Документ взят из кэша поисковой машины. Адрес оригинального документа : http://new.math.msu.su/department/probab/rusjap09.doc Дата изменения: Mon Sep 7 10:53:36 2009 Дата индексирования: Sat Apr 9 23:38:32 2016 Кодировка:

Russian-Japan Symposium

on



STOCHASTIC ANALYSIS OF THE ADVANCED

STATISTICAL MODELS



Joint RFBR-JSPS Russian-Japan Project

"Complex Stochastic Models: Asymptotics and Applications"

Co-leaders: A.Shiryaev and H.Wakaki



Tuesday, September 15



9:30 Morning coffee

9:50 - 10:00 OPENING



10:00 - 10:40 H.WAKAKI. An asymptotic expansion of the local power
of a general test for testing a general covariance
structure (joint work with A. Shimizu)

10:50 - 11:10 YU.V. PROKHOROV. On convergence to uniform law



11:10 - 11:30 Coffee



11:30 - 12:10 T.SUGIYAMA. Distributions and test of each
characteristic root in principal component analysis

12:20 - 12:40 A.ALIEV. Arbitrage strategies in mean-reverting
diffusion models

12:50 - 13:10 E.MIYAZAKI. Approximate distribution of the smallest
latent root in Wishart matrix



13:30 - 14:30 Lunch



14:30 - 14:50 A.GUSHCHIN. Utility maximization in some markets
admitting arbitrage

15:00 - 15:20 K.OKUSA and T.KAMAKURA. A statistical method to
extract information from the scalechanging object



15:20 - 15:40 Coffee



15:40 - 16:00 E.BURNAEV. On a nonlinear minimax quickest detection
problem for the Brownian motion

16:10 - 16:30 G.PERELMAN. Ito's formula for functions with jump
along the curve



Wednesday, September 16



9:30 Morning coffee



10:00 - 10:40 A.SHIRYAEV. Concept of RANDOMNESS: evolution of
notions

10:50 - 11:10 K.IWATA. On a semigroup of optimal stopping
times



11:10 - 11:30 Coffee

11:30 - 12:10 T.KAMAKURA. Methods of testing for normality of
observations

12:20 - 12:40 V.ULYANOV. Asymptotic properties of almost
quadratic forms

12:50 - 13:30 K.NAGAI. Asymptotics of sequential tests for some
markov chains via convergence to diffusion



13:30 - 14:30 Lunch



14:30 - 14:50 I.SHEVTSOVA. On asymptotically exact constants in CLT

15:00 - 15:20 A.MURAVLEV. On stopping times connected with
drawdowns and rallies of a Brownian motion with drift



15:20 - 15:40 Coffee



15:40 - 16:00 A.KAMENOV. Asymptotical behavior of Russian option on
a finite time horizon

16:10 - 16:30 A.SHAPOSHNIKOV. On Skorokhod's
differentiability of measures



Thursday, September 17



9:30 Morning coffee

10:00 - 10:40 T.YANAGAWA. Observational Chaos

10:50 - 11:10 E.YAROVAYA. Criteria of exponential growth of the
numbers of particles in branching random walks



11:10 - 11:30 Coffee



11:30 - 12:10 T.FUJITA. TBA

12:20 - 12:40 M.ZHITLUKHIN. Maximal inequality for skew Brownian
motion

12:50 - 13:30 K.NISHIDE. On the environmental Kuznets curve: a real
options approach (joint work with M.Kijima and
A.Ohyama)



13:30 - 14:30 Lunch



14:30 - 14:50 A.ABAKIROVA. Analogues of the PoincarИ-Chernoff
inequality and the logarithmic Sobolev inequality

15:00 - 15:20 Y.LYULKO. Stochastic representations of max-type
functionals from random walk



15:20 - 15:40 Coffee



15:40 - 16:00 S.SHAPOSHNIKOV. Estimates of transition densities

16:10 - 16:30 V.BOGACHEV. On polynomials in Gaussian random
variables



16:30 CLOSING



Time of the Symposium: September 15 - 17, 2009

Location of the Symposium: Gubkina street 8, Steklov Mathematical
Institute, 9 floor

Telephone of the Orginizing Committee: +7 495 938 37 37

Fax: +7 495 938 18 80

E-mail: albertsh@mi.ras.ru