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

Funded by The Danish National Research Foundation

Conference on

LÚvy Processes

Tentative Program

Monday January 18 Chairman: Philip Protter
9.30-10.00 Coffee/tea and registration
10.00-10.50 Jean Bertoin Structure of shocks in Burgers turbulence with stable noise initial data.
Coffee/tea
11.20-12.10 StÚphane Jaffard Multifractal analysis of the LÚvy-Chentsov fields.
12.30-14.00 Lunch
Chairman: Bernt ěksendal
14.00-14.30 Michael Braverman The supremum of LÚvy processes with light tail.
14.40-15.10 Laurence Marsalle Slow points of local times.
15.20-15.50 Ernst Eberlein Term structure models driven by general L'evy processes.
Coffee/tea
16.10-16.40 Neil Shephard Incorporation of a Leverage Effect in a Stochastic Volatility model.
16.50-17.20 Adam Jakubowski Asymptotic error in approximation of LÚvy processes by discretizations.
18.00 Welcome reception at the City Hall: Buses will depart from the parking lot outside the Department at 17.40.
Tuesday January 19 Chairman: Neil Shephard
9.00-9.50 Bernt ěksendal White noise generalizations of the Clark-Ocone theorem.
10.00-10.50 Francesco Mainardi Three types of random walks for approximation of LÚvy-Feller diffusion processes.
Coffee/tea
11.20-12.10 Francois Bardou Cooling gases with LÚvy flights: using the generalized central limit theorem in physics.
12.30-14.00 Lunch
Chairman: Ernst Eberlein
14.00-14.30 Fred Espen Benth Occupation time and laser cooling.
14.40-15.10 Goran Peskir On the concept of market force: From Smoluchowski's approximation to Burgers' equation.
15.20-15.50 Hanspeter Schmidli Distribution of the First Ladder Height of a Stationary Risk Process Perturbed by LÚvy Motion.
Coffee/tea
16.10-16.40 Philip Protter Martingale Representation: Formulas and Robustness.
16.50-17.20 Bent J°rgensen Tweedie models: a generalization of stable distributions.
Wednesday January 20 Chairman: Maria Emilia Caballero
9.00-9.50 Jan Rosi'nski Series expansions without compensation for infinitely divisible processes.
10.00-10.50 Gennady Samorodnitsky Certain probabilistic aspects of semistable laws.
Coffee/tea
11.20-12.10 Michael Marcus Local times and other continuous additive functionals of LÚvy processes.
12.30-14.00 Lunch
In the afternoon: Sight-seeing/excursion
Thursday January 21 Chairman: TBA
9.00-9.50 David Applebaum LÚvy Processes in Lie Groups and Manifolds.
10.00-10.50 Philippe Carmona Asymptotic behaviour of exponential func- tionals of LÚvy Processes.
Coffee/tea
11.20-12.10 Ken-iti Sato Recurrence and transience of LÚvy processes and some processes with nonstationary independent increments.
12.30-14.00 Lunch
Chairman: TBA
14.00-14.30 Zbigniew Jurek Different aspects of selfdecomposability.
14.40-15.10 Makoto Maejima Semi-selfdecomposability and semiselfsimilarity.
15.20-15.50 : A. Reza Soltani Multiparameter LÚvy Stable Noise and a Selection Procedure.
Coffee/tea
16.10-16.40 Niels Jacob The symbol of a Markov process.
16.50-17.20 RenÚ L. Schilling LÚvy processes and function spaces.
Friday January 22 Chairman: TBA
9.00-9.50 Pio Andrea Zanzotto On stochastic differential equations driven by Cauchy Process and the other $\alpha$-Stable Motions.
10.00-10.50 : Maria Emilia Caballero Regularity of the Cauchy principal value of some LÚvy processes.
Coffee/tea
11.20-12.10 Uwe KŘchler On inverse local times, spectral measures and life-time distributions of one-dimensional diffusions.
12.30-14.00 Lunch
Chairman: Jean Bertoin
14.00-14.30 AgnÚs Sulem Optimal portfolio and consumption in a jump diffusion market.
14.40-15.10 Victor Perez-Abreu TBA.
15.20-15.50 Albert Shiryaev Around the extensions of P. LÚvy's distributional theorem.
15.50-16.10 Concluding remarks

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