MaPhySto logo

Workshop on

Computational Stochastics

Monday January 17 - Friday January 21, 2000

Auditorium G1
Department of Mathematical Sciences
University of Aarhus

StocLab logo

Computational stochastics is a new and expanding area of stochastics, dealing with computational methods of analyzing complex mathematical and statistical models. This workshop intended to reveal and discuss the potential strength and impact of this new discipline in a variety of applications. The workshop was held at the Department of Mathematical Sciences, University of Aarhus, and was organized by StocLab (Laboratory for Computational Stochastics) and MaPhySto (Centre for Mathematical Physics and Stochastics), University of Aarhus. The organizing committee consisted of Søren Asmussen (Lund) and Eva B. Vedel Jensen (Aarhus).

Schedule for the Workshop (final)

Monday 17 January

09.00-10.00   Registration and coffee/tea

                       Chairman: Eva B. Vedel Jensen

10.00-10.10   Ole E. Barndorff-Nielsen: Welcome.

              Ole Mouritsen:
10.10-11.00   The third science _ the computer experiment.

              Ole Mouritsen:
11.10-12.00   The third science _ the computer experiment.

12.30-14.00    Lunch

                         Chairman: Adrian Baddeley
              Ian Dryden:
14.00-14.50   Stochastic deformation.


              Ian Dryden:
15.10-16.00   Stochastic deformation.

              Olivier Perrin:
16.10-16.40   Estimating a non-stationary spatial structure using 
              simulated annealing.

              Günter Döge:
16.45-17.15   Grand canonical simulations of hard-disk systems by 
              simulated tempering.

17.15-18.30   Welcome Reception

Tuesday 18 January
                         Chairman: Søren Asmussen

              William Stewart:
9.00-9.50     Numerical methods for Markov chains.


              William Stewart:
10.10-11.00   Numerical methods for Markov chains.

              Paul Glasserman:
11.10-12.00   Variance Reduction Techniques for Simulating Value-at-Risk.

12.30-14.00    Lunch

                           Chairman: Ian Dryden

              Ole F. Christensen:
14.00-14.30   Analysis of spatial data using generalized linear mixed 
              models and Langevin-type Markov chain Monte Carlo.

              Søren Feodor Nielsen:
14.35-15.05   Simulated EM algorithms: A comparison.


              Laird Breyer:
15.30-16.00   Automatic ways of coupling Markov chains.


Wednesday 19 January

                              Chairman: Søren Asmussn

              William Stewart:
9.00-9.50     Numerical methods for Markov chains.


              William Stewart:
10.10-11.00   Numerical methods for Markov chains.

              Paul Glasserman:
11.10-12.00   Pricing American Options by Simulation.

12.30-16.00   Conference Dinner/Lunch & Excursion


                              Chairman: Ute Hahn

              Niels Væver Hartvig:
16.40-17.10   A stochastic geometry model for fMRI data.

              Fabio Spizzichino:
17.30-18.00   Exchangeable heterogeneous populations and computation of 
              probability distributions for vectors of "occupation numbers".

Thursday 20 January

                         Chairman: Dietrich Stoyan

9.00-9.50    Adrian Baddeley: Conditional simulation.


10.10-11.00   Adrian Baddeley: Conditional simulation.

              Anders Krogh:
11.10-12.00   Applications of hidden Markov models in molecular biology.

12.30-14.00    Lunch

                          Chairman: Anders Krogh

              Matthew Stephens:
14.00-14.50   Computationally-Intensive Inference in 
              Molecular Population Genetics.


              Jotun Hein (with B. Knudsen):
15.10-16.00   RNA secondary structure prediction using stochastic context-free
              grammars and evolutionary history.

              Dietrich Stoyan:
16.05-16.35   Statistical  characterisation  of  connectivity  and  
              permeability of porous media.

              Tomas Mrkvicka:
16.40-17.10   Estimation variances for Poisson processes of compact sets.

Friday 21 January

                         Chairman: William Stewart

              Søren Asmussen:
9.00-9.50     Matrix-analytic algorithms for many-server queues.

              Cristina Zucca (with M.T. Giraudo and L. Sacerdote):
10.00-10.30   Evaluation of first passage times of diffusion processes through
              boundaries by means of a totally simulative algorithm.


Participants (final)

More Information

Please make further inquiries to the local organizers Søren Asmussen and Eva B. Vedel Jensen.

This document,, was last modified January 19, 2004. Questions or comments to the contents of this document should be directed to