Program
| 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) |
|
| 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) |
|
| 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) |
|
|
