From: Laurent Decreusefond (decreuse@res.enst.fr)
SIXTH WORKSHOP ON STOCHASTIC ANALYSIS
JULY 29 - August 4, 1996
SECOND ANNOUNCEMENT
MAIN
LECTURES:
Professor Étienne
Pardoux(Marseille):
"Backward Stochastic Differential
Equations,
and Applications to Quasi-linear PDEs"
-
"Stochastic Differential Systems with Memory:
Theory, Examples
and Applications"
ORGANIZING
COMMITTEE
L. Decreusefond (Paris)
, A.S.Üstünel (Paris)
,
B.Øksendal (Oslo) ,
Sponsored by VISTA, a research cooperation between the Norwegian Academy of
Science and Letters and Den norske stats oljeselskap a.s. (Statoil)
PROGRAM
The Sixth Workshop on Stochastic
Analysis will take place in Geilo,
Norway in the week July 29 - August
4, 1996. In addition to the sequences
of main lectures by Pardoux and
Mohammed the program will consist of
shorter talks by the participants
of the workshop.
LOCATION
The registration and all lectures of the workshop will take place at
Vestlia Høyfjellshotell at Geilo, one
of Northern Europe's most popular mountain resorts. Geilo, called the
Gateway to the Mountains, is surrounded by a beautiful countryside,
rich wildlife and magnificent sceneries. In addition it is close to
glaciers and to the magnificent fjords of the west coast of
Norway. Geilo is about 230 km northwest of Oslo (and 220km east of
Bergen) and can be reached by bus, train or
airplane (to the local airport).
EXCURSIONS
There exist many guided excursions, for example:
- Walking to the Hakkesetstxlen and other interesting places.
- Trips to the magnificent waterfall Vöringsfossen, museums and churches.
- Rafting tours (normal or extreme).
- Walking on the glaciers (normal or extreme).
We will return to this in a later announcement.
ACCOMODATION
All the participants will be lodged
at Vestlia Hotel, for the special
price of NOK 520 per day per person
in a single room and NOK 460 per person
per day in a double room. The
price includes all meals and free access to
the swimming pool,sauna,
fitness room, tennis court and other facilities of
the
hotel.
TRAVELLING INFORMATION
For participants arriving at the Fornebu Airport, Oslo, we would recommend
taking the airport bus to Oslo Central Station, and from there the train
to Geilo.
Train schedule (Sunday, July 28):
Departure Oslo
07.42
08.00
10.48
14.55
16.09
23.00 |
Arrival Geilo
11.17
11.54
14.58
18.40
19.43
03.31
(Monday) |
The train ticket costs NOK 300 one way. (Students half price).
CONFERENCE PROCEEDINGS
All participants are invited to submit papers to the (refereed)
conference proceedings, which will be published as Volume 6
in the series "Stochastic Analysis and Related Topics".
The deadline for submission of manuscript is October 31, 1996.
More guidelines regarding style etc. will be given later.
ADDRESSES
L. DECREUSEFOND
Networks Dept,
E.N.S.T.
46, rue Barrault
75634 PARIS cedex 13,
FRANCE
Tel : 33-1-45 81 75 01
Fax 33 1
45 89 16 64 |
A.S. USTUNEL
Networks
Dept
E.N.S.T.
46, rue Barrault
75634 PARIS cedex 13,
FRANCE
Tel : 33-1-45 81 72 67
Fax 33 1
45 89 16 64 |
B. OKSENDAL
Dept of Mathematics
University of Oslo
Box 1053 Blindern
N-0316 Oslo,
NORWAY
Tel. (47) 22 85 59 13,
fax: (47) 22 85 43 49, |
TENTATIVE PROGRAM
Sunday, July 28: Arrival day
17:00 19:00 Registration
19:00 Dinner
Monday, July 29
Chairman: Bernt Øksendal
09:00 09:10 Welcome
09:10 10:00 Etienne Pardoux:
"Backward stochastic differential equations and
applications to quasi-linear PDEs"
10:00 - 10:30 Coffee break
10:30 - 11:00 Halvard Arntzen, University of Oslo:
"A problem of choosing production rate when
future demand is uncertain"
11:10 - 11:40 Jon Gjerde, VISTA/University of Oslo:
"Numerical solutions of SPDEs"
12:00 - 14:00 Lunch
Chairman: Tusheng Zhang
14:00 - 14:50 Salah Mohammed:
"Stochastic differential systems with memory" (1)
15:00 - 15:30 Ana Bela Cruzeiro, Group of Math. Physics, Lisbon:
"Invariant measure for a wave equation
on a Riemannian manifold"
15:40 - 16:10 Robert Dalang, Ecole Polytechnique Federale, Lausanne:
TBA
16:20 - 16:50 Laurent Decreusefond, ENST, Paris:
Stochastic Analysis of the Fractional Brownian Motion
19:00 Dinner
Tuesday, July 30
Chairman: Ali Süleyman Üstünel
09:00 - 9:50 Etienne Pardoux:
"Backward stochastic differential equations and
applications to quasi-linear PDEs" (2)
10:00 - 10:30 Coffee break
10:30 - 11:00 Jan Ubøe, Stord/Haugesund College:
"Modeling spatial structures through equilibrium
states of transition matrices"
11:10 - 11:40 Axel Grorud, Université de Provence:
TBA
12:00 - 14:00 Lunch
Chairman: Jean-Claude Zambrini
14:00 - 14:50 Salah Mohammed:
"Stochastic differential systems with memory" (2)
15:00 - 15:30 Peter Imkeller, Humboldt-Universitaet zu Berlin:
"On the laws of the Oseledets spaces of random
dynamical systems generated by linear(ized) sde"
15:40 - 16:10 Yasushi Ishikawa, University of Tsukuba:
"Diagonal estimate of transition densities
for jump processes"
16:20 - 16:50 Andrei Khrennikov, Bochum University:
"Non-Kolmogorovean Probabilistic Models"
19:00 Dinner
Wednesday, July 31
Chairman: Jan Ubøe
09:00 - 9:50 Etienne Pardoux:
"Backward stochastic differential equations and
applications to quasi-linear PDEs" (3)
10:00 - 10:30 Coffee break
10:30 - 11:20 Salah Mohammed:
"Stochastic differential systems with memory" (3)
11:30 Lunch and excursion.
