Program
Program
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. |
Slides (ps) |
|
10h50 - 11h25 |
A. DALALYAN (Paris) Second-order asymptotic expansion for the estimator of the covariance of two asynchronously observed diffusion processes |
Slides (pdf) |
|
Break | ||
|
11h35- 12h10 |
Y. GOLUBEV (Marseille) Ordered processes and high dimensional linear models |
Slides (pdf |
|
12h10- 12h45 |
S. LOTOTSKY (Los Angeles) Parameter estimation in stochastic partial differential equations |
Slides (pdf) |
|
Lunch | ||
|
14h30- 15h05 |
A. LYASOFF (Boston) Continuous time interpretation of discrete-time market data revisited |
Slides (pdf) |
|
15h05- 15h40 |
Y. SHIMIZU (Osaka) A practical approach to the inference for jump-diffusions from finite samples |
Slides (pdf) |
|
Break | ||
|
15h50- 16h25 |
M. FUKASAWA (Tokyo) Space discretized observation from continuous processes |
Slides (pdf) |
|
16h25- 17h00 |
R. HÖPFNER (Mainz) Estimating diffusion coefficient and drift in a set of neuronal data |
Slides (pdf) |
|
Break | ||
|
17h10- 17h45 |
S. IACUS (Milano) Estimation for the standard and geometric telegraph process |
Slides (pdf) |
|
17h45- 18h20 |
N. PRIVAULT (Poitiers) Stein estimation for the drift of Gaussian processes using the Malliavin calculus. |
Morning session chair : M. MALYUTOV
Afternoon session chair : U. KÜCHLER
|
09h00-09h35 |
R. KHASMINSKII (Detroit) Filtering smooth signals for diffusion observed process |
Slides (pdf) |
|
09h35-10h10 |
P. CHIGANSKI (Le Mans) Filtering in strong noise |
Slides (pdf ) |
|
Break | ||
|
10h25-11h00 |
R. LIPTSER (Tel Aviv) Tracking volatility |
Slides (pdf ) |
|
11h00-11h35 |
A. VERETENNIKOV (Leeds) On Markov ergodic diffusion filtering in non-specified cases |
Slides (pdf) |
|
Break | ||
|
11h50-12h25 |
D. BOSQ (Paris) Adaptive projection estimation for a class of functional parameters |
Slides (pdf) |
|
Lunch | ||
|
14h30-15h05 |
T. HAYASHI (Keio) Nonsynchronous covariation with application to finance |
Slides (pdf) |
|
15h05-15h40 |
D. DEHAY (Rennes) Subsampling for non stationary processes |
Slides (pdf) |
|
Break | ||
|
15h50-16h25 |
Y. NISHIYAMA (Tokyo) Nonparametric estimation and testing time homogenity for Levy process |
Slides (pdf) |
|
16h25-17h00 |
M. MALYUTOV (Boston) On two discriminators between two classes of random processes |
Slides (pdf) |
Morning session chair : Y. KUTOYANTS
Afternoon session chair : N. YOSHIDA
|
09h00- 09h35 |
U. KÜCHLER (Berlin) News from sequential analysis for stochastic delay differential equations | |
|
09h35- 10h10 |
A. GUSHCHIN (Moscow) Parameter estimation for stationary solutions of stochastic delay equations |
Slides (pdf |
|
Break | ||
|
10h25- 11h00 |
T. MOURID (Tlemcen) Statistical problems on the number of delays in SDE |
Slides (pdf) |
|
11h00- 11h35 |
N. LIMNIOS (Compiegne) Nonparametric estimation in semi-Markov processes |
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 |
Slides (pdf) |
|
Lunch | ||
|
14h30- 15h05 |
H. MASUDA (Kyushu) A simple estimator of a discretely observed stable process |
Slides (pdf |
|
15h05- 15h40 |
I. NEGRI (Bergamo) Asymptotical distribution free test for the drift of a diffusion process |
Slides (pdf) |
|
Break | ||
|
15h50- 16h25 |
S. DACHIAN (Clermont-Ferrand) Hypotheses testing for some point processes |
Slides (pdf) |
|
16h25- 17h00 |
Y. KUTOYANTS (Le Mans) On Goodness-of-Fit testing for continuous time processes |
Slides (pdf) |
