Oberwolfach Seminar: Statistics for Stochastic Differential Equations

October 16th - October 22nd, 2011
Susanne Ditlevsen, Copenhagen
Jean Jacod, Paris
Markus Reiß, Berlin
Michael Sørensen, Copenhagen
Modeling with stochastic differential equations (SDEs) becomes more and more popular, not only because of the powerful mathematical tools from stochastic analysis, but also because of the increasing availability of measurements and data for dynamical processes, where randomness plays a major role. Therefore also the development of statistical procedures based on SDE models has seen a large rise during the last decade.

We shall introduce Ph.D. students and young postdocs to this fascinating field opening different perspectives. One part will consist of lectures oriented towards biological applications by Susanne Ditlevsen and Michael Sørensen introducing the estimating function methodology, thereby unifying most parametric estimators presented in the literature. Lectures by Jean Jacod and Markus Reiß will study statistical inference for wide (nonparametric) classes of SDEs and semimartingales oriented towards financial applications with topics including low-frequency versus high-frequency observations, stochastic volatility models and microstructure noise. Problem sessions will form a central part of the seminar where students use and develop the theory for concrete examples.

Stochastic processes and stochastic analysis (at least up to Ito's formula), basic statistical notions (estimation, testing, MLE, moment estimator). Preferably, advanced knowledge in one of those fields (like advanced stochastic analysis, asymptotic statistics, nonparametrics).
Suggested reading
Deadline for applications
August 15th, 2011

The seminars take place at the Mathematisches Forschungsinstitut Oberwolfach. The number of participants is restricted to 25. The Institute covers accommodation and food. We are pleased that the Carl Friedrich von Siemens Foundation has decided to support the Oberwolfach Seminars from summer 2008 to summer 2013. By this support, travel expenses can be reimbursed up to 200 Euro in average per person. Participants can ask for travel support during their stay in Oberwolfach at the guest office against copy of travel receipts. Applications including

should be sent preferably by e-mail (.ps or .pdf file) to:

    Prof. Dr. Dr. h.c. Gert-Martin Greuel
    Universität Kaiserslautern
    Fachbereich Mathematik
    Erwin Schrödingerstr.
    67663 Kaiserslautern, Germany

Mathematisches Forschungsinstitut Oberwolfach   updated: January 4th, 2011