**SIXTH WORKSHOP ON STOCHASTIC ANALYSIS**

JULY 29 - August 4, 1996

SECOND ANNOUNCEMENT

### Professor Étienne Pardoux(Marseille):

#### "Backward Stochastic Differential Equations, and Applications to Quasi-linear PDEs"

### Professor Salah Mohammed (Carbondale,Illinois) :

#### "Stochastic Differential Systems with Memory: Theory, Examples and Applications"

Sponsored by VISTA, a research cooperation between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap a.s. (Statoil)

- 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.

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) |
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The train ticket costs NOK 300 one way. (Students half price).

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, |
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17:00 19:00 Registration

19:00 Dinner

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

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

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

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

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

19:00 Dinner

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

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

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

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

"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

"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

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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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