S T O C H A S T I C    A N A L Y S I S     S E M I N A R,    2 0 0 8 - 2 0 1 0

Organized with A.S. Üstünel and J. Valentin, at the Institut Henri Poincaré, on Wednesdays 2-3pm.

Spring Semester 2010

• May 5, Alfred Galichon, Some applications of the Bernstein-Schrödinger equation to economics.
• March 31, Marc Yor, On Tsirelson's equation.
• March 24, Annie Millet, Stochastic Navier Stokes equations with viscosity going to .
• March 17, Rama Cont, Functional Itô calculus and stochastic integral representation of martingales.
• February 24, Paul Bourgade, Relaxation flow and random matrices, by Erdös, Schlein, Yau and Yin.
• February 17, Ciprian Tudor. Stein's method, Gaussian random variables and Cramer's theorem.
• February 10, Koji Yano. Cameron-Martin formula for the sigma-finite measure unifying Brownian penalisations.
• January 27, Isabelle Camilier. Quasi-invariance and integration by parts for determinantal and permanental point processes.
• January 20, Marc Yor, Some explicit solutions to Skorokhod's embedding problem.

Fall Semester 2009

• December 16, Laurent Decreusefond, Time reversal for SDE driven by a fractional Brownian motion.
• December 2, Paul Malliavin, Non-parametric statistics for the volatility function.
• November 25, A. Suleyman Üstünel, Analysis of the signal-to-noise ratio.
• November 18, Francis Hirsch, Itô-type formula for gaussian processes and application to convex order.
• November 4, Ivan Nourdin, Cumulants on the Wiener space.
• October 28, Hélène Airault, Stokes' formula on the Wiener space and the multidimensional Stein's lemma.

Spring Semester 2009

• May 27, Stéphane Menozzi, Lower bounds dor densities from degenerated diffusions: a stochastic control approach.
• May 13, Vincent Vargas, Multiplicative chaos and stochastic scale invariance.
• May 6, Paul Malliavin, Cancellation of distant past yields ergodicity.
• April 29, Agnès Sulem, Singular stochastic control with partial information of jump diffusions
• April 8, Marc Yor, Some new examples of processes with the same marginals as a martingale.
• April 1, Laurent Decreusefond, Distances between punctual point processes.
• March 25, Pierre Henry-Labordére, Calibration of Local Stochastic Volatility Models: A Malliavin Calculus Approach.
• March 18, Ivan Nourdin, Invariance principle for multilinear forms.
• March 11, A. Süleyman Üstünel, Sub-Jacobians on the Wiener space.
• March 4, Edouard Maurel-Segala, Large dimension limits of matrix-valued processes.
• February 25, Paul Lescot, Bernstein Processes and affine models for fixed income securities.
• February 18, Paul Bourgade, Universality questions in Random Matrix theory, by Tao and Vu.
• February 11, Francis Hirsch, The Ornstein-Uhlenbeck semigroup and construction of processes with the same unidimensional marginal as a martingale.
• February 4, Vincent Bansaye, Large deviations for branching processes in random environments.
• January 28, Yuko Yano and Kouji Yano, Penalisation of a stable Levy process involving its one-sided supremum, Penalizing symmetric stable Levy paths.
• January 21, Jonathan Touboul, Hitting times and mean field methods in neurosciences.
• January 14, Hélène Airault, Formules de Cameron Martin.
• January 7, Nicolas Bouleau , The lent particle method.

Fall Semester 2008

• December 17, A. Süleyman Üstünel, Irreversibility and entropy.
• December 10, Olivier Croissant, Stochastic volatility models and differential geometry.
• December 3, Hélène Airault, Black-Scholes with arbitrage.
• November 26, Ivan Nourdin, Stein's method and Malliavin calculus.
• November 19, A. Süleyman Üstünel, A probabilistic solution to the American options problem.
• November 12, Paul Malliavin, About the Milstein scheme.
• November 5, Paul Malliavin, Lower bound at infinity for the density of non-degenerated functionals.