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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Program: Workshop on Inverse and Partial Information Problems: Methodology and Applications, October 27 - 31, 2008
Mon, October 27, 2008
09:00-09:30Opening
Morning sessionChair: Banks
09:30-10:20Bernard MairAlgorithms for Penalized Maximum Likelihood Estimation from Blurred Photonic Data
10:20-10:50Break
10:50-11:40Jong-Shi PangInverse optimization and applications in finance
11:40-14:00Lunch Break
Afternoon sessionChair: Munk
14:00-14:50Guillaume BalPhysics-based modeling of measurement correlations
14:50-15:20Break
15:20-16:10Ivan MizeraRegularization prescriptions and convex duality: density estimation and Renyi entropies
18:00-22:00Conference Dinner
Tue, October 28, 2008
Morning sessionChair: Mathe
09:00-09:50Samuli SiltanenDiscretization invariant Bayesian inversion and Besov space priors
09:50-10:40Axel MunkThe estimation of different scales in microstructure noise models from a nonparametric regression perspective
10:40-11:10Break
11:10-12:00Sergei PereverzyevAdaptive Learning via the Balancing Principle
12:00-14:00Lunch Break
Afternoon sessionChair: Siltanen
14:00-14:30Tapio HelinStatistical image segmentation with Bayesian approach
14:30-15:00Break
15:00-15:30Lassi RoininenTwo Dimensional Anisotropic Correlation Priors
15:30-16:00Hanna Katriina PikkarainenConvergence results for the Bayesian inversion theory
Wed, October 29, 2008
Morning sessionChair: Pironneau
09:00-09:50Bernd HofmannNature of ill-posedness and regularization approaches for some inverse problems in option pricing
09:50-10:40Rama ContInverse problems in option pricing: stochastic control formulation and duality methods
10:40-11:10Break
11:10-12:00Jorge ZubelliOn the Inverse Problem for the Risk Premium of Options in a Stochastic-Volatility Financial Model: Malliavin and PDE Techniques
12:00-14:00Lunch Break
Afternoon sessionChair: Bal
14:00-14:30Karyn SuttonInverse Problems in Epidemiology
14:30-15:00Break
15:00-15:30Nicolai BissantzMulti-Scale Selection of the Stopping Criterion for MLEM Reconstructions in PET
15:30-16:00Frank BauerUsing Stochastic Information for pMRI
Thu, October 30, 2008
Morning sessionChair: Hohage
09:00-09:50Olivier PironneauSome calibration techniques for the calibration of option pricing models
09:50-10:40Peter MatheOn Non-stability of some Inverse Problem in Option Pricing
10:40-11:10Break
11:10-12:00Manfred DeistlerGeneralized Linear Dynamic Factor Models
12:00-14:00Lunch Break
Afternoon sessionChair: Borcea
14:00-14:30Mihaela PricopNonlinear Tikhonov regularization with random noise for identifying a spacewise dependent heat source
14:30-15:00Break
15:00-15:30Stefan KindermannCrystal Growth and Inverse Problems in Random environments
Fri, October 31, 2008
Morning sessionChair: Mair
09:00-09:50Thorsten HohageNonlinear statistical inverse problems and instrumental variables
09:50-10:40H. Thomas BanksComparison of Probabilistic and Stochastic Formulations in Modeling Growth Uncertainty and Variability
10:40-11:10Break
11:10-12:00Liliana BorceaImaging and velocity estimation in randomly layered media

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