Swiss Probability Seminar

Current organizers: Ashkan Nikeghbali, Ilya Molchanov, Robert C. Dalang

Location: A6, Sidlerstrasse 5, Exakte Wissenschaften, Universität Bern, CH-3012 Bern

42th Meeting: Wednesday, November 23th 2011
From 14.10 refreshments in Room 228 (Sidlerstrasse 5, Exakte Wissenschaften)

• 14.40 - 15.20 Jean-Christophe Mourrat (EPFL):
  Quantitative homogenization of random environments
  
• 15.25 - 16.05 Charles Bordenave (Toulouse):
  How does behave a typical Markov chain/process?

Coffee break in Room 228

• 16.35 - 17.15 Rama Cont (Paris 6):
  Functional Ito calculus, martingale representation and functional PDEs
• 17.20 - 18.00  Pierre-Loïc Méliot (University of Zurich):
  Central limit theorems for random partitions and characters of the symmetric groups
  

Dinner in the city with the speakers

Next meeting:  May 9th , 2012

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41st Meeting: Wednesday, May 4th 2011

• Albert SHIRYAEV (Steklov Mathematical Institute)
  Overview of Kolmogorov's complexity and related fields
• Francesco RUSSO (Ecole Nationale Supérieure des Techniques Avancées, France)
  Stochastic integration via regularization in Banach spaces and applications
• Yuri KONDRATIEV (University of Bielefeld)
  Markov dynamics for continuous point systems and kinetic equations
• Jordan STOYANOV (Newcastle University, UK)
  Moment (In)Determinacy of Probability Distributions

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40th Meeting: Wednesday, November 24th 2010

• Sandrine Peche (Grenoble):
  Limiting distributions for TASEP, Last Passage Percolation and a few  words on universality in KPZ
• Zdzislaw Brzezniak (York):
  Weak solutions to stochastic geometric wave equations
  
• Jean Bertoin (Paris 6):
  Burning cars in a parking
  
• Christine Jacob (National Agricultural Research Institute, Jouy-en-Josas):
  Asymptotic behavior of a general class of multitype branching processes with age, memory and population dependence

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39th Meeting: Wednesday, May 5th 2010

• Daniel Hug (Karlsruhe):
  Large typical faces in random mosaics
  
• Samy Tindel (Nancy):
  Resolution of rough evolution equations
• Ben Hambly (Oxford):
  Spectral problems for random trees
• Leonid Bogachev (Leeds):
  On bounded solutions of a balanced pantograph equation

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38th Meeting: Wednesday, Nov 25th 2009

• Stanislav SMIRNOV (Geneve):
• Amaury LAMBERT (Paris VI):
  Splitting trees and applications to population genetics 
• Hansjoerg ALBRECHER (Uni Lausanne):
  Exit problems for a class of refracted stochastic processes
• Mikhail MENSHIKOV (Durham):
  Random walk in random environment with asymptotically zero perturbation

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37th Meeting: Wednesday, May 6th 2009

• Mark PODOLSKIJ (ETHZ):
  Limit theorems for semimartingales
• Ciprian TUDOR (Paris I):
  On stochastic heat equation driven by a fractional-colored noise
• Pierre CALKA (Paris V):
  Limit theorems for radius-vector functions
• Jiri CERNY (ETHZ):
  Non-Brownian limit theorem for random walk between random conductances

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36th Meeting: Wednesday, November 26th 2008

• Vincent BEFFARA (ENS Lyon):
  Statistical mechanics, embeddings and discrete harmonic analysis
• Johanna NESLEHOVA (ETHZ):
  Asymptotics of joint maxima for discontinuous random variables
• Jean-Yves AUDIBERT (Ecole des Ponts):
  Aggregation to compete with the best prediction function in a fixed set
• Peter MOERTERS (Bath):
  The parabolic Anderson model with heavy-tailed potential

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34th Meeting: Wednesday, December 5th 2007

• Jan OBLOJ (Imperial College, London):
  Are the Azema-Yor martingales truly remarkable?
• Paul BOURGADE (ENST and Uni Paris 6):
  A generalization of the Ewens sampling formula
• Jean-François RENAUD  (Radon Institute, Linz):
  Spectrally negative Lévy risk processes with tax and dividends
• Andreas KYPRIANOU  (Uni Bath):
  Scale functions for spectrally negative Lévy processes

