Centre for Mathematical Physics and Stochastics

Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

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 | ||

Coffee/tea | ||||

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 | ||

Coffee/tea | ||||

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 | ||

Coffee/tea | ||||

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 | ||

Coffee/tea | ||||

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 | ||

Coffee/tea | ||||

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 | ||

Coffee/tea | ||||

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 | ||

Coffee/tea | ||||

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 | ||

Coffee/tea | ||||

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 |

Thomas Mikosch, University of Copenhagen

Elisa Nicolato, University of Aarhus

Goran Peskir, University of Aarhus

Ole E. Barndorff-Nielsen, University of Aarhus

(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`.