Programme | DynStoch 2022

PROGRAM

The plenary room is Amphitheater Hermite on all three days.

The abstract book and the program can be downloaded here in pdf format.

9:00 - 9:30: Welcome and registration
9:30 - 10:30: Contributed talks, session 1
- Inference for the Jansen-Rit model, F. Van der Meulen
- Probabilistic properties and parametric inference of small variance McKean-Vlasov SDE, C. Larédo
10:30 - 11:00: Coffee break
11:00 - 12:30: Contributed talks, session 2
- Change-point detection of the drift parameter of a particular class of 2-dimensional OU processes, P. Milheiro Oliveira
- Nadaraya-Watson estimator for i.i.d. paths of diffusion processes, N. Marie
- Classification procedures for diffusion paths, E. Ella Minsta
12:30 - 14:00: Lunch
14:00 - 15:30: Contributed talks, session 3
- Multiplicative deconvolution in a bivariate stochastic volatility model, S. Brenner
- On the rate of estimation for the stationary distribution of SDEs with and without jumps, C. Amorino
- Locally stationary processes in continuous-time, B. Stroh
15:30 - 16:00: Coffee break
16:00 - 18:00: Contributed talks, session 4
- Efficient inference for high-frequency data, A. Brouste
- Parameter estimation for hidden Markov processes, Y. Kutoyants
- Linear filtering with fractional noises: large time and small noise asymptotics, M. Kleptsyna
- Estimation of Hurst parameter from continuous noisy data, P. Chigansky
18:30 - : Welcome cocktail

9:00 - 10:30: Contributed talks, session 5
- Simplified quasi-likelihood analysis, N. Yoshida
- Formulae for comparing SDE models, H. Masuda
- Local asymptotic properties for Cox-Ingersoll-Ross process with discrete observations, A. Kebaier
10:30 - 11:00: Coffee break
11:00 - 12:30: Contributed talks, session 6
- Mixing convergence of LSE for supercritical Gaussian AR(2) processes using random scaling, M. Barczy
- Optimal estimation of the Hurst parameter of a rough diffusion observed at discrete time with additive noise, G. Szymanski
- Estimating mixed fractional stable processes from high-frequency data, F. Mies
12:30: Dynstoch network meeting
12:30 - 14:30: Lunch
14:30 - 15:30: Contributed talks, session 7
- Ergodicity and propagation of chaos for McKean-Vlasov SDEs with Lévy noise, M. Majka
- Semiparametric estimation of McKean-Vlasov SDEs, V. Pilipauskaite
15:30 - 16:00: Coffee break
16:00 - 18:00: Contributed talks, session 8
- Parametric drift estimation for high-dimensional diffusions, M. Podolskij
- Sparse Markov models for high-dimensional inference, G. Ost
- Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields, I. Curato
- Simulation methods for Trawl processes and ambit fields, D. Leonte
19:30 - : Conference dinner

9:00 - 10:30: Contributed talks, session 9
- Parameter estimation for linear parabolic SPDEs in two space dimensions from discrete observations, M. Uchida
- Calibration of SPDEs based on discrete observations: semilinear and multidimensional equations, F. Hildebrandt
- Infill asymptotics for functional observations of SPDEs, D. Schroers
10:30 - 11:00: Coffee break
11:00 - 12:30: Contributed talks, session 10
- Parameter estimation for SPDEs with multiplicative noise, J. Janak
- Estimation for the reaction term in semilinear SPDEs under small diffusivity, S. Gaudlitz
- Parameter estimation for semilinear stochastic partial differential equations, G. Parsemann
12:30 - 14:00: Lunch
14:00 - 15:30: Contributed talks, session 11
- On smooth change-point location estimation for Poisson processes and Skorohod topologies, S. Dachian
- Adaptive estimation of the jump coefficient of a jump diffusion, E. Schmisser
- Estimating option pricing models using a characteristic function-based linear state space representation, E. Vladimirov
15:30 - 16:00: Coffee break
16:00 - 17:00: Contributed talks, session 12
- Exact and asymptotic analysis of multivariate Hawkes population processes, R. Karim
- Stochastic models of olfactory receptor neuron response in a moth, Y. Souli