Workshop on Numerics and Stochastics
August 25-29, 2008

Invited speakers

• Vlad Bally (University of Marne-la-Vallée, Paris)
• Bruno Bouchard (University Paris-Dauphine)
• Pierre Del Moral (INRIA, Bordeaux)
• François Delarue (University Paris VII)
• Steffen Dereich (Technical University Berlin)
• Emmanuel Gobet (InP Grenoble)
• Stefan Heinrich (University Kaiserslautern)
• Arturo Kohatsu-Higa (Osaka University)
• Damien Lamberton (University of Marne-la-Vallée, Paris)
• Antoine Lejay (INRIA / IECN, Nancy)
• Stéphane Menozzi (University Paris VII)
• Klaus Ritter (Technical University Darmstadt)
• Anders Szepessy (KTH, Stockholm)
• Aleksander Veretennikov (University of Leeds)

Program

Slides of talks can be found here, or by following the links in the program.

Monday

9:00	Registration and coffee
9:59	Opening
10:00	Chair: STEFAN GEISS
	ANDERS SZEPESSY : Stochastic differential equations derived from
	fundamental principles
11:00	Break
11:15	STEFAN HEINRICH : Randomized approximation of functions
12:15	Lunch
14:00	Chair: PIERRE DEL MORAL
	STEFFEN DEREICH : Rate allocation in quantization
15:00	Coffee
15:30	ARNE OGROWSKY : Discretization of a stable SPDE in space and time
16:00	Break
16:15	KLAUS RITTER : Non-uniform time discretization and lower bounds
	for stochastic heat equations
17:15	Break
18:00	Get together at SAHA

Tuesday

9:00	Chair: VLAD BALLY
	EMMANUEL GOBET : Analytical pricing formulas for models with local
	volatilities and jumps
10:00	Coffee
10:30	MICHAL BARAN :Approximations for equations with Lévy noise
11:00	Break
11:15	ARTURO KOHATSU-HIGA : A semigroup approach for weak approximations
	with an application to infinite activity Lévy driven SDEs
12:15	Lunch
14:00	Chair: ANDERS SZEPESSY
	DAMIEN LAMBERTON : American option prices in an exponential Lévy
	model
15:00	Coffee
15:30	CHRISTOPH AISTLEITNER : Martingale approximation in metric
	discrepancy theory
16:00	Break
16:15	PIERRE DEL MORAL : A new class of interacting Markov Chain Monte
	Carlo methods
17:15	End

Wednesday

9:00	Chair: BRUNO BOUCHARD
	ANTOINE LEJAY : Simulation of diffusion processes with
	discontinuous coefficients
10:00	Coffee
10:30	RAINER AVIKAINEN : Approximation of functionals of SDEs and
	application to a recent multilevel Monte Carlo method
11:00	Break
11:15	VLAD BALLY : Lower bounds for the probability that an Ito
	process stays in a tube
12:15	Lunch
14:00	STÉPHANE MENOZZI : Parametrix and local limit theorems for
	some degenerate diffusion processes
15:00	Coffee and break
17:00	Excursion and dinner
22:00	End

Thursday

9:00	Chair: DAMIEN LAMBERTON
	BRUNO BOUCHARD : Stochastic target problems with controlled loss
10:00	Coffee
10:30	GEORGIOS AIVALIOTIS : Regularisation and viscosity approach
	for the mean-variance control problem
11:00	Break
11:15	STEFAN GEISS : On the approximation of BSDEs
12:15	Lunch
14:00	Chair: KLAUS RITTER
	FRANÇOIS DELARUE : Probabilistic analysis of the upwind scheme
	for transport
15:00	Break
15:15	HASSAN DOOSTI : Estimation of the survival function for
	a discrete-time stochastic process
15:45	Coffee
16:15	ANDREAS NEUENKIRCH : Numerical Methods for SDEs driven by
	Fractional Brownian Motion: Exact Convergence Rates
17:15	End

Sauna organized by Esko Valkeila

Friday

9:00	Chair: ARTURO KOHATSU-HIGA
	YULIYA MISHURA : The convergence rate for Euler approximations
	of solutions of SDEs driven by fractional Brownian motion and
	approximation schemes for SDEs in Hilbert space
10:00	Coffee
10:30	ANNI TOIVOLA : Interpolation and approximation in L_p
11:00	Break
11:15	ALEKSANDER VERETENNIKOV : On strong and weak approximations
	for SDEs
12:15	Closing