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19:00
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22:00
10:00 - 10:30 (30min)
Welcome
Pause café
10:30 - 11:00 (30min)
Opening
Salle de Conférences
11:00 - 11:30 (30min)
Nakahiro Yoshida
Asymptotic expansions for functionals of a fractional Brownian motion
https://30ans-lmm.sciencesconf.org/data/program/Nakahiro_Yoshida_ok.pdf 11:30 - 12:00 (30min)
Arnak Dalalyan
Some results on the creativity of Wasserstein GANs
12:00 - 14:00 (2h)
Lunch
Salle de Déjeuner
14:00 - 14:30 (30min)
Pavel Chigansky
Salle de Conférences
Asymptotic analysis in some problems with fractional Brownian motion
14:30 - 15:00 (30min)
Massaki Fukasawa
Salle de Conférences
Realized cumulants for martingales
15:00 - 15:30 (30min)
Stefano Iacus
Salle de Conférences
Network Stochastic Differential Equations
15:30 - 16:00 (30min)
Coffee break
Pause café
16:00 - 16:30 (30min)
Sergei Dachian
Salle de Conférences
On Smooth Change-Point Location Estimation for Poisson Processes and Skorokhod Topologies
16:30 - 17:00 (30min)
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 (1h)
Discussions
19:30 - 22:00 (2h30)
Conférence's dinner
Restaurant Brasserie Madeleine
9:00 - 10:00 (1h)
Discussions
10:00 - 10:30 (30min)
Coffee break
Pause café
10:30 - 11:00 (30min)
Shige Peng
Salle de Conférences
Space-time white noises in a nonlinear expectation space
11:00 - 11:30 (30min)
Etienne Pardoux
Salle de Conférences
Recent results on epidemic models
11:30 - 12:00 (30min)
Nizar Touzi
Salle de Conférences
Viscosity solution for the HJB on the process space
12:00 - 14:00 (2h)
Lunch
Salle de Déjeuner
14:00 - 14:30 (30min)
Sylvie Méléard
Salle de Conférences
Exponent dynamics for branching processes
14:30 - 15:00 (30min)
Vlad Bally
Salle de Conférences
CLT in distribution norms and zeros of trigonometric polynomials
15:00 - 15:30 (30min)
Jianfeng Zhang
Salle de Conférences
Set Values and Efficiency of Non-zero Sum Games
15:30 - 16:00 (30min)
Coffee break
Pause café
16:00 - 16:30 (30min)
Andrey Piatnitsky
Large time behaviour of jump Markov process in high contrast media
16:30 - 17:00 (30min)
Jaime San Martin
Salle de Conférences
Pathwise uniqueness for a system of SDE with singular coefficients
17:00 - 18:00 (1h)
Discussions
9:00 - 9:30 (30min)
Discussions
Salle de Conférences
9:30 - 10:00 (30min)
Coffee break
Pause café
10:00 - 10:30 (30min)
Alain Bensoussan
Salle de Conférences
An Overview of Hawkes Processes
10:30 - 11:00 (30min)
Mathieu Rosenbaum
Salle de Conférences
The two square root laws of market impact and the role of sophisticated market participants
11:00 - 11:30 (30min)
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 (2h30)
Lunch
Salle de Déjeuner
14:00 - 14:30 (30min)
Boualem Djehiche
Salle de Conférences
A quantum computing approach to some health and disability insurance contracts
14:30 - 15:00 (30min)
Christian-Yann Robert
Salle de Conférences
Tail index regression for panel data with unobserved heterogeneity
15:00 - 15:30 (30min)
Roxana Dumitrescu
Salle de Conférences
Energy transition: a mean-field game approach
15:30 - 16:00 (30min)
Coffee break
Pause café
16:00 - 18:00 (2h)
Discussions
Salle de Conférences
9:00 - 10:00 (1h)
Discussions
Salle de Conférences
10:00 - 10:30 (30min)
Coffee break
Salle de Déjeuner
10:30 - 11:00 (30min)
Marie Kratz
Salle de Conférences
Efficient estimation in extreme value regression models of hedge funds tail risks
11:00 - 11:30 (30min)
Lionel Truquet
Salle de Conférences
Stability Properties of Certain Markov Chain Models in Random Environments
11:30 - 12:00 (30min)
Gilles Stupfler
Salle de Conférences
Inference for extremal regression with dependent heavy-tailed data
12:00 - 14:00 (2h)
Lunch
14:00 - 14:45 (45min)
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 (1h30)
Round table
Carré Plantagenet - Le Mans - Centre Ville
9:30 - 10:00 (30min)
Coffee break
10:00 - 12:00 (2h)
Gilles Pagès
Salle de Conférences
Stochastic optimization: when Langevin comes into the game
13:30 - 15:30 (2h)
Hiroki Masuda
Salle de Conférences
Gaussian quasi-likelihood inference for ergodic Lévy driven SDE
9:30 - 10:00 (30min)
Coffee break
10:00 - 12:00 (2h)
Hiroki Masuda
Salle de Conférences
Gaussian quasi-likelihood inference for ergodic Lévy driven SDE
13:30 - 15:30 (2h)
Gilles Pagès
Salle de Conférences
Stochastic optimization: when Langevin comes into the game
16:00 - 18:00 (2h)
Thomas Kruse
Algorithms for Solving High Dimensional PDEs and BSDEs: From Nonlinear Monte Carlo to Machine Learning
19:30 - 22:00 (2h30)
Spring schools' dinner
Restaurant
9:30 - 10:00 (30min)
Coffee break
10:00 - 12:00 (2h)
Thomas Kruse
Salle de Conférences
Algorithms for Solving High Dimensional PDEs and BSDEs: From Nonlinear Monte Carlo to Machine Learning
13:30 - 15:30 (2h)
Mathieu Rosembaum
Salle de Conférences
A rough volatility tour from market microstructure to complex options
16:00 - 18:00 (2h)
Mathieu Rosembaum
Salle de Conférences
A rough volatility tour from market microstructure to complex options
8:00 - 18:00 (10h)
Mont Saint Michel visit
Mont Saint Michel visit
9:30 - 12:30 (3h)
PhD students' day
Salle de Conférences
