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 Tuesday, October 25, 2011
 

Morning (Hall 1)

Registration

8:00-8:30
Opening

8:30-8:45

Plenary Talk: Goldie
Necessary Regular Variation

8:45-9:45

Break

9:45-10:00

Razmi - Nasirzadeh- Mahmoodi- Khorshidian (Invited)- Mardani fard
1- Typical Decision Problems in the First-Order Autoregressive Time Series
2- Analysis of Time Series Using Singular Spectrum Analysis
3- On the Asymptotic Distribution for the Periodograms of Simple Processes
4- Prediction Theory for Semi-Markov Reliability Models
5- Numerical Methods in Semi-Markov Reward and Reliability systems

10:00-12:30

Lunch

12:30-13:45

Afternoon (Hall 1)

Invited Talk: Caballero
Hypergeometric-Stable processes

13:45-14:45

Break

14:45-15:00

Rezakhah (Invited)- Alizadeh- Azizzadeh- Tahmasebi
1- Sequential Estimation of Scale Parameter of Semi-Self-similar Processes
2- Hidden Markov Mixture Autoregressive Models: Stability and Moments for Order p
3- Sequential Detection of Structural Changes in Strong Mixing Time Series
4- Malliavin Calculus for Stochastic Differential Equations with Semi-Monotone Drift

15:00-17:30

 

 

 

 

 

 

 

 


 

Wednesday, October 26, 2011
 

Morning (Hall 1)

Plenary Talk: Zangeneh
Continuity of the solution with respect to a parameter in stochastic evolution equation with Levy noise

8:45-9:45

Break

9:45-10:00

Parvardeh(Invited)- Farbod- Rezapur- Kamrani – Salamat(Invited)
1- A Note on the Asymptotic Distribution of the Estimation of the Mean Past Life Time
2- Large Sample Properties of Generalized Moment Estimators for Stable Laws Discretizations
3- Stochastic Volatility Models with Extremal Clustering
4- Galerkin Approximation for the Stochastic Burgers Equations
5- Some Probabilistic Models on Population Genetics

10:00-12:30

Lunch

12:30-13:45

Afternoon (Hall 1)

Invited Talk: Goldie (Hall 1)
Structure of Record Observations

13:45-14:45

Break

14:45-15:00

Bastani (Invited) 
Workshop: Numerical Solution for Stochastic Differential Equations

15:00-17:30


 

Thursday, October 27, 2011
 

Morning (Hall 1 and 2)

Plenary Talk: Caballero (Hall 1)
Positive self-similar Markov Processes (pssMp)

8:45-9:45
Break

9:45 - 10:00

Plenary Talk: Soltani
Spectral representation for stationary and non-stationary processes

10:00-11:00

Pezeshk (Invited)- Aghdam- Ejlali (Hall 1)
1- General Concepts of Hidden Markov Models
2- A Clustering Approach for Estimating Parameters of Profile Hidden Markov Models
3- Implementing EM Algorithm for Bidirectional Hidden Markov Model in Linear Memory
 

 Kaffash-Mohammadi-
Hirbod Assa (Invited) (Hall 2)
1- An Application of Stochastic Control Theory to Portfolio Optimization Under Ergodic Markov Diffusion Processes
2- On Different Situations of Stochastic Optimal Control Problem: Application and Simulation
3- Trade-Off between Robust Risk Measurement and Market Principles

11:00-12:30

Lunch

12:30-13:45

Afternoon (Hall 1 and 2)
Ahmadi Javid (Invited) - Seydpishe (Hall 1)
1- Entropic Value-at-Risk and other information –Theoretic Coherent Risk Measures
2- Dependency Structure of Default Processes Based on Bayesian Copula

13:45-14:45
Break

14:45-15:00

Invited Talk: Goldie (Hall 1)
Non-convergent Extremes, Coupon Collecting and Computer-based Tests (15:00-16:00)

 Ahmadi- Tasdighi- Shakeri- Norouzipour- Keshavarz (Hall 2)
1- Pricing American Options under Regime Switching Jump-Diffusion Models
2- Adaptive Weak Approximation of Stochastic Differential Equations Arising from Mathematical Finance
3- Modeling the Portfolio Loss Distribution by Covariates and Frailty Variables
4- Efficient Simulation of Dependency Structure of Default Processes
5- A Stochastic Population Model

15:00-17:30


 

 
 
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