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Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

2nd MaPhySto Conference on

Lévy Processes - Theory and Applications

21-25 January 2002

University of Aarhus

Department of Mathematical Sciences, University of Aarhus
Auditorium F, Building 534

This Conference was a sequel to the international conference, with the same title, organized by MaPhySto 7-22 January 1999. As a result of the interest engendered by the first conference, it was decided to have Lévy processes as an ongoing thematic topic for MaPhySto activities, for several years. Information on past such activities can be found at the MaPhySto website. See moreover the recently published volume, from Birkhäuser, having also the title Lévy Processes. Theory and Applications (Editors: O.E. Barndorff-Nielsen, T. Mikosch and S. Resnick).


Sunday January 20
20.00-21.30 Registration at Hotel Radisson, Margrethepladsen 1, 8000 Aarhus C
Monday January 21 Chairman: Ken-iti Sato
08.00-08.45 Registration at the Department of Mathematical Sciences, University of Aarhus
08.45-09.00 Welcome
09.00-09.30 Marc Yor Self similar processes with independent increments associated with Lévy Bessel processes
09.30-10.00 Toshiro Watanabe Limit theorems for selfsimilar additive processes
10.30-11.00 Werner Linde Stable processes and metric entropy
11.00-11.30 Michael Braverman Tail probabilities of subadditive functionals acting on Lévy processes
11.30-12.00 Søren Asmussen Martingale calculations for Lévy-driven Russian options and many-server queues
12.30-14.00 Lunch
Chairman: Jørgen Hoffmann-Jørgensen
14.00-14.30 Jean Bertoin Smoluchowski's coagulation equation and Lévy processes
14.30-15.00 Wim Schoutens The Meixner process: Theory and applications in finance
15.00-15.30 Serge Cohen Introduction to Fractional Lévy Motions
16.00-16.30 Victor Pérez-Abreu On recent results on type G multivariate laws
16.30-17.00 Gérard Letac The use of Lévy processes in the classification of the exponential families
Tuesday January 22 Chairman: Søren Asmussen
09.00-09.30 David Applebaum Lévy processes in the Heisenberg group
09.30-10.00 Anatoly N. Kochubei A stable-like process over an infinite extension of a local field
10.30-11.00 Ernst Eberlein Modelling of Lévy term structures
11.00-11.30 Fred Espen Benth Merton's portfolio optimization problem and non-Gaussian stochastic volatility
11.30-12.00 Tom Hurd Portfolio selection in Lévy markets via Hellinger processes
12.00-12.30 Robert Tompkins On explicit option pricing in OU-type and related stochastic volatility models
12.30-14.00 Lunch
Chairman: Thomas Mikosch
14.00-14.30 Barbara Rüdiger The Lévy-Ito decomposition theorem on separable Banach spaces
14.30-15.00 Uwe Franz Free Lévy processes on dual groups
15.00-15.30 Steen Thorbjørnsen The Lévy-Ito decomposition in free probability
16.00-16.30 Niels Jacob Fractional derivatives, pseudo-differential operators and Lévy(-type) processes
16.30-17.00 René Schilling On the construction of Feller and Lévy-type processes starting with the symbol of the process
19.00 Welcome reception at Århus Kongreshus, Amaliegade
Wednesday January 23 Chairman: Bent Jesper Christensen
09.00-09.30 David Nualart Predictable representation for Lévy processes and applications
09.30-10.00 Rama Cont Implied volatility surfaces in financial models based on Lévy processes
10.30-11.00 Claudia Klüppelberg Optimal portfolios with bounded capital-at-risk
11.00-11.30 Dilip B. Madan Self decomposability and option pricing
11.30-12.00 Matthias Winkel Some aspects of subordinators and subordination
12.00-12.30 Neil Shephard Realised power variation and stochastic volatility models (joint work with Ole E. Barndorff-Nielsen).
12.30-13.30 Lunch
13.30-approx. 18.30: Sight-seeing/excursion
Thursday January 24 Chairman: Gérard Letac
09.00-09.30 Jean Jacod Rate of convergence of the Euler schemes for equations driven by Lévy processes
09.30-10.00 Peter J. Brockwell Lévy-driven continuous-time ARMA processes with financial applications
10.30-11.00 Jan Rosinski Tempered stable and related processes
11.00-11.30 Magnus Wiktorsson Approximation of subordinated Lévy processes with infinite jump rate and some related stochastic integrals
11.30-12.00 Rudolf Gorenflo Non-Markovian random walks, scaling, and diffusion limits (joint work with Francesco Mainardi)
12.00-12.30 Ken-iti Sato Lévy processes and convolution semigroups with parameter in a cone (joint work with Jan Pedersen)
12.30-14.00 Lunch
Chairman: David Applebaum
14.00-14.30 Gennady Samorodnitsky Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions
14.30-15.00 Jean Picard Smoothness of harmonic functions for Markov processes with jumps
15.00-15.30 Makoto Yamazato Lévy measures of the hitting time distributions for skip-free Lévy processes
16.00-16.30 Friedrich Hubalek On a conjecture of Barndorff-Nielsen relating probability and Lévy densities
16.30-17.00 Walter Hoh On L^p-semigroups capacities and balayage
19.00 Conference dinner at the Department of Mathematical Sciences
Friday January 25 Chairman: Marc Yor
09.00-09.30 Wojbor A. Woyczynski Critical nonlinearity exponents for Lévy conservation laws
09.30-10.00 Raymond F. Streater Fock decomposition of infinitely divisible processes
10.30-11.00 Martin Schlather A dependence measure for the extreme values of positive OU processes
11.00-11.30 Mykola Leonenko Dynamic models of long-memory processes driven by Lévy noise
11.30-12.00 Andreas Kyprianou Exit problems for (reflected) spectrally negative Lévy and applications to exotic option pricing
12.00-12.30 Ronald A. Doney Boundary crossing problems for Lévy processes
12.30-13.00 Jean-Francois Le Gall The stable continuum random tree
13.00-14.00 Lunch


Wednesday January 23 in the afternoon: Sight-seeing/excursion to Ebeltoft with a visit to the Glasmuseum and to the old town hall. For more information see: http://www.ebeltoftturist.dk/engelsk/gbframe.htm and http://www.glass.dk/index.htm


Ken-Iti Sato, Nagoya University, Japan
Thomas Mikosch, University of Copenhagen
Elisa Nicolato, University of Aarhus
Goran Peskir, University of Aarhus
Ole E. Barndorff-Nielsen, University of Aarhus

List of participants

More Information

Do not hesitate to contact us for further information, at any of the below-mentioned addresses.

(This announcement in [ postscript-format | pdf-format ])

This document, http://www.maphysto.dk/oldpages/events/2ndLevyConf2002/index.html, was last modified January 19, 2004. Questions or comments to the contents of this document should be directed to maphysto@maphysto.dk.