Programme
- All activities will take place in the Mathematics & Statistics Building, with talks in room MS.02 (signposted from lobby), unless otherwise stated.
Wednesday 10th September, 2014
- 12pm - 1pm - Registration and Lunch
- 1pm - 1.15pm - Welcome: Gareth Roberts (Warwick)
- 1.15pm - 1.45pm - Joris Bierkens (Radboud) - "Non-reversible Metropolis-Hastings and its mixing properties"
- 1.45pm - 2.15pm - Reinhard Höpfner (Mainz) - "Ergodicity for strongly degenerate stochastic systems, with application to stochastic Hodgkin-Huxley models"
- 2.15pm - 2.45pm - Kengo Kamatani (Osaka) - "Rate optimality of Random walk Metropolis algorithm in high-dimension with heavy- tailed target distribution"
- 2.45pm - 3.15pm - Coffee Break
- 3.15pm - 3.45pm - Arnaud Gloter (Évry) - "LAMN property for discretely observed S.D.E. driven by stable Lévy processes"
- 3.45pm - 4.15pm - Ester Mariucci (Grenoble) - "Asymptotic equivalence for time-inhomogeneous jump-diffusion processes and white noise"
- 4.15pm - 4.45pm - Jeannette Woerner (TU Dortmund) - "Testing for jumps in stochastic volatility models"
- 4.45pm - 6.30pm - Poster Presentations, Poster Session and Wine Reception
- Tobias Berg (Mainz) - "Reconstruction Algorithm for Branching Diffusions with Immigration"
- Jere Koskela (Warwick) - "Approximately optimal importance sampling for Lambda-coalescents"
- Gwennaëlle Mabon (CREST-ENSAE) - "Adaptive deconvolution on the nonnegative real line"
- Fanni Nedényi (Szeged) - "Change-Point Detection in Parametric Stochastic Models"
- Murray Pollock (Warwick) - "Exact Simulation in a Nutshell"
- Christian Schmidt (Aarhus) - "U- and V-statistics for Ito Semimartingales"
- Tobias Berg (Mainz) - "Reconstruction Algorithm for Branching Diffusions with Immigration"
- 7.30pm - Dinner (Rootes Restaurant, Rootes Building)
Thursday 11th September, 2014
- 9.15am - 9.45am - Markus Bibinger (Humboldt) - "Volatility estimation from high-frequency observations with irregular errors - Concepts and consequences"
- 9.45am - 10.15am - Nakahiro Yoshida (Tokyo) - "Volatility model selection"
- 10.15am - 10.45am - Coffee
- 10.45am - 11.15am - Claudio Heinrich (Aarhus) - "Spectral Analysis of the Quadratic Variation of High Dimensional Itô Processes"
- 11.15am - 11.45am - Bezirgen Veliyev (Aarhus) - "Edgeworth expansion for the pre-averaging estimator"
- 11.45am - 12.15pm - Mark Podolskij (Aarhus) - "Infill asymptotics for Levy moving average processes"
- 12.15pm - 2.15pm - Lunch
- 2.15pm - 2.45pm - Moritz Schauer (TU Delft) - "Bayesian inference for discretely observed multi-dimensional diffusion processes"
- 2.45pm - 3.15pm - Charlotte Dion (Grenoble) - "Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model"
- 3.15pm - 3.45pm - Masayuki Uchida (Osaka) - "Hybrid multi-step estimators for stochastic differential equations from discrete observations"
- 3.45pm - 4.15pm - Coffee
- 4.15pm - 4.45pm - Ana Prior (Lisbon) - "Parameter estimation of the drift of a two-regime bidimensional Ornstein-Uhlenbeck process with singular diffusion matrix" - Talk unavailable
- 4.45pm - 5.15pm - Paul Jenkins (Warwick) - "Exact simulation of the sample paths of a diffusion with a finite entrance boundary"
- 5.15pm - 6.30pm - Dynstoch Meeting
- 7.30pm - Conference Dinner (Panorama Room, Rootes Building)
Friday 12th September, 2014
- 9.15am - 9.45am - Khalil El Waled (Rennes) - "Parametric estimation problem for a time-periodic signal with additive periodic noise"
- 9.45am - 10.15am - Dominique Dehay (Rennes) - "Bootstrap method for random sampled almost periodic process"
- 10.15am - 10.45am - Coffee
- 10.45am - 11.15am - Nina Munkholt (Copenhagen) - "Efficient Martingale Estimating Functions for Diffusions Sampled at High Frequency Over a Fixed Time-Interval"
- 11.15am - 11.45am - Mathias Trabs (Humboldt) - "Adaptive confidence bands for drift estimation of diffusions"
- 11.45am - 12.15pm - Jakob Söhl (Cambridge) - "High-frequency Donsker theorems for Levy measures"
- 12.15pm - 2.15pm - Lunch
- 2.15pm - 2.45pm - Luigi Spezia (BioSS) - "Markov switching models for high-frequency time series from automatic monitoring of animals"
- 2.45pm - 3.15pm - Alexander Schnurr (TU Dortmund) - "Limit Theorems for Ordinal Pattern Dependence and Their Application to Medical/Biological Data"
- 3.15pm - 3.45pm - Yan Zhang (Warwick) - "Variational Bayesian inference method in stochastic modelling of subcutaneous glucose concentration" - Talk unavailable