The abstracts of the talks can be found here .
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Wednesday, January 17 |
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09:00-09:30 |
Registration and opening |
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9:30-10:05 |
Yuliya Mishura |
Standard and fractional Bessel and Cox-Ingersoll-Ross processes |
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10:05-10:40 |
Jacques Lévy Véhel |
Hausdorf and Large Deviation Multifractal Spectra of Lévy Multistable Processes |
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10:40-11:00 |
Coffee break |
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11:00-11:35 |
Jan Pospíšil |
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11:35-12:10 |
Elisa Alòs |
On the Skew and Curvature of the Implied and Local Volatilities |
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12:10-12:45 |
Josep Vives |
Decomposition formula for rough Volterra stochastic volatility models |
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13:00-14:00 |
Lunch |
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14:00-14:35 |
Enrica Pirozzi |
On a fractional Ornstein-Uhlenbeck process and its time-changed version |
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14:35-15:10 |
Giacomo Ascione |
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15:10-15:20 |
Coffee break |
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15:20-15:55 |
Marina Kleptsyna |
Asymptotic analysis of integral equations with fractional covariance operators |
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15:55-16:30 |
Fred Espen Benth |
Recent advances on forward curve modeling and applications |
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Thursday, January 18 |
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9:30-10:05 |
Dan Crisan | An Implementation of Hasselmann's Paradigm for Stochastic Climate Modelling |
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10:05-10:40 |
Knut Sølna | Effective fractional wave equations in random multiscale media |
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10:40-11:00 |
Coffee break |
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11:00-11:35 |
Nacira Agram | Deep learning for mean-field control with common noise and jumps |
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11:35-12:10 |
Kostiantyn Ralchenko | Drift parameter estimation in Vasicek-type model driven by tempered fractional Brownian motion |
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12:10-12:45 |
Fabian Harang | Signatures for Images |
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13:00-14:00 |
Lunch |
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14:00-14:35 |
Yaozhong Hu | |
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14:35-15:10 |
Masaaki Fukasawa | Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel |
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15:10-15:20 |
Coffee break |
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15:20-15:55 |
Tommy Sottinen | Integration-by-parts characterizations of Gaussian processes |
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15:55-16:30 |
Lauri Viitasaari | Sufficient variability of paths and differential equations with BV coefficients |
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Friday, January 19 |
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9:30-10:05 |
Lukasz Stettner | Long run stochastic control problems with general discounting: How to overcome time inconsistency |
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10:05-10:40 |
Ehsan Azmoodeh | Multi-Fractional Stochastic Dominance |
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10:40-11:00 |
Coffee break | |
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11:00-11:20 |
Amel Redjil | On Some Recent Aspects of Stochastic Controlled Dynamics driven by G-Brownian Motion |
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11:20-11:40 |
Hao Tang |
Continuity of data-to-solution map for stochastic Camassa-Holm type equations |
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11:40-12:00 |
Anton Yurchenko-Tytarenko | Quadratic hedging in SVV model |
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12:00-12:35 |
Bernt Øksendal | Optimal control of SPDEs driven by the Brownian sheet |
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12:35-12:45 |
Workshop closing | |
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13:00-14:00 |
Lunch | |