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33rd Meeting: Wednesday, June 6th 2007

• Pierre Patie (University Bern):
  Explicit characterization of harmonic functions for some generalized Ornstein-Uhlenbeck processes.
• Lluís QUER-SARDANYONS (Uni Autonoma de Barcelona):
  Existence and smoothness of the density for spatially homogeneous SPDEs.
• Ludger RÜSCHENDORF (Uni Freiburg im Br.):
  On stochastic recursive equations and recursive processes.
• Ron DONEY (Uni Manchester):
  The reflected process of a random walk or Levy process.

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32th Meeting: Wednesday, November 29, 2006

• Pierre Patie (University Bern):
  Probabilistic Properties of solutions of some integro-differential equations
• Chris HUGHES (University of York):
  Limit Theorems in Number Theory and Random Matrix Theory
• Youri KABANOV (Université de Franche-Comté, Besançon):
  Replication of contingent claims under transaction costs
• Philippe BIANE (ENS Paris):
  Brownian motion in Weyl chambers and Pitman theorem

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31th Meeting: Wednesday, June 7, 2006

• Goran Peskir (University of Manchester):
  Optimal stopping games and Nash equilibrium
  
• Ashkan NIKEGHBALI (ETHZ):
  A survey on non-stopping times and their applications
  
• Beatrice de TILIERE (UZH):
  Gaussian distributions in the dimer model
• Wilfrid KENDALL (University of Warwick):
  Exotic couplings of Brownian motion
  

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30th Meeting: Wednesday, November 23, 2005

• Leandro PIMENTEL (EPFL):
  Competition interfaces and second class particles
  
• Christian MAZZA (Uni Genève):
  Dynamics of spherical spin glasses at high temperature
  
• Mario WUETRICH (ETHZ):
  Valuation portfolio and solvency in non-life insurance
  
• Jean-Dominique DEUSCHEL (TU Berlin):
  Scaling limits of equilibrium wetting models in (1+1)-dimension
  

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29th Meeting: Wednesday, June 8, 2005

• Tomasz SCHREIBER (Torun):
  Phase separation phenomenon and Wulff construction
  for polygonal Markov fields in the plane
• Davar KHOSHNEVISAN (Utah):
  Harmonic Analysis of Additive Lévy Processes
  and a Conjecture of Bertoin.
• Remco van der HOFSTAD (TU Eindhoven):
  Random graph models for complex networks
• Martin Hairer (Warwick):
  Ergodic properties of the 2D Navier-Stokes equations
  

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28th Meeting: Wednesday, November 24, 2004

• Pierre BREMAUD (EPFL and ENS)
  Power spectral measures of point processes and related processes
• Enkelejd HASHORVA (Bern)
  Boundary crossings of Brownian motion and related processes
• Glauco VALLE da SILVA (EPFL)
  Hydrodynamics for interacting particle systems with moving boundaries
• Yiannis KONTOYIANNIS (Brown Univ)
  Poisson approximation and Poisson concentration via entropy

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27th Meeting: Wednesday, June 9, 2004

• Ron Doney (Manchester)
  Small time behaviour of Levy processes
• Sasha Gnedin (Utrecht)
  Composition structures derived from multiplicative subordinators: characterisation and asymptotics
• Ben Hambly (Oxford)
  Some last passage directed percolation problems
  
• Sid Resnick (Cornell)
  The extremal dependence measure, hidden regular variation and asymptotic independence

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26th Meeting: Wednesday, November 26, 2003

• Sergei Foss (Heriott-Watt University, Edinburgh)
  Asymptotics for the maximum of a random walk with heavy-tailed increments, with queueing applications
• Michel Benaim (Universit de Neuchâtel)
  Self-interacting diffusions
• Ilya Goldsheid (Queen Mary and Westfield, London)
  Eigenfunctions of non-symmetric disordered Jacobi type matrices
• Christian Mazza (Universit de Genève)
  Long time behavior of non-commutative processes given by a linear differential equation
  

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25th Meeting: Wednesday, June 4, 2003

