Planning
| 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 |
|
| 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 |
|
| 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) |
|
| 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) |
|
| 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 |
|
| 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 |
|
| 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 |
|
| Time |
Event |
|
|
08:00 - 18:00
|
Mont Saint Michel visit - Mont Saint Michel visit |
|
| Time |
Event |
|
|
09:30 - 12:30
|
PhD students' day (Salle de Conférences) |
|
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