From: Laurent Decreusefond (decreuse@res.enst.fr)

SIXTH WORKSHOP ON STOCHASTIC ANALYSIS

JULY 29 - August 4, 1996

SECOND ANNOUNCEMENT


MAIN LECTURES:

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