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Workshop on

Optimal Stopping, Sequential Methods and Related Topics

Program
Program and Abstracts (pdf)
 
April 28–29, 2011, Freiburg, Germany, Room 404, Eckerstr. 1
 
April 27, 2011
18:00–20:00  — Registration, Get Together, Room 232, Eckerstr. 1 —
 
April 28, 2011

09:00–09:15 

— Welcome —

09:15–10:00  Paavo Salminen, Åbo Akademi University (Finland)
  Optimal stopping, Appell polynomials and Wiener–Hopf factorization
10:00–10:40  Mihail Zervos, London School of Economics and Political Science (United Kingdom)
  On the optimal stopping of a one-dimensional Itô diffusion
10:40–11:00 

— Coffee Break — in room 331 —

11:00–11:40  Frank Riedel, University of Bielefeld
  Optimal stopping under Knightian uncertainty
11:40–12:10  Yan Dolinsky, ETH Zurich (Switzerland)
  Application of strong approximation theorems to optimal stopping
12:10–12:40  Elena Boguslavskaya, London School of Economics and Political Science (United Kingdom)
  Solving optimal stopping problems with Appell functions
12:40–14:00 

— Lunch —

14:00–14:40  Albrecht Irle, University of Kiel
  American options with guarantee for diffusions and Lévy processes
14:40–15:10  Sören Christensen, University of Kiel
  A method for pricing American options using semi-infinite linear programming
15:10–15:20 

— Short Break —

15:20–15:50  Christian-Oliver Ewald, University of Sydney (Australia)
  Asymptotic solutions for real options under stochastic volatility
15:50–16:20  Daniel Jones, Technical University Darmstadt
  Optimal exercising of American options in discrete time via forecasting of stationary and ergodic time series
16:20–17:15 

— Coffee Break — in room 331 — Walk of 5 minutes to Albertstr. 19

17:15–18:00  David Siegmund, Stanford University (USA)
  Multiple comparisons in searching for local signals
  !!! Talk is at FRIAS, Albertstr. 19 !!!

19:30

— Joint Dinner at Dattler (only with special registration) —

 
April 29, 2011
09:00–09:45  Albert N. Shiryaev, Steklov Institute Moscow (Russia)
  Local time approach to the Bayesian problems of testing two and three hypotheses for Brownian motion with drift
09:45–10:30  Goran Peskir, University of Manchester (United Kingdom)
  Optimal detection of a hidden target
10:30–10:50 

— Coffee Break — in room 331 —

10:50–11:25  Ernst Presman, Central Economics and Mathematical Institute, Moscow (Russia)
  Construction of the value function by a modification of the payoff function in the optimal stopping of one-dimensional diffusion with finite number of peculiarities
11:25–11:55  Pavel V. Gapeev, London School of Economics and Political Science (United Kingdom)
  About two-dimensional Bayesian disorder problems
11:55–12:25  Claudia Kirch, Karlsruhe Institute of Technology
  On the bootstrap for sequential change-point tests
12:25–12:45  David Siegmund, Stanford University (USA)
  Multiple comparisons in searching for local signals, Part II
12:45–14:00 

— Lunch —

14:00–14:35  Chris A. J. Klaassen, University of Amsterdam (The Netherlands)
  Bonus – Malus in acceptance sampling
14:35–15:10  A. V. Gnedin, Utrecht University (The Netherlands)
  Sequential selection of random chains in self-similar posets
15:10–15:40  Mikhail Urusov, Universität Ulm
  On the martingale property of exponential local martingales
15:40–16:00 

— Coffee Break — in room 331 —

16:00–16:30  Aleksandar Mijatovic, University of Warwick (United Kingdom)
  On the drawdown of completely asymmetric Lévy processes
16:30–17:00  Jan-Hendrik Steg, Univerität Bielefeld
  Singular control games
17:00–17:30  Vladimir Mazalov, Institute of Applied Mathematical Research, Karelia (Russia)
  On CUSUM procedures for exponential distribution
17:30–18:15  Moshe Pollak, Hebrew University of Jerusalem (Israel)
  Selecting "good" sets

 

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Impressum last update   April 26, 2011