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Regular version of the site

Laboratory of Stochastic Analysis and its Applications

Publications
Book
Stochastic Calculus for Quantitative Finance

Gushchin A. A.

L.; Kidlington: ISTE, Elsevier, 2015.

Article
Weighted entropy and optimal portfolios for risk-averse Kelly investments

Kelbert M., Suhov Y., Stuhl I.

Aequationes Mathematicae. 2018. Vol. 92.

Book chapter
Approximation of diffusion processes on solvable Lie groups by random walks. Local and quasi-local limit theorems

Konakov V., Menozzi S., Molchanov S.

In bk.: Аналитические и вычислительные методы в теории вероятностей и её приложениях (АВМТВ-2017) = Analytical and Computational Methods in Probability Theory and its Applications (ACMPT-2017) : Proceedings, 23-27 October 2017, General Ed. by D.Sc. A.V. Lebedev, Moscow, Russia, 743p. [материалы Международной научной конференции. Россия, Москва, 23–27 октября 2017 г. / под общ. ред. А. В. Лебедева. – Москва : РУДН, 2017. – 743 с.]. M.: RUDN, 2017. P. 202-206.

Working paper
The Brownian motion on Aff(R) and qusai-local theorems

Konakov V., Menozzi S., Molchanov S.

math. arxive. Cornell University, 2017. No. 1709.06411.

International conference "Statistics meets Stochastics 2"

Международная лаборатория стохастического анализа и его приложений провела  09 – 10 июня 2017 года Международную конференцию «Cтатистика встречает стохастику - 2»

Mini-Course "Probability and Statistics for High Frequency Data " Professor Mark Podolskij

On June 05 - 07 professor of Aarhus University (Denmark) Mark Podolskij read the mini-course "Probability and Statistics for High Frequency Data"

Mini-course:"Statistical Network Analysis" Professor Olga Klopp

On May 30 – June 08 professor of The University Paris West (France) Olga Klopp read the mini-course "Statistical Network Analysis"

Mini-course "Theory and Applications of Stochastic Differential Equations"

On December 16-21 associate professor of Falparaiso University  (Chile) Jean-Francois Jabir read the mini-course "Theory and Applications of Stochastic Differential Equations"

International workshops «New perspectives in stochastic Analysis»

Mini-course "Metric Geometry and Optimal Transport"

On October 8-22 associate professor at the Ecole Centrale Marseille (France) Thibaut Le Gouic read the mini-course "Metric geometry and optimal transport"

Workshop 'High-dimensional Statistics'

On July 20-21 an international workshop 'Nonparametric and High-dimensional Statistics' took place in Heidelberg, Germany. The event was organised by the Laboratory of Stochastic Analysis and its Applications, Research Training Group 'Statistical Modeling of Complex Systems and Processes' Heidelberg / Mannheim and MAThematics Center Heidelberg.

International Conference 'Modern Problems of Stochastic Analysis and Statistics'

The conference was organized by the International Laboratory of Stochastic Analysis and it’s Applications (HSE, Moscow) from the 30th of May to the 2nd of June in honor of Professor Valentin Konakov's 70th anniversary

XVII April International Academic Conference

The Internationa Laboratory of Stochastic Analysis and its Applications has participated in the XVII April International Academic Conference for the first time this year.

Congratulations on Denis Belomestny anniversary!

Today, 14 April, 2016 is Denis Belomestny’s 40’st birthday.