S T O C H A S T I C
A N A L Y S I S
S E M I N A R,
2 0 0 8 - 2 0 1 0
Organized with A.S. Üstünel and J. Valentin, at the Institut Henri Poincaré, on Wednesdays 2-3pm.
Spring Semester 2010
- May 5, Alfred Galichon, Some applications of the
Bernstein-Schrödinger equation to economics.
- March 31, Marc Yor, On Tsirelson's equation.
- March 24, Annie Millet, Stochastic Navier Stokes equations with
viscosity going to .
- March 17, Rama Cont, Functional Itô calculus and stochastic integral representation of martingales.
- February 24, Paul Bourgade,
Relaxation flow and random matrices, by Erdös, Schlein, Yau and Yin.
- February 17, Ciprian Tudor. Stein's method, Gaussian random variables and Cramer's theorem.
- February 10, Koji Yano. Cameron-Martin formula for the sigma-finite measure unifying Brownian penalisations.
- January 27, Isabelle Camilier. Quasi-invariance and integration by parts for determinantal and
permanental point processes.
- January 20, Marc Yor, Some explicit solutions to Skorokhod's embedding problem.
Fall Semester 2009
- December 16, Laurent Decreusefond, Time reversal for SDE driven by a fractional Brownian motion.
- December 2, Paul Malliavin, Non-parametric statistics for the volatility function.
- November 25, A. Suleyman Üstünel, Analysis of the signal-to-noise ratio.
- November 18, Francis Hirsch, Itô-type formula for gaussian processes and application to convex order.
- November 4, Ivan Nourdin, Cumulants on the Wiener space.
- October 28, Hélène Airault, Stokes' formula on the Wiener space and the
multidimensional Stein's lemma.
Spring Semester 2009
- May 27,
Stéphane Menozzi, Lower bounds dor densities from degenerated diffusions: a stochastic control approach.
- May 13, Vincent Vargas, Multiplicative chaos and stochastic scale invariance.
- May 6, Paul Malliavin, Cancellation of distant past yields ergodicity.
- April 29, Agnès Sulem, Singular stochastic control with partial information of jump diffusions
- April 8, Marc Yor, Some new examples of processes with the same marginals as a martingale.
- April 1, Laurent Decreusefond, Distances between punctual point processes.
- March 25, Pierre Henry-Labordére, Calibration of Local Stochastic Volatility Models:
A Malliavin Calculus Approach.
- March 18,
Ivan Nourdin, Invariance principle for multilinear forms.
- March 11,
A. Süleyman Üstünel, Sub-Jacobians on the Wiener space.
- March 4, Edouard Maurel-Segala, Large dimension limits of matrix-valued processes.
- February 25, Paul Lescot, Bernstein Processes and affine models for fixed income securities.
- February 18, Paul Bourgade, Universality questions in Random Matrix theory, by Tao and Vu.
- February 11,
The Ornstein-Uhlenbeck semigroup and construction of processes with the same unidimensional marginal as a martingale.
- February 4, Vincent Bansaye, Large deviations for branching processes in random environments.
- January 28, Yuko Yano and Kouji Yano, Penalisation of a stable Levy process involving its one-sided supremum,
Penalizing symmetric stable Levy paths.
- January 21, Jonathan Touboul, Hitting times and mean field methods in neurosciences.
- January 14, Hélène Airault, Formules de Cameron Martin.
- January 7, Nicolas Bouleau , The lent particle method.
Fall Semester 2008
- December 17,
A. Süleyman Üstünel, Irreversibility and entropy.
- December 10,
Olivier Croissant, Stochastic volatility models and differential geometry.
- December 3, Hélène Airault, Black-Scholes with arbitrage.
- November 26,
Ivan Nourdin, Stein's method and Malliavin calculus.
- November 19,
A. Süleyman Üstünel, A probabilistic solution to the American options problem.
- November 12,
Paul Malliavin, About the Milstein scheme.
- November 5,
Paul Malliavin, Lower bound at infinity for the density of non-degenerated functionals.