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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.
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.
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.
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.
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.
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.
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.
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.
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.