Workshop program

 

The abstracts of the talks can be found here .

Wednesday, January 17

09:00-09:30

Registration and opening

9:30-10:05

Yuliya Mishura

Standard and fractional Bessel and Cox-Ingersoll-Ross processes

10:05-10:40

Jacques Lévy Véhel

Hausdorf and Large Deviation Multifractal Spectra of Lévy Multistable Processes

10:40-11:00

Coffee break

11:00-11:35

Jan Pospíšil

Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach

11:35-12:10

Elisa Alòs

On the Skew and Curvature of the Implied and Local Volatilities

12:10-12:45

Josep Vives

Decomposition formula for rough Volterra stochastic volatility models

13:00-14:00

Lunch

14:00-14:35

Enrica Pirozzi

On a fractional Ornstein-Uhlenbeck process and its time-changed version

14:35-15:10

Giacomo Ascione

The Fokker-Planck equation of the time-changed fractional Brownian motion and Ornstein-Uhlenbeck processes

15:10-15:20

Coffee break

15:20-15:55

Marina Kleptsyna

Asymptotic analysis of integral equations with fractional covariance operators

15:55-16:30

Fred Espen Benth

Recent advances on forward curve modeling and applications

Thursday, January 18

9:30-10:05

Dan Crisan  An Implementation of Hasselmann's Paradigm for Stochastic Climate Modelling

10:05-10:40

Knut Sølna Effective fractional wave equations in random multiscale media

10:40-11:00

Coffee break

11:00-11:35

Nacira Agram Deep learning for mean-field control with common noise and jumps

11:35-12:10

Kostiantyn Ralchenko Drift parameter estimation in Vasicek-type model driven by tempered fractional Brownian motion

12:10-12:45

Fabian Harang Signatures for Images

13:00-14:00

Lunch

14:00-14:35

Yaozhong Hu

Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractional Brownian motion

14:35-15:10

Masaaki Fukasawa Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel

15:10-15:20

Coffee break

15:20-15:55

Tommy Sottinen Integration-by-parts characterizations of Gaussian processes

15:55-16:30

Lauri Viitasaari Sufficient variability of paths and differential equations with BV coefficients

Friday, January 19

9:30-10:05

Lukasz Stettner Long run stochastic control problems with general discounting: How to overcome time inconsistency

10:05-10:40

Ehsan Azmoodeh Multi-Fractional Stochastic Dominance

10:40-11:00

Coffee break

11:00-11:20

Amel Redjil On Some Recent Aspects of Stochastic Controlled Dynamics driven by G-Brownian Motion

11:20-11:40

Hao Tang

Continuity of data-to-solution map for stochastic Camassa-Holm type equations

11:40-12:00

Anton Yurchenko-Tytarenko Quadratic hedging in SVV model

12:00-12:35

Bernt Øksendal Optimal control of SPDEs driven by the Brownian sheet

12:35-12:45

Workshop closing

13:00-14:00

Lunch
Published Jan. 10, 2024 12:36 PM - Last modified Jan. 29, 2024 12:50 PM