UvA
Korteweg-de Vries Institute for Mathematics

Past Lectures in the Colloquium Probability Theory, Statistics and Financial Mathematics

Lectures in 2010-2011

25 February 2011: Marek Arendarczyk (University of Wroclaw), On the tail asymptotics of the area swept under the workload graph
25 February 2011: Peter Glynn (Stanford University), Convex Regression in Multiple Dimensions
10 March 2011: Ilkka Norros (University of Helsinki / VTT), Reliability modelling with on/off processes
10 March 2011: Zbigniew Palmowski (University of Wroclaw), Dividend problems for a Lévy insurance risk process
18 April 2011: Elena Boguslavskaya (London School of Economics), Solving optimal stopping problems with Appell functions
28 June 2011: Ya'acov Ritov (The Hebrew University of Jerusalem), Revisiting compound decision and empirical Bayes procedures

Lectures 2008-2009

8 September 2008: Natalia Lysenko (ETH Zürich), A look at the extremes from meta distributions through the shape of the sample clouds
21 October 2008: Lars Norvang Andersen (Aarhus University), Loss rate asymptotics for reflected Lévy processes
15 January 2009: Sean Meyn (University of Illinois at Urbana-Champaign), Average-cost Temporal Difference Learning and Adaptive Control Variates
16 February 2009: Tomasz Rolski (Wroclaw University), Exact asymptotics for a Levy-driven tandem queue with an intermediate input
16 March 2009: Nick Bambos (Stanford University), Power control in wireless networking

Lectures 2007-2008

13 September 2007: Ildar Ibragimov (St. Petersburg), On the Distribution of the Zeros of Random Polynomials
16 October 2007: Krzysztof Dębicki (Wroclaw), Gaussian queues: the analysis of the asymptotic constant
9 November 2007: Chris Klaassen, An Existence Problem in Statistical Estimation Theory
23 November 2007: Shota Gugushvili (UvA), Decompounding under Gaussian noise
21 December 2007: Jan van Casteren (Antwerpen), Markov processes on Polish spaces
28 February 2008: Nanuli Lazrieva (Tbilisi), A Bayesian-martingale approach to the general disorder problem
11 June 2008: Hira Koul (East Lansing), Goodness-of-fit testing in interval censoring case 1

Lectures 2006-2007

16 Oct: Shaul Bar-Lev (Haifa), Group testing with incomplete identification
8, 10, 12, 15, 17, 19 Jan: Albert Shiryaev (Moscow), Lectures on Stochastic Finance
14 May: Antoon Pelsser (UvA), Utility-Based Pricing of Insurance Contracts and related Stochastic Optimal Control Problems
26 May: Jacobo de Una-Alvarez (Vigo): Nonparametric methods for non-Markov multi-state models

Lectures 2005-2006

10 Oct: Peter Spreij (UvA), Model building and Lévy processes (Chapters 3 and 4)
24 Oct: Bert van Es (UvA), Simulation of Lévy processes (Chapter 6)
7 Nov: Bert van Es (UvA), Simulation of Lévy processes (Chapter 6) continued
21 Nov: Jasper Anderluh (TUD),
5 Dec Peter Spreij (UvA), Measure transformations and hedging in incomplete markets II

Lectures 2005

17-01: Peter Spreij (UvA), Infinite divisibility, Lévy processes, subordinators
31-01: Shota Gugushvili (UvA), Strong Markov property, Poisson random measures, Lévy-Itô decomposition
07-02: Ramon vd Akker (UvT), Integration w.r.t. random measures
21-02: Jasper Anderluh (TUD), Brownian Stochastic Integrals, Poisson Stochastic Integrals
07-03: Guus Balkema (UvA), Poisson stochastic integral, Ito's formula (without applications)
21-03: Harry van Zanten (VU), Lévy's characterization, stochastic exponentials, Girsanov's theorem
18-04: Erik Baurdoux (UU), Lévy processes in finance
23 May: Hicham Zmarrou (UvA), generators of Levy processes (part I)
06-06: Hicham Zmarrou (Uva), generators of Levy processes (part II) and examples

Lectures 2004

5-4, Miranda van Uitert (VU), Generalized Processor Sharing queues
15-3, Luciano Campi (Technische Universitaet, Vienna), Mean-variance hedging with insider trading
12-1, Mike Keane (UvA, Wesleyan), The binomial transformation