• Ilya Molchanov (Universität Bern)
  Coverage problems in the whole space
• John Biggins (University of Sheffield)
  Measure change and martingale convergence in multitype branching
• Michiel van den Berg (University of Bristol)
  On the expected volume of intersection of three independent Wiener sausages in R³
• Vlad Bally (INRIA Rocquencourt and Université du Maine)
  A quantization tree method for pricing and hedging American options

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24th Meeting: Wednesday, November 27, 2002

• Federico Camia (ETH Zürich)
  Zero-temperature dynamics and critical percolation scaling limits
• David Nualart (Universitat de Barcelona)
  Stochastic integration with respect to fractional Brownian motion
• Fabio Toninelli (Universität Zürich)
  Recent rigorous results in mean field spin glass models
• Mathew Penrose (University of Durham)
  Random particle deposition and aggregation

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23rd Meeting: Wednesday, June 5, 2002

• Martin Barlow (University of British Columbia)
  Random walk on supercritical percolation clusters
• Hervé Guiol (visiting EPFL)
  Shocks for the k-step exclusion process
• Martin Schlather (University of Bayreuth)
  Connections between Gaussian and extreme value distributions
• Albert N. Shiryaev (Russian Academy of Science)
  On stochastic integral representation for stopping times and partial maxima of a Brownian motion

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22nd Meeting: Wednesday, November 28, 2001

• Hermann Thorisson (University of Iceland)
  Coupling
• Véronique Gayrard (Ecoles Polytechnique Fédérale de Lausanne)
  Aging in the random energy model
• Günther Last (Universität Karlsruhe)
  Contact distributions of inhomogeneous Boolean models
• Tom Mountford (Ecoles Polytechnique Fédérale de Lausanne)
  Blocking measures for the one-dimensional exclusion process

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21st Meeting: Wednesday, May 30, 2001

• Nicole Bäuerle (Universität Ulm)
  Optimal control of stochastic processes in insurance
• Massimiliano Gubinelli (Università di Pisa)
  Stochastic models of vortex filaments
• Davar Khoshnevisan (University of Utah)
  Estimates for laws of functionals of a Brownian sheet
• Chuck Newman (Courant Institute of Mathematical Sciences)
  Stochastic Ising models at zero temperature: results and open problems

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20th Meeting: Wednesday, November 29, 2000

• Claude Martini (INRIA Rocquencourt)
  The simplest fully non-linear Hamilton-Jacobi-Bellman equation
• David Svensson (Universität Zürich)
  A class of renewal processes in random environments
• David Brydges (University of Virginia)
  Combinatorics and integration with Grassman variables
• Wolf-Dieter Richter (Universität Rostock)
  Probabilities of correct classification; finite and asymptotic results

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19th Meeting: Wednesday, May 24, 2000

• Marta Sanz-Sole (Barcelona)
  Stochastic differential equations with delay: Density estimates
• Ernst Eberlein (Freiburg i. B.)
  Lévy motions as a basic tool in finance
• Wolfgang Stummer (Universität Ulm)
  On exponentials of Markov processes, with applications to mathematical finance and statistical informations
• Gesine Reinert (King's College, Cambridge)
  The stationary distribution in the antivoter model: Exact sampling and approximations

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18th Meeting: Wednesday, November 24, 1999

• Yvan Velenik (Zürich)
  Some aspects of the wetting transition in equilibrium statistical mechanics
• Nobuyuki Ikeda (Osaka)
  Brownian motion on the hyperbolic plane and the Selberg trace formula
• Uwe Schmock (RiskLab, ETH Zürich)
  Valuation of exotic options under shortselling constraints
• Volker Schmidt (Universität Ulm)
  Stochastic modelling of communication systems

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17th Meeting: Wednesday, May 26, 1999

• Alejandro Ramirez (EPF Lausanne)
  Survival probability in the random saturation process
• Anton Wakolbinger (Universität Frankfurt)
  Migrating populations in a random genetic drift field
• Yehuda Vardi (Rutgers)
  Maximum likelihood methods in positive linear inverse problems
• Srinivasa Raghu S. Varadhan (Courant)
  Large deviations for interacting particle systems

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16th Meeting: Wednesday, November 25, 1998

• Freddy Delbaen (ETH Zürich)
  A measure theoretic problem related to the description of coherent risk
• Goetz Kersting (Universität Frankfurt)
  Branching trees in a random environment - a probabilistic approach
• Chris Rogers (University of Bath)
  Fastest coupling of random walks
• Tom Mountford (UCLA)
  Convergence for critical reversible nearest particle systems

