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News

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»

Main speakers: 

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)

 

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

models.

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

impact.

 

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

impatient agents.

 

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