Probability Seminars Spring 2002

STAT 598N: Probability Seminar

Mondays, 3:30 PM, REC 113 The probability seminar is organized this year by Professor Bañuelos. For a complete schedule see: http://www.math.purdue.edu/~banuelos/seminar.html. With his permission, we duplicate his page here.

The Probability Seminar meets in the Spring 2002 Semester on Mondays at 3:30 - 4:20 PM in REC 113. The first meeting is January 14.

Schedule

Monday, January 14, 2002, 3:30 in REC 113
Srdjan Stojanovic, Visiting Purdue University
Numerical Hypoelliptic Obstacle Problems and Optimal Momentum Trading

Monday, January 21, 2002
Martin Luther King Jr. Holiday

Monday, January 28, 2002, 3:30 in REC 113
Kiseop Lee, Purdue University
Hedging of options when the price process has jumps whose arrival rate depends on the price history

Monday, February 4, 2002, 3:30 in REC 113
Jin Ma, Purdue University
Feynman-Kac Formula: Old and New

Monday, February 11, 2002, 3:30 in REC 113
Ravi Mazumdar, Purdue University
Rate conservation laws for semi-martingales with applications

Monday, February 18, 2002, 3:30 in REC 113
No seminar this week. Instead, the seminar participants are encouraged to attend the Mathematics Department Colloquium by Professor N. Krylov, University of Minnesota
Some old and new relations between partial differential equations, stochastic partial differential equations, and fine properties of the Wiener process

Monday, February 25, 2002
Renming Song, University of Illinois, Urbana
Harnack Inequality for Some Classes of Markov Processes with Jumps

Monday, March 4, 2002, 3:30 in REC 113
Robert Bauer, University of Illinois, Urbana
Heat Content Asymptotics and Inequalities for a Horizontal Laplacian

Monday, March 11, 2002
Spring Break

Monday, March 18, 2002, 3:30 in REC 113
Ziyu Zheng, University of Wisconsin-Milwaukee
How to Solve a Dirichlet Problem via RBSDEs

Monday, March 25, 2002, 3:30 in REC 113
Tentative Speaker, Purdue University
To be announced.

Monday, April 1, 2002, 3:30 in REC 113
Ciprian A. Tudor, Universite de La Rochelle, Visiting Purdue University
Weak Convergence to the Fractional Brownian Motion

Monday, April 8, 2002, 3:30 in REC 113
Jean Brossard, Institut Fourier, Grenoble, France
Existence of Markov Chains Indexed by Z with Given Transition Probabilities

Monday, April 15, 2002, 3:30 in REC 113
Philip Protter, Cornell University
When is the Kramkov Decomposition Predictable?
Department of Statistics and Department of Mathematics
Joint with Computational Finance and Research Colloquia


Monday, April 22, 2002, 3:30 in REC 113
Burgess Davis, Purdue University
Reinforced Random Walks on Trees