Forthcoming Seminars › Seminar Series

Stochastic Analysis Seminar

Mon, 12/10/2009
14:15 		Alice Guionnet (Ecole Normale Superieure, Lyons) Stochastic Analysis Seminar Add to calendar Oxford-Man Institute
The Single Ring Theorum
Mon, 12/10/2009
15:45 		Arnaud Doucet (University of British Columbia and Institute of Statistical Mathematics) Stochastic Analysis Seminar Add to calendar Eagle House
Forward Smoothing using Sequential Monte Carlo with Application
Mon, 19/10/2009
14:15 		Alexander Lindner (Technische Universität Braunschweig) Stochastic Analysis Seminar Add to calendar Eagle House
On Stationary Distributions of some Generalised Ornstein-Uhlenbeck Processes
Mon, 26/10/2009
14:15 		Michael Roeckner (Bielefeld University) Stochastic Analysis Seminar Add to calendar Eagle House
Self-Organised Criticality via Stochastic Partial Differential Equations
Mon, 26/10/2009
15:45 		Alan Hammond (New York University) Stochastic Analysis Seminar Add to calendar Eagle House
To Be Announced
Condition supercritical percolation so that the origin is enclosed by a dual circuit whose interior traps an area of n^2. The Wulff problem concerns the shape of the circuit. We study the circuit's fluctuation. A well-known measure of this fluctuation is maximum local roughness (MLR), which is the greatest distance from a point on the circuit to the boundary of circuit's convex hull. Another is maximum facet length (MFL), the length of the longest line segment of which this convex hull is comprised. In a forthcoming article, I will prove that for various models including supercritical percolation, under the conditioned measure, MLR = \Theta(n^{1/3}\log n)^{2/3}) and MFL = \Theta(n^{2/3}(log n)^{1/3}). An important tool is a result establishing the profusion of regeneration sites in the circuit boundary. The talk will focus on deriving the main results with this tool
Mon, 02/11/2009
14:15 		Mireille Capitaine (Université de Toulouse) Stochastic Analysis Seminar Add to calendar Eagle House
The Largest Eigenvalues of Finite Rank Deformation of Large Wigner Matrices: Convergence and Fluctuations
Joint work with C. Donati-Martin and D. Feral
Mon, 09/11/2009
14:15 		Tom Cass (Oxford) Stochastic Analysis Seminar Add to calendar Eagle House
To Be Announced
Mon, 09/11/2009
15:45 		Stanislav Smirnov (Université de Genève) Stochastic Analysis Seminar Add to calendar Eagle House
To Be Announced
Mon, 16/11/2009
14:15 		Chunrong Feng (Loughborough University) Stochastic Analysis Seminar Add to calendar Eagle House
Local Time Rough Path for Lévy Processes
Mon, 16/11/2009
15:45 		Loic Chaumont (Université d’Angers) Stochastic Analysis Seminar Add to calendar Eagle House
Some invariance principles for functionals of Lévy processes
We prove that when a sequence of Lévy processes $ X(n) $ or a normed sequence of random walks $ S(n) $ converges a.s. on the Skorokhod space toward a Lévy process $ X $, the sequence $ L(n) $ of local times at the supremum of $ X(n) $ converges uniformly on compact sets in probability toward the local time at the supremum of $ X $. A consequence of this result is that the sequence of (quadrivariate) ladder processes (both ascending and descending) converges jointly in law towards the ladder processes of $ X $. As an application, we show that in general, the sequence $ S(n) $ conditioned to stay positive converges weakly, jointly with its local time at the future minimum, towards the corresponding functional for the limiting process $ X $. From this we deduce an invariance principle for the meander which extends known results for the case of attraction to a stable law.
Mon, 23/11/2009
14:15 		Eulalia Nualart (Universite Paris 13) Stochastic Analysis Seminar Add to calendar Eagle House
Strict Positivity of the Density for Non-Linear Spatially Homogeneous SPDes
Mon, 23/11/2009
15:45 		Max von Renesse (TU Berlin) Stochastic Analysis Seminar Add to calendar Eagle House
AN OPTIMAL TRANSPORT VIEW ON SCHR¨ODINGER’S EQUATION
Mon, 30/11/2009
14:15 		Bohdan Maslowski (Academy of Sciences of Czech Republic) Stochastic Analysis Seminar Add to calendar Eagle House
To Be Announced
Mon, 30/11/2009
15:45 		William Shaw (King’s College London) Stochastic Analysis Seminar Add to calendar Eagle House
Hybrid Brownian motion: a model for price feedback and volatility explosion
Numerous studies of asset returns reveal excess kurtosis as fat tails, often characterized by power law behaviour. A hybrid of arithmetic and geometric Brownian motion is proposed as a model for short-term asset returns, and its equilibrium and dynamical properties explored. Some exact solutions for the time-dependent behaviour are given, and we demonstrate the existence of a stochastic bifurcation between mean- reverting and momentum-dominated markets. The consequences for risk management will be discussed.

For any corrections/updates to these listings, please contact seminars [-at-] maths [dot] ox [dot] ac [dot] uk.

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