Program

Week Wed. 26 Thu. 27 Fri. 28 List

	Wed. 26	Thu. 27	Fri. 28
09:00 10:00 11:00 12:00 13:00 14:00 15:00 16:00 17:00	Introduction 9:00 - 9:15 (15min) Introduction Lorenzo Zambotti Multilevel Monte Carlo using approximate distributions 9:15 - 9:55 (40min) Multilevel Monte Carlo using approximate distributions Mike Giles (Chairman : Benjamin Jourdain) https://gp60.sciencesconf.org/data/program/gp60_giles.pdf Approximation of interest rate models with stochastic volatility Coffee break 9:55 - 10:35 (40min) Approximation of interest rate models with stochastic volatility Bernard Lapeyre (Chairman : Benjamin Jourdain) 10:20 - 10:50 (30min) Coffee break A rough volatility tour with Hawkes, Heston, Zumbach and Professor Pagès. 10:50 - 11:30 (40min) A rough volatility tour with Hawkes, Heston, Zumbach and Professor Pagès. Mathieu Rosenbaum (Chairman : Catherine Matias) https://gp60.sciencesconf.org/data/program/gp60_rosenbaum.pdf A Variance Reduced Expectation Maximization algorithm for finite sum optimization 11:30 - 12:10 (40min) A Variance Reduced Expectation Maximization algorithm for finite sum optimization Gersende Fort (Chairman : Catherine Matias) https://gp60.sciencesconf.org/data/program/gp60_gersende_fort.pdf Lunch 12:10 - 14:00 (1h50) Lunch Optimal Group Size for Microlending 14:00 - 14:40 (40min) Optimal Group Size for Microlending Philip Protter (Chairman : Noufel Frikha) https://gp60.sciencesconf.org/data/program/gp60_protter.pdf Construction of Mac-Kean and Boltzmann type flows: the sewing lemma approach 14:40 - 15:20 (40min) Construction of Mac-Kean and Boltzmann type flows: the sewing lemma approach Vlad Bally (Chairman : Noufel Frikha) https://gp60.sciencesconf.org/data/program/gp60_bally.pdf Coffee break 15:20 - 15:50 (30min) Coffee break Constructing functional control variates using quantization 15:50 - 16:30 (40min) Constructing functional control variates using quantization Antoine Lejay (Chairman : Idris Kharroubi) https://gp60.sciencesconf.org/data/program/gp60_antoine_lejay_1.pdf Dual Quantization 16:30 - 17:10 (40min) Dual Quantization Benedikt Wilbertz (Chairman : Idris Kharroubi) https://gp60.sciencesconf.org/data/program/gp60_wilbertz.pdf	Introduction 9:00 - 9:10 (10min) Introduction Nicole El Karoui The method of discretizations in existence problems for stochastic evolution equations 9:10 - 9:50 (40min) The method of discretizations in existence problems for stochastic evolution equations Adam Jakubowski (Chairman : Nicole El Karoui) https://gp60.sciencesconf.org/data/program/Paris_2021_GP60_jakubowski.pdf 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 Coffee break 9:50 - 10:30 (40min) 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) https://gp60.sciencesconf.org/data/program/gp60_talay.pdf 10:20 - 10:50 (30min) Coffee break Simulation of Gibbs mesures for non linear Schrödinger equations 10:50 - 11:30 (40min) Simulation of Gibbs mesures for non linear Schrödinger equations Jacques Printems (Chairman : Michel Benaim) Invertible-flow non equilibrium sampling 11:30 - 12:10 (40min) Invertible-flow non equilibrium sampling Eric Moulines (Chairman : Michel Benaim) https://gp60.sciencesconf.org/data/program/gp60_moulines.pdf Lunch 12:10 - 14:00 (1h50) Lunch Optimal Vector Quantization 14:00 - 14:40 (40min) Optimal Vector Quantization Harald Luschgy (Chairman : Huyên Pham) https://gp60.sciencesconf.org/data/program/gp60_luschgy.pdf Markovian and non-markovian neural networks compared to HJB for the control of a fishing site 14:40 - 15:20 (40min) Markovian and non-markovian neural networks compared to HJB for the control of a fishing site Olivier Pironneau (Chairman : Huyên Pham) https://gp60.sciencesconf.org/data/program/gp60_pironneau.pdf Coffee break 15:20 - 15:50 (30min) Coffee break RELU-based Neural Network as generative model of Fractional Brownian motion 15:50 - 16:30 (40min) RELU-based Neural Network as generative model of Fractional Brownian motion Emmanuel Gobet (Chairman : Nizar Touzi) https://gp60.sciencesconf.org/data/program/gp60_gobet.pdf Approximation of Stochastic Volterra Equations 16:30 - 17:10 (40min) Approximation of Stochastic Volterra Equations Ahmed Kebaier (Chairman : Nizar Touzi) https://gp60.sciencesconf.org/data/program/gp60_kebaier.pdf	Introduction 9:00 - 9:10 (10min) Introduction Damien Lamberton On the behavior of stopped diffusions 9:10 - 9:50 (40min) On the behavior of stopped diffusions Arturo Kohatsu Higa (Chairman : Damien Lamberton) https://gp60.sciencesconf.org/data/program/gp60_kohatsu_higa.pdf High-Frequency Statistics for a Semimartingale with Jump Activity varying with time Coffee break 9:50 - 10:30 (40min) High-Frequency Statistics for a Semimartingale with Jump Activity varying with time Jean Jacod (Chairman : Damien Lamberton) https://gp60.sciencesconf.org/data/program/gp60_jacod.pdf 10:20 - 10:50 (30min) Coffee break How to predict the local variance of the wind ? 10:50 - 11:25 (35min) How to predict the local variance of the wind ? Mireille Bossy (Chairman : Jean Jacod) https://gp60.sciencesconf.org/data/program/gp60_bossy_1.pdf Bivariate Coupling via a "Universal Random Generator 11:30 - 12:10 (40min) Bivariate Coupling via a "Universal Random Generator Jean-Claude Fort (Chairman : Jean Jacod) https://gp60.sciencesconf.org/data/program/gp60_fort.pdf Lunch 12:10 - 14:00 (1h50) Lunch Fast hybrid schemes for fractional Riccati equations (rough but not so tough) 14:00 - 14:40 (40min) Fast hybrid schemes for fractional Riccati equations (rough but not so tough) Giorgia Callegaro (Chairman : Denis Talay) https://gp60.sciencesconf.org/data/program/gp60_callegaro.pdf Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with $L^q-L^\rho $ drift coefficient and additive noise 14:40 - 15:20 (40min) 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) https://gp60.sciencesconf.org/data/program/gp60_menozzi_1.pdf Coffee break 15:20 - 15:50 (30min) Coffee break Exploration noise for learning linear-quadratic mean field games 15:50 - 16:30 (40min) Exploration noise for learning linear-quadratic mean field games François Delarue (Chairman : Marc Hoffmann) https://gp60.sciencesconf.org/data/program/gp60_delarue.pdf Quantization and preservation of the convex order 16:30 - 17:10 (40min) Quantization and preservation of the convex order Benjamin Jourdain (Chairman : Marc Hoffmann) https://gp60.sciencesconf.org/data/program/gp60_jourdain.pdf

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