MaPhySto - Conference on Lévy Processes

Lévy 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	Stéphane Jaffard	Multifractal analysis of the Lévy-Chentsov fields.
12.30-14.00	Lunch
	Chairman: Bernt Øksendal
14.00-14.30	Michael Braverman	The supremum of Lévy 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 Lévy 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 Øksendal	White noise generalizations of the Clark-Ocone theorem.
10.00-10.50	Francesco Mainardi	Three types of random walks for approximation of Lévy-Feller diffusion processes.
Coffee/tea
11.20-12.10	Francois Bardou	Cooling gases with Lévy 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 Lévy Motion.
Coffee/tea
16.10-16.40	Philip Protter	Martingale Representation: Formulas and Robustness.
16.50-17.20	Bent Jørgensen	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 Lévy processes.
12.30-14.00	Lunch
	In the afternoon:	Sight-seeing/excursion
Thursday January 21	Chairman: TBA
9.00-9.50	David Applebaum	Lévy Processes in Lie Groups and Manifolds.
10.00-10.50	Philippe Carmona	Asymptotic behaviour of exponential func- tionals of Lévy Processes.
Coffee/tea
11.20-12.10	Ken-iti Sato	Recurrence and transience of Lévy 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 Lévy Stable Noise and a Selection Procedure.
Coffee/tea
16.10-16.40	Niels Jacob	The symbol of a Markov process.
16.50-17.20	René L. Schilling Lévy 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 Lévy processes.
Coffee/tea
11.20-12.10	Uwe Küchler	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	Agnés 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. Lévy's distributional theorem.
15.50-16.10	Concluding remarks

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

Stéphane Jaffard

Multifractal analysis of the Lévy-Chentsov fields.

12.30-14.00

Lunch

Chairman: Bernt Øksendal

14.00-14.30

Michael Braverman

The supremum of Lévy 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 Lévy 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 Øksendal

White noise generalizations of the Clark-Ocone theorem.

10.00-10.50

Francesco Mainardi

Three types of random walks for approximation of Lévy-Feller diffusion processes.

Coffee/tea

11.20-12.10

Francois Bardou

Cooling gases with Lévy 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 Lévy Motion.

Coffee/tea

16.10-16.40

Philip Protter

Martingale Representation: Formulas and Robustness.

16.50-17.20

Bent Jørgensen

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 Lévy processes.

12.30-14.00

Lunch

In the afternoon:

Sight-seeing/excursion

Thursday January 21

Chairman: TBA

9.00-9.50

David Applebaum

Lévy Processes in Lie Groups and Manifolds.

10.00-10.50

Philippe Carmona

Asymptotic behaviour of exponential func- tionals of Lévy Processes.

Coffee/tea

11.20-12.10

Ken-iti Sato

Recurrence and transience of Lévy 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 Lévy Stable Noise and a Selection Procedure.

Coffee/tea

16.10-16.40

Niels Jacob

The symbol of a Markov process.

16.50-17.20

René L. Schilling Lévy 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 Lévy processes.

Coffee/tea

11.20-12.10

Uwe Küchler

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

Agnés 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. Lévy'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.