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Programme

Monday 5 August

09:15-09:50 Jürgen Schmiegel: Incompressible, isotropic and skewed vector ambit fields in two dimensions

09:50-10:25 Orimar Sauri: Limit theorems for trawl processes

10:25-10:55 Coffee break

10:55-11:30 Mikko Pakkanen: Limit theorems linking trawl processes to Brownian moving averages

12:00-13:00 Lunch

14:40-15:15 Loïc Chaumont: Fluctuation theory for spectrally positive additive Lévy fields

15:15-15:50 Andreas Basse-O'Connor: Generalized Itô-Nisio theorem and modes of convergence in series expansions of infinitely divisible processes

15:50-16:20 Coffee break

16:20-16:55 Victor Ulrich Rohde: Multivariate stochastic delay di fferential equations and CAR representations of CARMA processes

16:55-17:30 Mikkel Slot Nielsen: A cointegrated VAR model in continuous time

18:00            Dinner

20:00            Welcome reception

 

Tuesday 6 August

09:15-09:50 Marta Sanz-Solé: Well-posedness for a class of stochastic wave equations with super-linear coefficients

09:50-10:25 Randolf Altmeyer: Nonparametric drift estimation for linear SPDE's from local measurements

10:25-10:55 Coffee break

10:55-11:30 Carsten Chong: High-frequency analysis of parabolic stochastic PDEs with multiplicative noise

12:00-13:00 Lunch

14:40-15:15 Nakahiro Yoshida: Asymptotic expansion for functionals of a fractional Brownian motion

15:15-15:50 Mathias Mørck Ljungdahl: A minimal contrast estimator of the linear fractional stable motion

15:50-16:20 Coffee break

16:20-16:55 Almut E.D. Veraart: Modelling extremal clustering with trawl processes

16:55-17:30 Steen Thorbjørnsen: On Lévy bases in free probability

18:00            Dinner

 

Wednesday 7 August

09:15-09:50 Antoine Jacquier: Deep learning and Path-dependent PDEs for rough local stochastic volatility

09:50-10:25 Blanka Horvath: Deep concerns. Deep calibration, pricing and hedging: for rough volatility models ... and beyond

10:25-10:55 Coffee break

10:55-11:30 Goncalo Dos Reis: TBA

12:00-13:00 Lunch

14:40-15:15 Aleksandar Mijatovic: Invariance principle for local times in regenerative settings

15:15-15:50 Nikolai N. Leonenko: Fractional Pearson diffusions and continuous time random walks

15:50-16:20 Coffee break

16:20-16:55 Bezirgen Veliyev: Limit theorems for ambit fields observed along curves

16:55-17:30  Georgiy Shevchenko: Limit theorems for additive functionals of continuous-time random walk

19:00             Conference dinner

 

Thursday 8 August

09:15-09:50 Danijel Grahovac: Limit theory for integrated supOU processes

09:50-10:25 Riccardo Passeggeri: QID random measures and processes

10:25-10:55 Coffee break

10:55-11:30 Rimas Norvaisa: Convergence in law of partial sum processes in p-variation norm

11:30-12:05: Vytaute Pilipauskaite: Power variation of some infinitely divisible random fields

12:00: Lunch