Workshop on
Computational Stochastics
Monday January 17 - Friday January 21, 2000
Auditorium G1
Department of Mathematical Sciences
University of Aarhus
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Workshop onComputational StochasticsMonday January 17 - Friday January 21, 2000Auditorium G1
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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).
Monday 17 January
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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.
Coffee/tea
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
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Chairman: Søren Asmussen
William Stewart:
9.00-9.50 Numerical methods for Markov chains.
Coffee/tea
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.
Coffee/tea
Laird Breyer:
15.30-16.00 Automatic ways of coupling Markov chains.
Wednesday 19 January
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Chairman: Søren Asmussn
William Stewart:
9.00-9.50 Numerical methods for Markov chains.
Coffee/tea
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
Coffee/tea
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
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Chairman: Dietrich Stoyan
9.00-9.50 Adrian Baddeley: Conditional simulation.
Coffee/tea
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.
Coffee/tea
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
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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.
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Please make further inquiries to the local organizers Søren Asmussen and Eva B. Vedel Jensen.