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Former Schedule:

• 15.45 - 16.30 Refreshments in Room B 13
• 16.30 - 17.15 First Talk
• 17.45 - 18.30 Second Talk
• Dinner with the Speakers

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15th Meeting: Wednesday, June 10, 1998

• Torgny Lindvall (Univ. Göteborg)
  On stochastic domination
• Michel Dekking (TU Delft)
  Martingales in random search trees

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14th Meeting: Wednesday, April 29, 1998

• Terry Lyons (Imperial College, London)
  Extensions to a theorem of Wong and Zakai: differential equations driven by some "new" rough paths
• Klaus Ritter (Erlangen)
  Reconstruction of random functions

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13th Meeting: Wednesday, January 21, 1998

• Jean-François Le Gall (Ecole Normale Supérieure, Paris)
  Some connections between branching processes and interacting particle systems
• Gerard Ben Arous (Ecoles Polytechnique Fédérale de Lausanne)
  Spectra of random matrices

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12th Meeting: Wednesday, November 19, 1997

• Roman Kotecky (University of Prague)
  Phase transitions for continuous systems
• Allan Gut (Uppsala University)
  Limit theorems for stopped functionals of Markov renewal processes

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11th Meeting: Wednesday, June 18, 1997

• Rüdiger Frey (ETH Zürich)
  Incomplete market aspects of stochastic volatility models
• Larry Shepp (AT&T Bell)
  Some recent applications of probability to finance

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10th Meeting: Wednesday, January 29, 1997

• René Carmona (Princeton University)
  Renormalization theories for transport by incompressible Gaussian fields
• John Walsh (University of British Columbia)
  Numerical solutions of stochastic partial differential equations

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9th Meeting: Wednesday, May 29, 1996

• Michiel van den Berg (Bristol University)
  Heat equation for a planar region with a fractal polygonal boundary
• Albert Shiryaev (Steklov Institute)
  Local martingales and complete nonarbitrage markets in discrete time

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8th Meeting: Wednesday, April 24, 1996

• Giambattista Giacomin (Universität Zürich)
  Large scale dynamics for particle systems with long range potentials
• Robert Dalang (Ecole Polytechnique Fédérale de Lausanne)
  Points of increase of a Brownian sheet

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7th Meeting: Wednesday, January 31, 1996

• Robert Aebi (Universität Bern)
  A problem of non-linear integral equations
• Andrew Barbour (Universität Zürich)
  Thresholds and initial growth rates in a model of parasitic infection

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6th Meeting: Wednesday, November 22, 1995

• Laurent Saloff-Coste (University of Toulouse)
  Convergence in finite Markov chains
• Tom Mountford (University of California, Los Angeles)
  Ergodicity and one-dimensional interacting particle systems

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5th Meeting: Wednesday, May 3, 1995

• Søren Asmussen (Aalborg University)
  Large deviations results in the presence of heavy tails
• John Einmahl (University of Eindhoven)
  The main Bahadur-Kiefer theorem; a short and elementary proof

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4th Meeting: Wednesday, February 1, 1995

• Daniel Neuenschwander (IMSV Bern and Ingenieurschule Biel)
  Infinitely divisible processes on groups
• Masao Nagasawa (Universität Zürich)
  On the locality of quantum mechanics

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3rd Meeting: Wednesday, December 7, 1994

• Hans Föllmer (Humboldt Universität, Berlin)
  A new look at Itô's formula
• Hermann Rost (Universität Heidelberg)
  Random permutations and stochastic hydrodynamics

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2nd Meeting: Wednesday, November 2, 1994

• Holger Rootzén (Chalmers University, Göteborg)
  What is the probability that a Gaussian path is flat?
• Amir Dembo (Stanford University)
  Applications of large deviations

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1st Meeting: Wednesday, June 1, 1994

• Jean Jacod (Université de Paris VI)
  Statistical estimation for discretized diffusion processes
• Wolfgang König (Universität Zürich)
  Asymptotics for a one-dimensional discrete polymer measure

 

Please send comments and suggestions to Mario Sikic, e-mail:  finance_update@math.ethz.ch