Hitting times and exit problems for stochastic models
Odalric-Ambrym Maillard
The workshop Hitting times and exit problems for stochastic models will take place on 27th, 28th and 29th of November, 2013, at the Institut de Mathématiques de Bourgogne(IMB), Dijon, France (in the René Baire room).
This workshop will focus on recent theoretical and numerical breakthroughs in stopping times problems such as hitting times, passage times, exit times, exit location...
A large class of stochastic processes is concerned: Brownian paths, stochastic differential equations driven by white noise or Levy noise...
Results concerning the exit time distribution are also of particular interest: Laplace transform characterization and large time or small noise asymptotics. The aim of the workshop is also to present new numerical algorithms in order to simulate hitting and exit times.
The program concerns recent developments in the description and applications of these stopping times in related theories.
Invited speakers:
- Mario Abundo, Tor Vergata University, Italy
- Frank Aurzada, Darmstadt University, Germany
- Anton Bovier, University of Bonn, Germany --> (mini-course)
- Benoîte de Saporta University of Bordeaux, France
- Steffen Dereich, University of Münster, Germany
- Emmanuel Gobet, Ecole Polytechnique, France
- Michael Högele, University of Potsdam, Germany
- Antoine Lejay Inria Nancy - Grand Est, France
- Pierre Patie, Cornell University, USA --> (mini-course)
- Ilya Pavlyukevitch, University of Jena, Germany
- Klaus Pötzelberger, Vienna University, Austria --> (mini-course)
- Christophe Profeta, University of Evry, France
- Laurent Serlet, University of Clermont-Ferrand, France
- Etienne Tanré, INRIA Sophia Antipolis - Méditerranée, France
- Julian Tugaut, University of Bielefeld, Germany
- Stavros Vakeroudis, Université Libre de Bruxelles, Belgium. To be confimed.
You can find the program of these days here.
This workshop is organised by Madalina Deaconu and Samuel Herrmann.
It is sponsored by the Regional Government of Burgundy and the TOSCA team of INRIA.