Workshop - Statistical methods for dynamical stochastic models - DYNSTOCH 2016

Wednesday, June 8

11:00 - 12:00:  Welcome to the participants

12:00 - 13:20:  Lunch

13:20 - 13:30:  Opening of Dynstoch workshop

13:30 - 14:00:  Reinhard Höpfner (Johannes Gutenberg-Univ.Mainz, Germany)
Asymptotic properties of a reconstruction algorithm for individual particle trajectories in discretely observed branching diffusions

14:00 - 14:30:  Eva Löcherbach (University of Cergy-Pontoise, France)
Smoothness of the invariant density of interacting neurons

14:30 - 15:00:  Pierre Hodara (University of Cergy-Pontoise, France)
Non-parametric estimation of the spiking rate in systems of interacting neurons

15:00 - 15:30:  Gyula Pap (University of Szeged, Hungary)
Statistical inference of 2-type Galton Watson processes with immigration

15:30 - 16:00:  Coffee break

16:00 - 16:30:  Nakahiro Yoshida (University of Tokyo, Japan)
Quasi likelihood analysis and limit order book modeling

16:30 - 17:00:  Alexander Schnurr (University of Siegen, Germany)
Detecting structural breaks in the degree of dependence between time series

17:00 - 17:30:  Randolf Altmeyer (Humboldt-University of Berlin, Germany)
Estimating occupation time of continuous semimartingales

17:30 - 18:00:  Jakub Chorowski (Humboldt-University of Berlin, Germany)
Approximation of integral type functional of Markov processes

18:00 - 20:00:  Posters session and cocktail

Thursday, June 9

9:00 - 9:30:  Catherine Larédo (Denis Diderot University, France)
Parametric inference for discrete observations of diffusions with random effects in the drift or in the diffusion coefficient

9:30 - 10:00:  Valentine Genon-Catalot (Paris Descartes University, France)
Parametric inference for discrete observations of diffusions with random effects in the drift and in the diffusion coefficient

10:00 - 10:30:  Jacob Ostergaard (University of Copenhagen, Denmark)
Cointegrated oscillating systems

10:30 - 11:00:  Coffee break

11:00 - 11:30:  Yury Kutoyants (University of Le Mans, France)
On misspecification in regularity and properties of estimators

11:30 - 12:00:  Masayuki Uchida (Osaka University, Japan)
Adaptive estimation for small diffusion processes

12:00 - 12:30:  Maroua Ben Abdeddaiem (University of Le Mans, France)
On goodness-of-fit tests for perturbed dynamical systems based on a minimum distance estimator

12:30 - 14:30:  Lunch

14:30 - 15:00:  Dasha Loukianova (University Evry-val d'Essone, France)
Jump filtering and efficient drift estimation for Lévy-driven SDE's

15:00 - 15:30:  Matyas Barczy (University of Debrecen, Hungary)
Maximum likelihood estimation for Heston models

15:30 - 16:00:  Alberto Coca Cabrero (University of Cambridge, United Kingdom)
Efficient nonparametric estimation of discretely observed compound Poisson processes

16:30 - 17:00:  Coffee break

17:00 - 17:30:  Jan van Waaij (University of Amsterdam, The Netherlands)
Optimal rates and adaptation for Bayesian methods of diffusion processes

17:30 - 18:00:  Jakob Söhl (University of Cambridge, United Kingdom)
Nonparametric Bayesian posterior contraction rates for discretely observed scalar diffusions

18:00 - 18:30:  Hiroki Masuda (Kyushu University, Japan)
On Schwarz type model comparison

19:30:  Workshop dinner

Friday, June 10

9:00 - 9:30:  Peter Spreij (University of Amsterdam, The Netherlands)
Large deviations for Markov-modulated diffusion processes with rapid switching

9:30 - 10:00:  Marie du Roy de Chaumaray (University of Bordeaux, France)
Large deviations for the squared radial Ornstein-Uhlenbeck process

10:00 - 10:30:  Gustaw Matulewicz (Ecole Polytechnique, France)
Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph

10:30 - 11:00:  Coffee break

11:00 - 11:30:  Jeannette Woerner (Technische Universität Dortmund, Germany)
Inference for fractional Ornstein-Uhlenbeck processes with periodic mean

11:30 - 12:00:  Simon Holbach (Johannes Gutenberg-Universität Mainz, Germany)
Local asymptotic normality for stochastic Hogdkin-Huxley-systems

12:00 - 12:30:  Dynstoch meeting

12:30 - 14:00:  Lunch

14:00 - 14:30:  Markus Bibinger (Philipps-Universität Marburg, Germany)
Change-point analysis for rough fractional volatility models

14:30 - 15:00:  Sebastian Holtz (Humboldt-Universität zu Berlin, Germany)
Parametric covariation from noisy observations: efficiency, equivalence and estimation

15:00 - 15:30:  Chunhao Cai (Nankai University, China)
Non-parametric threshold estimation for classical risk process perturbed by diffusion

15:30 - 16:00:  Coffee break

16:00 - 16:30:  Alioune Top (University of Le Mans, France)
On multiple change-point estimation for Poisson process

16:30 - 17:00:  Samvel Gasparyan (University of Le Mans, France)
Second order asymptotic efficiency for a Poisson process

17:00 - 17:30:  Valentin Resseguier (Inria/Irmar, France)
Transport along stochastic flows in fluid dynamics

17:30:  Coffee

Partenaires

Irmar LMJL ENS Rennes LMBA LAREMA

Tutelles

ANR CNRS Rennes 1 Rennes 2 Nantes INSA Rennes INRIA ENSRennes UBO UBS Angers UBL