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Regular version of the site

Laboratory of Stochastic Analysis and its Applications

Publications
Book
Differential Equations on Measures and Functional Spaces

Kolokoltsov V.

Switzerland: Birkhauser/Springer, 2019.

Article
The alloy model: Phase transitions and diagrams for a random energy model with mixtures In press

Grabchak M., Molchanov S.

Markov Processes and Related Fields. 2019. Vol. 25. No. 4. P. 591-613.

Book chapter
Regression-Based Variance Reduction Approach for Strong Approximation Schemes

Belomestny D., Häfner S., Urusov M.

In bk.: Modern problems of stochastic analysis and statistics - Selected contributions in honor of Valentin Konakov. Heidelberg: Springer, 2017. P. 131-178.

Working paper
On convergence rate for homogeneous Markov chains

Veretennikov A., Veretennikova M.

Working papers by Cornell University. Cornell University, 2019

Lectures «Problems of Ergodic Control for Diffusion Process with Switching»

In September 19 and September 24 professor of the University of Leeds (the UK) Alexander Veretennikov delivered two lectures «Problems of ergodic control for diffusion process with switching»

Mini-course «Electricity Markets and Electricity Trading»

From 09 September to 13 September professor of the École Nationale de la Statistique et de l’Administration Économique (ENSAE ParisTech) Petr Tankov delivered a mini-course «Electricity markets and electricity trading»

Mini-course «Discrete Time Models in Option Pricing»

From 02 September to 05 September professor of the University of Bologna Andrea Pascucci delivered a mini-course «Discrete-time models in option pricing» 

Heavy-tailed and dependent models and robust inference in finance and economics

From 09 April to 16 April,  professor of Finance and Econometrics (Imperial College Business School) Rustam Ibragimov delivered a mini-course "Heavy-tailed and dependent models and robust inference in finance and economics"

Congratulations to Anna Kozhina with the Heidelberg University Prize

International workshop LSA winter meeting 2018

International laboratory of stochastic analysis and its applications organized on 03-07 of December 2018 the international conference "LSA winter meeting 2018" with the participation of leading foreign researchers

Mini-course «Monte Carlo methods for optimal stochastic control»

From 26 November to 30 November, associate professor of Leeds University (UK) Jan Palczewski delivered a mini-course «Monte Carlo methods for optimal stochastic control»

From November 19 to November 23, 2018, the International Laboratory of Stochastic Analysis and its Applications HSE and the University of Edinburgh (Scotland) conducted the First Moscow-UK Working Group on stochastic analysis

Meetings were held at the International Center for Mathematical Sciences, Edinburgh. The first working group is organized by: Mireille Bossi (INRIA, Sophia-Antipolis, France), Valentin Konakov (HSE, Moscow, Russia), David Siska (University of Edinburgh, Scotland), Lucas Shpruh (University of Edinburgh, Scotland). The working group aims to review and consolidate the knowledge of the developing field of stochastic analysis - calculus in the Wasserstein space, as well as to assess its current impact on a number of areas of mathematics

Mini-course, 'Introduction to financial mathematics' - Professor V.N. Kolokoltsov

From 1st November 1 15th November, V. N. Kolokoltsov, Leading Researcher of the Laboratory and Professor of the University of Warwick (United Kingdom) delivered the mini-course, "'ntroduction to Financial Mathematics'.

Mini-course by Professor A. Veretennikov

From 3 August to 10 August, Professor A. Veretennikov (University of Leeds, UK) and the Leading Research Fellow of the laboratory of Stochastic Analysis and it's application delivered a mini-course on the following topics: