Wednesday, May 26, 2021
Time | Event | (+) |
09:00 - 09:15 | Introduction - Lorenzo Zambotti | |
09:15 - 09:55 | Multilevel Monte Carlo using approximate distributions - Mike Giles (Chairman : Benjamin Jourdain) | |
09:55 - 10:35 | Approximation of interest rate models with stochastic volatility - Bernard Lapeyre (Chairman : Benjamin Jourdain) | |
10:20 - 10:50 | Coffee break | |
10:50 - 11:30 | A rough volatility tour with Hawkes, Heston, Zumbach and Professor Pagès. - Mathieu Rosenbaum (Chairman : Catherine Matias) | |
11:30 - 12:10 | A Variance Reduced Expectation Maximization algorithm for finite sum optimization - Gersende Fort (Chairman : Catherine Matias) | |
12:10 - 14:00 | Lunch | |
14:00 - 14:40 | Optimal Group Size for Microlending - Philip Protter (Chairman : Noufel Frikha) | |
14:40 - 15:20 | Construction of Mac-Kean and Boltzmann type flows: the sewing lemma approach - Vlad Bally (Chairman : Noufel Frikha) | |
15:20 - 15:50 | Coffee break | |
15:50 - 16:30 | Constructing functional control variates using quantization - Antoine Lejay (Chairman : Idris Kharroubi) | |
16:30 - 17:10 | Dual Quantization - Benedikt Wilbertz (Chairman : Idris Kharroubi) |
Thursday, May 27, 2021
Time | Event | (+) |
09:00 - 09:10 | Introduction - Nicole El Karoui | |
09:10 - 09:50 | The method of discretizations in existence problems for stochastic evolution equations - Adam Jakubowski (Chairman : Nicole El Karoui) | |
09:50 - 10:30 | Probability distributions of first hitting times of solutions to SDEs w.r.t. the Hurst parameter of the driving fractional Brownian noise: A sensitivity analysis - Denis Talay (Chairman : Nicole El Karoui) | |
10:20 - 10:50 | Coffee break | |
10:50 - 11:30 | Simulation of Gibbs mesures for non linear Schrödinger equations - Jacques Printems (Chairman : Michel Benaim) | |
11:30 - 12:10 | Invertible-flow non equilibrium sampling - Eric Moulines (Chairman : Michel Benaim) | |
12:10 - 14:00 | Lunch | |
14:00 - 14:40 | Optimal Vector Quantization - Harald Luschgy (Chairman : Huyên Pham) | |
14:40 - 15:20 | Markovian and non-markovian neural networks compared to HJB for the control of a fishing site - Olivier Pironneau (Chairman : Huyên Pham) | |
15:20 - 15:50 | Coffee break | |
15:50 - 16:30 | RELU-based Neural Network as generative model of Fractional Brownian motion - Emmanuel Gobet (Chairman : Nizar Touzi) | |
16:30 - 17:10 | Approximation of Stochastic Volterra Equations - Ahmed Kebaier (Chairman : Nizar Touzi) |
Friday, May 28, 2021
Time | Event | (+) |
09:00 - 09:10 | Introduction - Damien Lamberton | |
09:10 - 09:50 | On the behavior of stopped diffusions - Arturo Kohatsu Higa (Chairman : Damien Lamberton) | |
09:50 - 10:30 | High-Frequency Statistics for a Semimartingale with Jump Activity varying with time - Jean Jacod (Chairman : Damien Lamberton) | |
10:20 - 10:50 | Coffee break | |
10:50 - 11:25 | How to predict the local variance of the wind ? - Mireille Bossy (Chairman : Jean Jacod) | |
11:30 - 12:10 | Bivariate Coupling via a "Universal Random Generator - Jean-Claude Fort (Chairman : Jean Jacod) | |
12:10 - 14:00 | Lunch | |
14:00 - 14:40 | Fast hybrid schemes for fractional Riccati equations (rough but not so tough) - Giorgia Callegaro (Chairman : Denis Talay) | |
14:40 - 15:20 | Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with $L^q-L^\rho $ drift coefficient and additive noise - Stéphane Menozzi (Chairman : Denis Talay) | |
15:20 - 15:50 | Coffee break | |
15:50 - 16:30 | Exploration noise for learning linear-quadratic mean field games - François Delarue (Chairman : Marc Hoffmann) | |
16:30 - 17:10 | Quantization and preservation of the convex order - Benjamin Jourdain (Chairman : Marc Hoffmann) |