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.
Working language is English
Venue: 26 Shabolovka, 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 «_ave» (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
If you need a pass to HSE, please contact the lab manager Julia Pavlyuk email@example.com