sahalia). AbstractPhoto Slides (pdf)—>
14h35
- 15h10
M. UCHIDA (Osaka) Estimation of the volatility for stochastic differential equations (joint work with N. Yoshida). AbstractPhoto
Slides (pdf)
Break    
15h25
- 16h00
M. SØRENSEN (Copenhagen) Efficient estimation for ergodic SDE models sampled at high frequency. AbstractPhoto
Slides (pdf)
16h00
- 16h35
M. FUKASAWA (Osaka) Martingale expansion in Finance. AbstractPhoto
Slides (pdf)
Break    
16h40
- 17h15
L. VOSTRIKOVA (Angers) On stability of call/put option prices in incomplet models under statistical estimations. AbstractPhoto
Slides (pdf)
17h15
- 17h50
M. ROSENBAUM (Paris) On lead-lag estimation. AbstractPhoto
Slides (pdf)

Wednesday,
March 18


Morning session chair : Y. KUTOYANTS

09h00
- 09h35
R. HÖPFNER (Mainz) Estimating discontinuous periodic signals in a time inhomogeneous diffusion (joint work with Y. Kutoyants). AbstractPhoto
Slides (pdf)
09h35
- 10h10
P. JAHN (Mainz) Statistical problems related to excitation threshold and reset value of membrane potentials. AbstractPhoto

Slides (pdf)

Break    
10h25
- 11h00
M. MALYUTOV (Boston) Modeling protein diffusion-like motion over cell membranes. AbstractPhoto
Slides (pdf)
11h00
- 11h35
M. HAMMER (Mainz) On the invariant measure for branching diffusions with immigration. AbstractPhoto

Slides (pdf)

Break    
11h40
- 12h15
I. NEGRI (Bergamo) Goodness of fit test for diffusions by different sample schemes (joint work with Y. Nishiyama and H. Masuda). AbstractPhoto
Slides (pdf)
Lunch    
13h30
- 19h30
Excursion in "Chateau de Chambord"  
20h00 Conference Dinner  

Thursday,
March 19


Morning session chair : S. LOTOTSKY
Afternoon session chair : I. IBRAGIMOV

09h00
- 09h35
M. BURNASHEV (Moscow) On some lower bounds in testing of hypotheses and information theory. AbstractPhoto

Slides (pdf)

09h35
- 10h10
M. ERMAKOV (St. Petersburg) Testing nonparametric hypothesis with the small type I or type II error probabilities. AbstractPhoto

Slides (pdf)

Break    
10h25
- 11h00
P. CHIGANSKY (Jerusalem) MLE in the partially observed setting : the continuous time case. AbstractPhoto
Slides (pdf)
11h00
- 11h35
A. BROUSTE (Le Mans) Asymptotic properties of maximum likelihood estimator for partially observed fractional diffusion system (joint work with M. Kleptsyna). AbstractPhoto
Slides (pdf)
Break    
11h40
- 12h15
S. IACUS (Milano) Pseudo-divergence test statistics for multidimensional diffusion processes observed at discrete times (joint work with A. De Gregorio). AbstractPhoto
Slides (pdf)
Lunch   
14h00
- 14h35
M. GINOVIAN (Boston) Estimation of spectral functionals for continuous-time stationary models. AbstractPhoto

Slides (pdf)

14h35
- 15h10
V. ZAIATS (Barcelona) Different approaches to statistical estimation of the response function. AbstractPhoto

Slides (pdf)

Break    
15h25
- 16h00
V. SOLEV (St. Petersburg) Estimation of function from noisy data. Abstract, —> Photo
Slides (pdf)
16h00
- 16h35
M. NIKULIN (Bordeaux) Statistical analysis of reliability of redundant systems with "warm" stand-by units (joint work with V. Bagdonavicius and I. Masiulaityte). AbstractPhoto
Slides (pdf)
Break    
16h40
- 17h15
Y. KUTOYANTS (Le Mans) On parameter estimation for threshold models. AbstractPhoto
Slides (pdf)
17h15 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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