Opening Ceremony
Chairman T. Toronjadze
15.00 – 15.10 Welcome
15.10 – 15.25 N. Vakhania (Muskhelishvili Institute of Computational
Mathematics, Tbilisi, Georgia)
15.25 – 16.00 A. N. Shiryaev (Steklov Mathematical Institute, Moscow, Russia)
16.00 --16.15 Break
Evening Session
Chairman Yu. Davydov
16.15 – 16.55 J.H.J. Einmahl (Tilburg University, The Netherlands)
Statistics of Extremes and Local Empirical Processes
16.55 – 17.10 Coffee Break
17.10 – 17.50 A.Nagaev (Nicolaus Copernicus University, Torun, Polland)
Asymptotics of Riskless Profit under Selling of Discrete Time
Options
17.50 --17.55 Break
17.55 – 18.35 V. Paulauskas (Vilnius University, Lithuania)
On Two Problems Connected with Probability Theory and
Functional Analysis
20.00 – Welcome party
Morning Session
Chairman W. Stute
10.00 – 10.40 K. Dzhaparidze (Center for Mathematics and Computer Science,
Amsterdam, The Netherlands)
Reproducing Kernel Hilbert Space Methods in the Spectral
Analysis of the Fractional Brownian Motion
(Coauthor: H. Van Zanten, Vrije Universiteit Amsterdam,
The Netherlands)
10.40 --10.45 Break
10.45 – 11.25 J. R. Harner (West Virginia University, Morgantown, USA)
Estimating of the Entropy of Large Molecules
11.25 --11.30 Break
11.30 – 12.10 W. Weil (Universität Karlsruhe, Germany)
Estimation of Sets Based on the Steiner Formula
12.10 – 12.25 Coffee Break
12.25 – 13.05 J. Segers (Tilburg University, The Netherlands)
Functionals of Clusters of Extremes
13.05 --13.10 Break
13.10 – 13.40 Z. Tsigroshvili (Razmadze Mathematical Institute, Tbilisi,
Georgia)
Compound Sums and Counting Processes
Evening Session ( 22.IX)
Chairman V. Paulauskas
17.00 – 17.40 M. A. Delgado (Universidad Carlos III de Madrid, Spain)
Distribution Free Goodness-of-Fit Tests for Linear Processes
17.40 -- 17.45 Break
17.45 – 18.25 R.-D. Reiss (Universität GHS Siegen, Germany)
Approximations and Modeling in Extreme Value Theory
18.25 – 18.40 Coffee Break
18.40 – 19.20 Sh. Kotani (Osaka University, Japan)
Quadratic Functionals of a Certain Class of Gaussian Processes and
Inverse Spectral Problem by Gelfand-Levitan
19.20 --19.25 Break
19.25 – 20.05 Z. Piranashvili and T. Pogany (Institute of Cybernetics, Tbilisi;
University of Rijeka, Croatia)
New Results in the Generalization of Kotel’nikov-Shannon
Formula for Stochastic Signals
Morning Session
Chairman M. Shashiashvili
9.30 – 10.10 W. Stute (University of Giessen, Germany)
Passport Options For Portfolios
10.10 --10.15 Break
10.15 – 10.55 M. Pratelli (University of Pisa, Italy)
Stochastic Integration and Utility Maximization with Infinitely
Many Assets
10.55 --11.00 Break
11.00 – 11.40 Hideo Nagai (Osaka University, Japan)
Impulsive Control of Risky Fraction Processes and Problems with
Transaction Costs
11.40 – 12.00 Coffee Break
12.00 – 12.30 V. Kvaratskhelia and V. Tarieladze (Muskhelishvili Institute of
Computational Mathematics, Tbilisi, Georgia)
Summable Sequences and Gaussian Measures in Banach Spaces
12.30 -- 12.35 Break
12.35 – 13.15 A. Dorogovtsev (Institute of Mathematics of Ukrainian Academy of
Sciences, Kiev, Ukraine)
Stochastic Flows and Measure-Valued Processes
Evening Session (23. IX)
Chairman M. Jeanblanc
16.30 – 17.10 T. Rheinländer (ETH, Zürich, Switzerland)
A Martingale Duality Approach to Utility Indifference Pricing
17.10 -- 17.15 Break
17.15 – 17.45 T. Toronjadze (Razmadze Mathematical Institute, Tbilisi,
Georgia)
Robbins-Monro Type SDE Assimptotic Beheviour of Solutions
and Applications to Stochastic Volatility Models
(Coautor: N. Lazrieva , Razmadze Mathematical Institute,
Tbilisi, Georgia)
17.45 – 17.50 Break
17.50 – 18.20 M. Mania and R. Tevzadze (Razmadze Mathematical Institute;
Institute of Cybernetics, Tbilisi, Georgia)
Backward Stochastic PDE and Hedging in Incomplete
Markets
18.20 – 18.30 Coffee Break
18.30 – 20.00 Special Session:
Mathematical Finance in Practice
Chairman T. Toronjadze
Participants:
