Workshop on Long-Range Dependence

General information

The workshop is organized within the framework of the project "Multifractionality" which aims at development of new mathematical and statistical tools for modelling and prediction of systems nonlinear in space and in time with complex characteristics including variable singularity, long-range dependence and multiple scaling, and at applications of these methods in financial mathematics, physics and other areas.

The workshop is devoted to stochastic analysis of models with long-range dependence and their applications in financial mathematics. The target audience includes specialists in financial mathematics, and to specialists in stochastic processes, who want to learn more about financial applications.

Workshop will consist of plenary and contributed talks by its participants, 30-45 minutes each. Besides, we plan to have a short (3-5 lectures) introductory course on rough path integration by Antoine Lejay.