International conference "Statistics meets Stochastics 2"
Laboratory of Stochastic Analysis and its Applications invites you to International conference "Statistics meets Stochastics 2"
Harrison Zhou(Yale University, USA, Chair of the Department of Statistics,)
Olga Klopp(Université Paris Ouest Nanterre la Defense)
Leonid Koralov(University of Maryland, USA)
Mark Podolskij(Aarhus University, Denmark)
Lukasz Szpruch(University of Edinburgh, UK)
Denis Belomestny(Universität Duisburg-Essen, Germany, and HSE)
Stephane Ménozzi(Université d'Evry, France, and HSE)
Conference will be held on June 09, June 10
Location: Moscow, 26 Shabolovka st., room: 5310
Schedule of Conference:
The first day (9 June, 09:30 - 19:30) is dedicated to statistics,
the second day (10 June, 10:00 - 15:00) - to stochastics.
The detailed program is given below
Working language is English
Course is open to anyone interested. Whether you need the pass to the Higher School of Economics, do not hesitate to contact the lab manager Julia Pavlyuk firstname.lastname@example.org
Program of the workshop
«Statistics meets Stochastics - 2», 9-10 June 2017
Venue: Higher School of Economics (Moscow, Russia)
Shabolovka, 26, room 5310
First day (Statistics): Friday, 9 June 2017
9:30 – 9:50 Reception and registration
9:50 – 10:00 Opening ceremony
Oleg Zamulin (HSE, dean of the Faculty of Economic Sciences)
10:00 – 11:00 Harrison Zhou (Yale University, USA)
Statistical and computational guarantees of Lloyd's algorithm
and its variants.
11:00 – 11:30 Coffee break
11:30 – 12:30 Mark Podolskij (Aarhus University, Denmark)
Statistical inference for rough models.
12:30 – 13:30 Olga Klopp (Université Paris Ouest Nanterre la Defense)
Optimal graphon estimation.
13:30 – 15:00 Lunch
15:00 – 15:40 Denis Belomestny (Univ. Duisburg-Essen, Germany, and HSE)
Sparse covariance estimation in high-dimensional deconvolution.
15:40 – 16:20 Vladimir Panov (HSE)
Semiparametric inference in the normal variance-mean mixture
16:20 – 16:50 Coffee break
16:50 – 17:30 Katerina Papagiannouli (Humboldt University, Germany)
Rates of convergence for co-integrated volatility estimation in the
presence of jumps.
17:30 – 18:10 Igor Rodionov (Moscow State University)
Hypothesis testing using higher order statistics.
18:30 Conference dinner. Cafeteria «Сave» (inside the campus).
Second day (Stochastics): Saturday, 10 June 2017
10:00 – 11:00 Leonid Koralov (University of Maryland, USA)
Multi-type branching processes and branching diffusion processes.
11:00 – 12:00 Lukasz Szpruch (University of Edinburgh, UK)
Multilevel Monte Carlo for McKean-Vlasov SDEs.
12:00 – 12:30 Coffee break
12:30 – 13:10 Stephane Ménozzi (Université d'Evry, France and HSE)
The Brownian motion on \Aff($\R $) and Quasi-Local Theorems.
13:10 – 13:40 Harold Moreno-Franco (HSE)
Periodic strategies in optimal execution with multiplicative price
13:40 - 14:10 Ekaterina Palamarchuk (HSE)
On a linear stochastic control problem with super exponentially
stable state matrix and application to a model with extremely
14:10 – 14:40 Dmitry Borzykh (HSE)
Integrated quantile functions: properties and applications
14:40 - 14:45 Concluding words by Valentin Konakov.
14-45 – 16-00 Lunch