Workshop on Long-Range Dependence












Schedule

Monday, 7.09

09:15-09:30 Opening, welcome from the organizers
09:30-10:15 Ely Merzbach The Set-Indexed Fractional Brownian Motion

10:15-10:35 Coffee break

Section  Financial and Other Applications

10:35-11:05 Alexander Kukush Static Lower Bounds for Basket Payoffs and Comonotonic Distributions
11:10-11:40 Stuart Petherick Fractal Activity Time Risky Asset Models
11:45-12:15 Yair Shaki Fair Allocation between Large Server Pools

12:15-14:05 Lunch

14:05-Evening Social programme

Tuesday, 8.09

09:30-10:15 Grigoriy Torbin Fractal Properties of Singular Probability Measures and Their Applications

10:15-10:35 Coffee break

Section  Fractional and Fractal Processes

10:35-11:05 Oleksiy Panasenko Fractal Properties of Continuous Functions
11:10-11:40 Yuliya Mishura Diffusion Processes with Long Memory
11:45-12:15 Kostiantyn Ralchenko Absolute Continuous Approximations for Solutions of SDEs with fBm

12:15-14:05 Lunch

14:05-14:50 Antoine Lejay
14:55-15:40 Short Course on Rough Paths

Wednesday, 9.09

09:30-10:15 Boris Kriheli Wiener Integration with Respect to Fractional Brownian Motion

10:15-10:35 Coffee break

Section  Statistical Applications

10:35-11:05 Rostyslav Mayboroda Statistical Analysis of Mixtures with Varying Concentrations
11:10-11:40 Lyudmyla Sakhno On the Estimation of Higher-order Spectral Functionals
11:45-12:15 Elina Moldavskaya Regression Models with Long-range Dependence and Constraints

12:15-14:05 Lunch

14:05-14:50 Antoine Lejay
14:55-15:40 Short Course on Rough Paths

Thursday, 10.09

09:30-10:15 Yuriy Kozachenko Conditions and the Rate of Convergence of  Expansions of Random Processes in Systems Generated by Wavelets

10:15-10:35 Coffee break

Section Markov Processes

10:35-11:05 Arthur Yosef The Set-Indexed Brownian Motion 
11:10-12:05 Yuri Kondratiev Vlasov Equations from Markov Dynamics of Continuous Systems 

12:15-14:05 Lunch


Friday, 11.09

09:30-10:15 Alexey Kulik Stochastic Calculus of Variations for SDEs Driven by LÚvy Noise

10:15-10:35 Coffee break

Section  LÚvy Processes

10:35-11:00 Victoria Knopova Transition Probability Density Estimates for LÚvy and LÚvy-type Processes
11:00-11:25 Georgiy Shevchenko Multifractional Harmonizable Stable Processes
11:30-11:45 Semen Bodnarchuk Smoothness of Distributions for Ornstein-Uhlenbeck Process with LÚvy  noise
11:45-12:00 Vladimir Zubchenko Some Properties of Solutions to Jump-Diffusion SDEs
12:00-12:15 Yuriy Kartashov Invariance Principles for Difference Additive Functionals

12:15-14:05 Lunch

14:05-14:50 Antoine Lejay
14:55-15:40 Short Course on Rough Paths