AMS Sectional Meeting Program by Special Session

Current as of Tuesday, April 12, 2005 15:10:30

Associate secretaries:
Susan J Friedlander, AMS susan@math.northwestern.edu

Friday April 4, 2003, 2:00 p.m.-5:20 p.m.
Special Session on Stochastic Analysis with Applications, I
Oak Room, Indiana Memorial Union
Organizers:
Jin Ma, Purdue University majin@math.purdue.edu
Frederi Viens, Purdue University viens@stat.purdue.edu
- 2:00 p.m.
  Liquidity risk and arbitrage pricing theory.
  Philip Protter*, Cornell University
  Umut Cetin, Cornell University
  Robert Jarrow, Cornell University
  (985-60-161)
- 3:00 p.m.
  Optimal portfolio for an Insider.
  Yaozhong Hu*, University of Kansas
  (985-60-125)
- 3:30 p.m.
  Hedging Claims with Feedback Jumps in the Price Process.
  Kiseop Lee*, University of Louisville
  (985-60-69)
- 4:00 p.m.
  Principal-Agent Problems in Continuous Time.
  Jaksa Cvitanic*, USC, Los Angeles
  (985-90-142)
- 5:00 p.m.
  Optimal momentum hedging via hypoelliptic reduced Monge-Amp\`ere PDEs and a new paradigm for pricing options.
  Srdjan Stojanovic*, University of Cincinnati
  (985-60-43)

Saturday April 5, 2003, 8:30 a.m.-11:20 a.m.
Special Session on Stochastic Analysis with Applications, II
Oak Room, Indiana Memorial Union
Organizers:
Jin Ma, Purdue University majin@math.purdue.edu
Frederi Viens, Purdue University viens@stat.purdue.edu
- 8:30 a.m.
  On Bounded Solutions of Some Semilinear Stochastic Wave Equations.
  Pao-Liu Chow*, Wayne State University
  (985-60-148)
- 9:30 a.m.
  Moments for a stochastic wave equation.
  Carl E Mueller*, University of Rochester
  Robert Dalang, Ecole Polytechnique Federale Lausanne
  (985-60-30)
- 10:00 a.m.
  Some Stochastic Partial Differential Equations with Multiplicative Fractional Gaussian Noise.
  Bozenna J. Pasik-Duncan*, University of Kansas
  Bohdan Maslowski, Czech Academy of Sciences
  Tyrone E. Duncan, University of Kansas
  (985-60-309)
- 10:30 a.m.
  Large deviations for stochastic Navier-Stokes equations.
  Padmanabhan Sundar*, Louisiana State University
  (985-60-220)
- 11:00 a.m.
  Additive Summable Processes and the Stochastic Integral.
  Oana Mocioalca*, Purdue University
  (985-60-253)

Saturday April 5, 2003, 3:00 p.m.-4:50 p.m.
Special Session on Stochastic Analysis with Applications, III
Oak Room, Indiana Memorial Union
Organizers:
Jin Ma, Purdue University majin@math.purdue.edu
Frederi Viens, Purdue University viens@stat.purdue.edu
- 3:00 p.m.
  Particle representations for measure-valued branching processes.
  Thomas G. Kurtz*, University of Wisconsin-Madison
  Eliane R. Rodrigues, National Autonomous University of Mexico
  (985-60-164)
- 4:00 p.m.
  Particle approximations of Lyapunov exponents connected to Schr\"odinger operators and Feynman-Kac semigroups.
  Pierre Del Moral*, LSP Universite Paul Sabatier Toulouse, France
  (985-60-332)
- 4:30 p.m.
  On spin glasses systems and stochastic calculus.
  Samy Tindel*, University of Paris 13
  (985-60-331)

Sunday April 6, 2003, 9:00 a.m.-11:20 a.m.
Special Session on Stochastic Analysis with Applications, IV
Oak Room, Indiana Memorial Union
Organizers:
Jin Ma, Purdue University majin@math.purdue.edu
Frederi Viens, Purdue University viens@stat.purdue.edu
- 9:00 a.m.
  Some Processes Associated with a Fractional Brownian Motion.
  Tyrone E. Duncan*, University of Kansas
  (985-60-99)
- 10:00 a.m.
  How to solve a Dirichlet problem via RBSDEs.
  Ziyu Zheng*, Assistant Prof./University of Wisconsin-Milwaukee
  (985-60-22)
- 10:30 a.m.
  Representation of Solutions to Backward SDEs Associated with a Degenerate Forward SDE.
  Jianfeng Zhang*, University of Minnesota
  (985-60-132)
- 11:00 a.m.
  On conformal images of reflecting Brownian motions in smooth domains and applications.
  Mihai N Pascu*, Department of Mathematics, Purdue University
  (985-60-259)

Sunday April 6, 2003, 12:30 p.m.-3:20 p.m.
Special Session on Stochastic Analysis with Applications, V
Oak Room, Indiana Memorial Union
Organizers:
Jin Ma, Purdue University majin@math.purdue.edu
Frederi Viens, Purdue University viens@stat.purdue.edu
- 12:30 p.m.
  A measure-theoretic approach to stochastic integration.
  Ron Blei*, University of Connecticut
  (985-60-325)
- 1:00 p.m.
  Stationary busy period distributions in queues and exit problems for Levy processes.
  Parijat Dube, IBM Research
  Fabrice M Guillemin, France Telecom R & D
  Ravi R Mazumdar*, Purdue University
  (985-60-336)
- 1:30 p.m.
  Weak survival of anisotropic contact processes on trees.
  Thomas M Sellke*, Purdue University
  Steven P. Lalley, Univ.of Chicago
  (985-60-319)
- 2:00 p.m.
  Options and Discontinuity: An asymptotic decomposition of hedging errors.
  Seongjoo Song*, Purdue University
  (985-60-111)
- 2:30 p.m.
  Extreme events in financial markets.
  Maria Cristina Mariani*, Department of Statistics - Purdue University
  (985-60-247)
- 3:00 p.m.
  Discussion

Inquiries: meet@ams.org