19:00 Dinner
Thursday, August 1
Chairman: Laurent Decreusefond
09:00 - 9:50 Etienne Pardoux:
"Backward stochastic differential equations and
applications to quasi-linear PDEs" (4)
10:00 - 10:30 Coffee break
10:30 - 11:00 Thomas Skov Knudsen, Technical University of Denmark:
"Differentiability with respect to the coefficients
of the solution operator of stochastic
differential equations"
11:10 - 11:40 Denis Laurent, Université de Provence:
TBA
12:00 - 14:00 Lunch
Chairman: Robert Dalang
14:00 - 14:50 Salah Mohammed:
"Stochastic differential systems with memory" (4)
15:00 - 15:30 Michael Oberguggenberger, Universitaet Innsbruck:
"Nonlinear SDEs: Colombeau solutions and pathwise limits"
15:40 - 16:10 Bernt Øksendal, VISTA/University of Oslo:
"The optimal time to invest when the price processes
are geometric Brownian motions"
16:20 - 16:50 Nicolas Privault, Université d'Évry:
"The Skorohod isometry on Poisson space"
19:00 Dinner
Friday, August 2
Chairman: Jon Gjerde
09:00 - 9:50 Etienne Pardoux:
"Backward stochastic differential equations and
applications to quasi-linear PDEs" (5)
10:00 - 10:30 Coffee break
10:30 - 11:00 Marta Sanz-Sole, Universitat de Barcelona:
TBA
11:10 - 11:40 Bjarne Schieldrop, University of Oslo:
"The value of a flexible investment opportunity"
12:00 - 14:00 Lunch
Chairman: Peter Imkeller
14:00 - 14:50 Salah Mohammed:
"Stochastic differential systems with memory" (5)
15:00 - 15:30 Paul A. Torvund, University of Oslo:
"A continuous time game model-an optimal timing problem"
15:40 - 16:10 Kjell Bleivik, Central Bank of Norway:
"Determinism and stochastics in economics"
16:20 - 16:50 Ali Süleyman Üstünel, ENST, Paris:
TBA
19:00 Dinner
Saturday, August 3
Chairman: Ana Bela Cruzeiro
09:00 - 9:50 Etienne Pardoux:
"Backward stochastic differential equations and
applications to quasi-linear PDEs" (6)
10:00 - 10:30 Coffee break
10:30 - 11:00 Henning Varner, University of Oslo:
TBA
11:10 - 11:40 Gjermund Vage, University of Oslo:
"A Stochastic Differential Equation with Applications to
Non-Linear Filtering"
12:00 - 14:00 Lunch
Chairman: Michael Oberguggenberger
14:00 - 14:50 Salah Mohammed:
"Stochastic differential systems with memory" (6)
15:00 - 15:30 Tusheng Zhang, Stord/Haugesund College:
"Finite dimensional approximation to diffusion processes
on infinite-dimensional state space"
15:40 - 16:10 Jean-Claude Zambrini, Group of Math. Physics, Lisbon:
TBA
19:00 Banquet
Sunday, August 4: Departure day
REGISTRATION FORM
If you want to register by e-mail, please fill the form below and send it to
L. Decreusefond (Paris)
or A.S.Üstünel (Paris)
or
B.Øksendal (Oslo) ,
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Name :
Adress :
Tel :
Fax :
E-mail :
Your expected date of arrival in Norway :
Oslo [ ] or Bergen [ ]
Your expected date of departure :
Do you intend to give a talk ?
Provisional title :
Will you find your own accomodation : Yes [ ] or No [ ]
If you stay at Vestlia Hotel :
Room Single (520 NOK/day/person) [ ]
Double (460 NOK/day/person) [ ]
Number of accompanying persons :
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June 6, 1996