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. VI (21-23 Mars 2007) Participants Presentation Program

SAPS VI

Program of 21, 22, 23 March 2007

Wednesday,
March 21


Morning session chair : R. HÖPFNER

Afternoon session chair : R. LIPTSER

10h00
- 10h15
Opening  
10h15- 10h50 N. YOSHIDA (Tokyo). PLD and SDE with jumps. AbstractPhoto

Slides (ps)

10h50
- 11h25
A. DALALYAN (Paris) Second-order asymptotic expansion for the estimator of the covariance of two asynchronously observed diffusion processes AbstractPhoto

Slides (pdf)

Break   
11h35
- 12h10
Y. GOLUBEV (Marseille) Ordered processes and high dimensional linear models AbstractPhoto

Slides (pdf
)

12h10
- 12h45
S. LOTOTSKY (Los Angeles) Parameter estimation in stochastic partial differential equations AbstractPhoto

Slides (pdf)

Lunch  
14h30
- 15h05
A. LYASOFF (Boston) Continuous time interpretation of discrete-time market data revisited AbstractPhoto

Slides (pdf)

15h05
- 15h40
Y. SHIMIZU (Osaka) A practical approach to the inference for jump-diffusions from finite samples AbstractPhoto

Slides (pdf)

Break   
15h50
- 16h25
M. FUKASAWA (Tokyo) Space discretized observation from continuous processes AbstractPhoto

Slides (pdf)

16h25
- 17h00
R. HÖPFNER (Mainz) Estimating diffusion coefficient and drift in a set of neuronal data AbstractPhoto

Slides (pdf)

Break   
17h10
- 17h45
S. IACUS (Milano) Estimation for the standard and geometric telegraph process AbstractPhoto

Slides (pdf)

17h45
- 18h20
N. PRIVAULT (Poitiers) Stein estimation for the drift of Gaussian processes using the Malliavin calculus. AbstractPhoto

Slides (pdf)

Thursday,
March 22


Morning session chair : M. MALYUTOV

Afternoon session chair : U. KÜCHLER

09h00
- 09h35
R. KHASMINSKII (Detroit) Filtering smooth signals for diffusion observed process AbstractPhoto

Slides (pdf)

09h35
- 10h10
P. CHIGANSKI (Le Mans) Filtering in strong noise AbstractPhoto

Slides (pdf

)

Break   
10h25
- 11h00
R. LIPTSER (Tel Aviv) Tracking volatility AbstractPhoto

Slides (pdf

)

11h00
- 11h35
A. VERETENNIKOV (Leeds) On Markov ergodic diffusion filtering in non-specified cases AbstractPhoto

Slides (pdf)

Break   
11h50
- 12h25
D. BOSQ (Paris) Adaptive projection estimation for a class of functional parameters AbstractPhoto

Slides (pdf)

Lunch   
14h30
- 15h05
T. HAYASHI (Keio) Nonsynchronous covariation with application to finance AbstractPhoto

Slides (pdf)

15h05
- 15h40
D. DEHAY (Rennes) Subsampling for non stationary processes AbstractPhoto

Slides (pdf)

Break   
15h50
- 16h25
Y. NISHIYAMA (Tokyo) Nonparametric estimation and testing time homogenity for Levy process AbstractPhoto

Slides (pdf)

16h25
- 17h00
M. MALYUTOV (Boston) On two discriminators between two classes of random processes AbstractPhoto

Slides (pdf)

Friday,
March 23


Morning session chair : Y. KUTOYANTS

Afternoon session chair : N. YOSHIDA

09h00
- 09h35
U. KÜCHLER (Berlin) News from sequential analysis for stochastic delay differential equations AbstractPhoto Slides (pdf)
09h35
- 10h10
A. GUSHCHIN (Moscow) Parameter estimation for stationary solutions of stochastic delay equations AbstractPhoto

Slides (pdf
)

Break   
10h25
- 11h00
T. MOURID (Tlemcen) Statistical problems on the number of delays in SDE AbstractPhoto

Slides (pdf)

11h00
- 11h35
N. LIMNIOS (Compiegne) Nonparametric estimation in semi-Markov processes AbstractPhoto

Slides (pdf)

Break   
11h50
- 12h25
M. NIKULIN (Bordeaux) Statistical analysis of failures of a redundant system with one operating unit and one stand-by unit in warm operating state AbstractPhoto

Slides (pdf)

Lunch   
14h30
- 15h05
H. MASUDA (Kyushu) A simple estimator of a discretely observed stable process AbstractPhoto

Slides (pdf
)

15h05
- 15h40
I. NEGRI (Bergamo) Asymptotical distribution free test for the drift of a diffusion process AbstractPhoto

Slides (pdf)

Break   
15h50
- 16h25
S. DACHIAN (Clermont-Ferrand) Hypotheses testing for some point processes AbstractPhoto

Slides (pdf)

16h25
- 17h00
Y. KUTOYANTS (Le Mans) On Goodness-of-Fit testing for continuous time processes AbstractPhoto

Slides (pdf)

17h00 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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