Planning

Tuesday, May 21, 2024

Time Event  
10:00 - 10:30 Welcome (Pause café )  
10:30 - 11:00 Opening (Salle de Conférences)  
11:00 - 11:30 Nakahiro Yoshida - Asymptotic expansions for functionals of a fractional Brownian motion  
11:30 - 12:00 Arnak Dalalyan - Some results on the creativity of Wasserstein GANs  
12:00 - 14:00 Lunch (Salle de Déjeuner)  
14:00 - 14:30 Pavel Chigansky (Salle de Conférences) - Asymptotic analysis in some problems with fractional Brownian motion  
14:30 - 15:00 Massaki Fukasawa (Salle de Conférences) - Realized cumulants for martingales  
15:00 - 15:30 Stefano Iacus (Salle de Conférences) - Network Stochastic Differential Equations  
15:30 - 16:00 Coffee break (Pause café )  
16:00 - 16:30 Sergei Dachian (Salle de Conférences) - On Smooth Change-Point Location Estimation for Poisson Processes and Skorokhod Topologies  
16:30 - 17:00 Azzouz Dermoune (Salle de Conférences) - Forcasting the amplitude, the location and the width of the peak of a time series using the weighted median  
17:00 - 18:00 Discussions  
19:30 - 22:00 Conférence's dinner - Restaurant Brasserie Madeleine  

Wednesday, May 22, 2024

Time Event  
09:00 - 10:00 Discussions  
10:00 - 10:30 Coffee break (Pause café )  
10:30 - 11:00 Shige Peng (Salle de Conférences) - Space-time white noises in a nonlinear expectation space  
11:00 - 11:30 Etienne Pardoux (Salle de Conférences) - Recent results on epidemic models  
11:30 - 12:00 Nizar Touzi (Salle de Conférences) - Viscosity solution for the HJB on the process space  
12:00 - 14:00 Lunch (Salle de Déjeuner)  
14:00 - 14:30 Sylvie Méléard (Salle de Conférences) - Exponent dynamics for branching processes  
14:30 - 15:00 Vlad Bally (Salle de Conférences) - CLT in distribution norms and zeros of trigonometric polynomials  
15:00 - 15:30 Jianfeng Zhang (Salle de Conférences) - Set Values and Efficiency of Non-zero Sum Games  
15:30 - 16:00 Coffee break (Pause café )  
16:00 - 16:30 Andrey Piatnitsky - Large time behaviour of jump Markov process in high contrast media  
16:30 - 17:00 Jaime San Martin (Salle de Conférences) - Pathwise uniqueness for a system of SDE with singular coefficients  
17:00 - 18:00 Discussions  

Thursday, May 23, 2024

Time Event  
09:00 - 09:30 Discussions (Salle de Conférences)  
09:30 - 10:00 Coffee break (Pause café )  
10:00 - 10:30 Alain Bensoussan (Salle de Conférences) - An Overview of Hawkes Processes  
10:30 - 11:00 Mathieu Rosenbaum (Salle de Conférences) - The two square root laws of market impact and the role of sophisticated market participants  
11:00 - 11:30 Nicole El Karoui (Salle de Conférences) - Level sets methods in pathwise stochastic optimization problems: examples of revealed utilities and bandit problems.  
11:30 - 14:00 Lunch (Salle de Déjeuner)  
14:00 - 14:30 Boualem Djehiche (Salle de Conférences) - A quantum computing approach to some health and disability insurance contracts  
14:30 - 15:00 Christian-Yann Robert (Salle de Conférences) - Tail index regression for panel data with unobserved heterogeneity  
15:00 - 15:30 Roxana Dumitrescu (Salle de Conférences) - Energy transition: a mean-field game approach  
15:30 - 16:00 Coffee break (Pause café )  
16:00 - 18:00 Discussions (Salle de Conférences)  

Friday, May 24, 2024

Time Event  
09:00 - 10:00 Discussions (Salle de Conférences)  
10:00 - 10:30 Coffee break (Salle de Déjeuner)  
10:30 - 11:00 Marie Kratz (Salle de Conférences) - Efficient estimation in extreme value regression models of hedge funds tail risks  
11:00 - 11:30 Lionel Truquet (Salle de Conférences) - Stability Properties of Certain Markov Chain Models in Random Environments  
11:30 - 12:00 Gilles Stupfler (Salle de Conférences) - Inference for extremal regression with dependent heavy-tailed data  
12:00 - 14:00 Lunch  
14:00 - 14:45 Olivier Lopez (Carré Plantagenet - Le Mans - Centre Ville) - Actuarial science and emerging risks: how to push away the frontiers of insurability  
15:00 - 16:30 Round table (Carré Plantagenet - Le Mans - Centre Ville)  

Saturday, May 25, 2024

Time Event  

Sunday, May 26, 2024

Time Event  

Monday, May 27, 2024

Time Event  
09:30 - 10:00 Coffee break  
10:00 - 12:00 Gilles Pagès (Salle de Conférences) - Stochastic optimization: when Langevin comes into the game  
13:30 - 15:30 Hiroki Masuda (Salle de Conférences) - Gaussian quasi-likelihood inference for ergodic Lévy driven SDE  

Tuesday, May 28, 2024

Time Event  
09:30 - 10:00 Coffee break  
10:00 - 12:00 Hiroki Masuda (Salle de Conférences) - Gaussian quasi-likelihood inference for ergodic Lévy driven SDE  
13:30 - 15:30 Gilles Pagès (Salle de Conférences) - Stochastic optimization: when Langevin comes into the game  
16:00 - 18:00 Thomas Kruse - Algorithms for Solving High Dimensional PDEs and BSDEs: From Nonlinear Monte Carlo to Machine Learning  
19:30 - 22:00 Spring schools' dinner - Restaurant  

Wednesday, May 29, 2024

Time Event  
09:30 - 10:00 Coffee break  
10:00 - 12:00 Thomas Kruse (Salle de Conférences) - Algorithms for Solving High Dimensional PDEs and BSDEs: From Nonlinear Monte Carlo to Machine Learning  
13:30 - 15:30 Mathieu Rosembaum (Salle de Conférences) - A rough volatility tour from market microstructure to complex options  
16:00 - 18:00 Mathieu Rosembaum (Salle de Conférences) - A rough volatility tour from market microstructure to complex options  

Thursday, May 30, 2024

Time Event  
08:00 - 18:00 Mont Saint Michel visit - Mont Saint Michel visit  

Friday, May 31, 2024

Time Event  
09:30 - 12:30 PhD students' day (Salle de Conférences)  
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