J. H. J. Einmahl (School of Economics and Finance, University of Tilburg)
V. Frishling (Commonwealth Bank of Australia, Sydney)
A. N. Shiryaev (Steklov Mathematical Institute, Moscow)
T. Toronjadze (Razmadze Mathematical Institute, Tbilisi)
Excursion, Conference Dinner
Morning Session
Chairman M. A. Delgado
10.00 – 10.40 M. Jeanblanc (University of Evry, France)
Hedging of Credit Derivatives
10.40 --10.45 Break
10.45 – 11.25 E. Orsingher (Universita degli Studi di Roma “La Sapienza”, Italy)
Fractional Telegraph Processes and Fractional Differential
Equations
11.25 -- 11.30 Break
11.30 – 12.10 K. Gasparyan (Yerevan University, Armenia)
Statistical Inference for Some Class of Martingale Models
12.10 – 12.25 Coffee Break
12.25 – 12.55 A. Danelia, B. Dochviri and M. Shashiashvili (Javakhishvili
Tbilisi State University, Georgia)
On Some Energy Estimates for Multidimensional Obstacle
Problem
12.55 --13.00 Break
13.00 – 13.40 K. Khorshidian (Persian Gulf University, Bushehr, Iran)
The Theory of Reward Processes Defined on Semi-Markov
Processes
13.40 --13.45 Break
13.45 –14.25 A. Hajiyev (Baku University, Azerbaijan)
Regression Models with Increasing Number of Unknown
Parameters
Evening Session (25 IX)
Chairman E. Orsingher
17.00 – 17.40 Gvanji Mania Memorial Lecture
E. Khmaladze (Victorian University of Wellington, New Zealand)
The Principle of Distribution Free Testing: 1933, Further
Development and the State of Art
17.40 -- 17.45 Break
17.45 – 18.25 A. N. Shiryaev (Steklov Mathematical Institute, Moscow, Russia)
On Efficient Cases of Integral Representation of Functionals of
Brownian Motion
(Coauthor: M. Yor, l’Université Pierre
et Marie Curie,
Paris, France)
18.25 – 18.40 Coffee Break
18.40 – 19.20 N. Henze (Universität Karlsruhe, Germany)
Testing for Affine Equivalence of Elliptically Symmetric
Distributions
19.20 -- 19.25 Break
19.25 – 20.05 I. Van Keilegom (Institut de statistique, UCL, Leuven, Belgium)
Empirical Likelihood in Some Non-Standard Settings
Morning Session
Chairman V. Frishling
10.00 – 10.40 A. Takemura (The University of Tokyo, Japan)
Validity of the Expected Euler Characteristic Heuristic
10.40 -- 10.45 Break
10.45 – 11.15 N. Lazrieva (Razmadze Mathematical Institute, Tbilisi,
Georgia)
General M-Estimators in the Presence of Nuisance Parameter.
Projection Technique
(Coauthor: T.Toronjadze, Razmadze Mathematical Institute,
Tbilisi, Georgia)
11.15 -- 11.20 Break
11.20 – 12.00 Yu. Davydov (UFR de Mathematiques, Universite de Lille 1, France)
Strictly Stable Distributions on Convex Cones
12.00 – 12.15 Coffee Break
12.15 – 12.55 Sh. Formanov (Institute of Mathematics, Tashkent, Uzbekistan)
The Stein-Tikhomirov Method and Limit Theorems for Sampling
Sums from a Finite Population
12.55 -- 13.00 Break
13.00 – 13.30 O. Glonti, L. Jamburia and Z. Khechinashvili (Javakhishvili Tbilisi
State University, Georgia)
The Minimal Entropy Martingale Measure in Trinomial Scheme
with "Disorder"
Evening Session (26 IX)
Chairman T. Pogany
17.00 – 17.40 R. Cao (Universidade da Coruña, Spain)
Variance Checks in Nonparametric Regression
(Coauthor: Irene Gijbels, Université Catholique de Louvain,
Louvain la Neuve, Belgium)
17.40 --17.45 Break
17.45 – 18.15 G. V. Martynov (Institute of Information Transmission
Problems RAS, Moscow, Russia)
Cramer -von Mises Test for Independency of Exponential Random
Variables
(Coauthor: Paul Deheuvels, l’Université
Pierre
et Marie Curie,
Paris, France)
18.25 – 18.40 Coffee Break
18.40 – 19.10 R. Absava, E. Nadaraya and T. Shervashidze (Sukhumi Branch
of Javakhishvili Tbilisi State University; Javakhishvili
Tbilisi State University; Razmadze Mathematical Institute)
Some Properties of Nonparametric Density Estimators for
Independent and Conditionally Independent Observations
19.10 -- 19.15 Break
19.15 – 19.45 G. Pantsulaia (Georgian Technical University, Tbilisi, Georgia)
On Invariant Borel Measures in Hilbert Spaces
Sums from a Finite Population