Past lectures 2003

27-10, Peter Boswijk (UvA, FEE) The 2003 Nobel prize in economics: trend and volatility in econometrics
19-5, Martijn Pistorius(UU), On exit times of spectrally negative reflected Levy processes with applications to option pricing and queueing
12-5, Michel Mandjes (CWI), Queues with Gaussian inputs
7-4, Casper Albers (RUG), Trying to resolve the two-envelope problem
24-3, Roelof Helmers (CWI), The empirical Edgeworth expansion for a studentized trimmed mean.
10-3, Peter van der Wal (Eurandom), Perturbation of covering algorithms.
24-2, Manuel Ballester (UU), Estimation of quantum operations.
3-2, Nick Bingham (Brunel University), Semi-parametric modelling in finance

Lectures 2002

25-11, Hein Putter (LUMC), A score test for detecting linkage to quantitative traits
28-10, Eric Cator (Delft), Testabiliy of the Coarsening At Random (CAR) assumption
14-10, Bert Zwart (TUE), Subexponential asymptotics of fluid models
17-6, Esko Valkeila (Helsinki), Stochastic analysis with fractional Brownian motion
14-6, A.N. Shiryaev, An invariance principle for an exotic horizontal vertical random walk.
7-5, Helyette Geman (University Paris IX Dauphine and ESSEC), Stochastic time changes, Levy processes and asset price modelling and Remco Peters (UvA), Uncovering Brownian motion in the SP500 future index
8-4, S. Ravi (University of Mysore), On compound distributions in reliability
18-3, Ad Ridder (VU), Rare event simulations in queueing problems.
4-3, Corrie Quant (UU), On a long range particle system with unbounded flip rates
25-2, Silke Rolles (Eurandom), Random Walks in Stochastic Surroundings
4-2, Bas Werker (KUB), Incorporating estimation risk in portfolio choice
21-1, Franz Merkl (Bielefeld), Reconstruction of a random scenery seen along a random walk path with bounded jumps

Lectures 2001


3-12, Janos Englander (Eurandom), Poissonian hard obstacles --- the case when you have branching too
19-11, Andreas Kyprianou (UU), Charging balls with a branching Markov diffusion
5-11, Tom Liggett (Los Angeles), Monotonicity of Conditional Distributions, and Stochastic Growth Models on Trees
23-10, Special session in cooperation with CWI: Marc Yor (Paris) Harry van Zanten (VU) and Jean Mémin (Rennes).
8-10, Grigori Milstein (Weierstrass Institute, Berlin), Transition density estimation for stochastic differential equations via forward-reverse representations
24-9, Elena Boguslavskaia (UvA), On optimization of dividends
10-9, Jiri Hoogland (CWI), Converting the reset
2-7, Shaul K. Bar-Lev (University of Haifa), Statistical aspects of certain natural exponential families
18-6, Peter Boswijk (FEE, UvA), Some aspects of econometrics volatility analysis
21-5, Judith Lok (LUMC), Statistical modelling of causal effects in time
7-5, Bert van Es (UvA), Nonparametric deconvolution applied to certain stochastic volatility models.
23-4, Remco Peters (UvA), Volatility made visible
26-3, Aad van der Vaart (VUA), Stationarity of GARCH models.
12-3, Chris Klaassen (UvA), Semiparametric GARCH and exchange rates
26-2, Chris Klaassen (UvA),Non-lineair time series
12-2, Guus Balkema (UvA), Point processes andmaxima
29-1, Guus Balkema (UvA), Point processes
15-1, Leo Klein Haneveld (HvA), Fluctuations of maxima
8-1, Wayan Mangku (CWI), Nonparametric estimation of the period and intensity function of a cyclic Poisson process.

Lectures 2000


17-1, Cees Diks (FEE, UvA), Dimension of the volatility
14-2, Elena Boguslavskaia (UvA), On stochastic optimal control in financial mathematics
28-2, Svetlana Borovkova (TUD), Nonlinear time series models, financial time series and some other interesting problems
13-3, Misja Nuyens (UvA), Optimal disciplines for single server queues
20-3, Albert Trip (UvA), Let's make it better
27-3, Robin de Vilder (UvA), Business cycle models: closing the gap between teh different methodologies
10-4, Sergei Novak (Eurandom), Inference on heavy tails from dependent data and VaR estimation
24-4, Remco Peters (UvA), Non-Convergence in the Variation of the Hedging Processes of an European Call Option
22-5, Dimitri Neumann (CWI), Asians, cash dividends and dualities in option pricing
19-6, Richard Boucherie (UvA), Stochastic network models for mobile communications systems
18-9, Kai Lai Chung (Stanford University), Time better be random.
2-10, Guus Balkema (UvA), High risk limit laws
30-10, Peter Spreij (UvA), The Cramer-Lundberg model
27-11, Misja Nuyens (UvA), Fluctuations of sums of random variables
11-12, Hans van der Weide (TU Delft), Random sums