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Workshop on
Optimal Stopping, Sequential Methods and Related Topics
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Program
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| Program and Abstracts (pdf) |
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| April 28–29, 2011, Freiburg, Germany, Room 404, Eckerstr. 1 |
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| April 27, 2011 |
| 18:00–20:00 |
— Registration, Get Together, Room 232, Eckerstr. 1 — |
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| April 28, 2011 |
09:00–09:15 |
— Welcome — |
| 09:15–10:00 |
Paavo Salminen, Åbo Akademi University (Finland) |
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Optimal stopping, Appell polynomials and Wiener–Hopf factorization |
| 10:00–10:40 |
Mihail Zervos, London School of Economics and Political Science (United Kingdom) |
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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 |
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Optimal stopping under Knightian uncertainty |
| 11:40–12:10 |
Yan Dolinsky, ETH Zurich (Switzerland) |
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Application of strong approximation theorems to optimal stopping |
| 12:10–12:40 |
Elena Boguslavskaya, London School of Economics and Political Science (United Kingdom) |
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Solving optimal stopping problems with Appell functions |
| 12:40–14:00 |
— Lunch — |
| 14:00–14:40 |
Albrecht Irle, University of Kiel |
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American options with guarantee for diffusions and Lévy processes |
| 14:40–15:10 |
Sören Christensen, University of Kiel |
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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) |
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Asymptotic solutions for real options under stochastic volatility |
| 15:50–16:20 |
Daniel Jones, Technical University Darmstadt |
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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) |
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Multiple comparisons in searching for local signals |
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!!! Talk is at FRIAS, Albertstr. 19 !!! |
19:30 |
— Joint Dinner at Dattler (only with special registration) — |
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| April 29, 2011 |
| 09:00–09:45 |
Albert N. Shiryaev, Steklov Institute Moscow (Russia) |
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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) |
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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) |
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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) |
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About two-dimensional Bayesian disorder problems |
| 11:55–12:25 |
Claudia Kirch, Karlsruhe Institute of Technology |
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On the bootstrap for sequential change-point tests |
| 12:25–12:45 |
David Siegmund, Stanford University (USA) |
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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) |
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Bonus – Malus in acceptance sampling |
| 14:35–15:10 |
A. V. Gnedin, Utrecht University (The Netherlands) |
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Sequential selection of random chains in self-similar posets |
| 15:10–15:40 |
Mikhail Urusov, Universität Ulm |
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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) |
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On the drawdown of completely asymmetric Lévy processes |
| 16:30–17:00 |
Jan-Hendrik Steg, Univerität Bielefeld |
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Singular control games |
| 17:00–17:30 |
Vladimir Mazalov, Institute of Applied Mathematical Research, Karelia (Russia) |
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On CUSUM procedures for exponential distribution |
| 17:30–18:15 |
Moshe Pollak, Hebrew University of Jerusalem (Israel) |
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Selecting "good" sets |
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