Russian Academy of Sciences and Moscow State University
 
 INTERNATIONAL CONFERENCE

KOLMOGOROV AND CONTEMPORARY MATHEMATICS

(Moscow State University, June 16-21, 2003)

SCIENTIFIC PROGRAM

The Conference is supported by:
IMU, EMS, UNESCO-ROSTE, NSF, CMI, MICROSOFT, BOEING
and
RFBR, RAS, MSU, 000 "LEVIOFAN-TECHNOLOG", MEZHTOPENERGOBANK
JUNE 17, TUESDAY
JUNE 18, WEDNESDAY
JUNE 19, THURSDAY
JUNE 20, FRIDAY
JUNE 21, SATURDAY

Section 3

THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS

   JUNE 17, TUESDAY

45-minute Talks (Auditorium 16-24)
 
14:00-
14:45		 E.B. Dynkin Superdiffusions and positive solutions of nonlinear partial differential equations
14:50-
15:35
 V. Paulauskas On some problems between probability theory and functional analysis
15:35-
15:50
 Break
15:50-
16:35
 F. Götze Asymptotic distribution of nonlinear statistics


20-minute Talks

Limit Theorems (Auditorium 16-16)
17:00-
17:20		 V.V. Ulyanov On accuracy of approximations for multivariate scale mixtures in statistical applications
17:20-
17:40
 A.V. Bulinski Statistical variant of the CLT for vector-valued random fields
17:40-
18:00
 V.Yu. Korolev On the rate of convergence to the uniform distribution
18:00-
18:10
 Break
18:10-
18:30
 V.I. Piterbarg Extremes of Gaussian fields and applications
18:30-
18:50
 I.S. Borisov Poissonian upper bounds for moments of sums of independent random variables


Stochastic Processes (Auditorium 15-02)

17:00-
17:20		 A.A. Novikov,
K.A. Borovkov,
E.O. Shinjikashvili		 First passage times for Ornstein-Uhlenbeck type processes
17:20-
17:40		 M. Jerschow Causal representations of stochastic
processes
17:40-
18:00		 A.A. Dorogovtsev Stochastic flows and measure-valued processes
18:00-
18:10
 Break
18:10-
18:30
 A.M. Kulik Continuity of the coupling Wasserstein metrics and existence of continuous in probability stochastic flows for Markov processes


Mathematical Statistics (Auditorium 15-03)

17:00-
17:20
 		Yu.K. Belyaev,
V.P. Nosko
 Discrete classifiers and subsequent estimators
17:20-
17:40
 J.-M. Bardet
 Properties and identification of the multiscale fractional Brownian motion
17:40-
18:00
 M.V. Boldin
 On sequential processes and tests of Kolmogorov type for autoregressive heteroscedastic models 
18:00-
18:10
 Break
18:10-
18:30
 Yu.N. Tjurin,
T.A. Faliks
 Tests for orderings of Bernoulli trials
18:30-
18:50		 A.A. Makarov,
G.I. Simonova,
N.L. Kovba
 Using the Kolmogorov-Smirnov statistics in the problems of security of computer networks


Applications (Auditorium 15-04)

17:00-
17:20 		A.M. Chebotarev
 On nonlinear evolution equations for occupancies under general constraints
17:20-
17:40 		O. V. Gulinsky
 Asymptotics of Varadhan-type and quantum large deviations
17:40-
18:00 		V. Scherbakov,
A. Manita
 Stochastic particle system with non-local mean-field interaction
18:00-
18:10		 Break
18:10-
18:30		 B.A. Zalesky
 Extended Ising classifier


JUNE 18, WEDNESDAY

45-minute Talks (Auditorium 16-24)

14:00-
14:45		 A.V. Skorokhod
 Measure-valued diffusions
14:50-
15:35
 L. Accardi
 Quantum theory and non Kolmogorovian probabilities
15:35-
15:50
 Break
15:50-
16:35
 L. Chen
 Variations on a theme of Poisson


20-minute Talks

Limit Theorems and Mathematical Statistics (Auditorium 16-16)

17:00- 
17:20  		A. Aleskeviciene,
V. Statulevicius
 Probabilities of large deviations for Markov chains in the approximation by the Poisson law
17:20-
17:40
 S.V. Nagaev
 On large deviations of self-normalized sum
17:40-
18:00		 S. V. Zhulenev
 Large deviations: how to perceive them?
18:00-
18:10
 Break
18:10-
18:30
 A.Yu. Zaitsev Estimates of the rate of approximation in the CLT for L1-norm of density estimators
18:30-
18:50
 T. Shervashidze On the convergence of densities of the system of sample mixed moments
18:50-
19:10
 Q.-M. Shao
 A universal self-normalized moderate deviation


Stochastic Processes (Auditorium 15-02)

17:00-
17:20		 R. Khasminskii On averaging principle for two-scaled diffusion processes and conditional central limit theorem. Analytic approach
17:20-
17:40
 M. Zähle
 Dirichlet forms and Markov processes on fractals
17:40-
18:00
 Yu.S. Mishura
 Some properties of stochastic differential equations involving fractional Brownian motion
18:00-
18:10
 Break
18:10-
18:30
 E. Orsingher Fractional telegraph equations and compositions of random processes
18:30-
18:50
 H. Fujita- Yashima
 Stochastic equation of population dynamics
18:50-
19:10
 G.P. Yanev,
N.M. Yanev
 On Kolmogorov approximation in branching processes


General Questions (Auditorium 15-03)

17:00-
17:20 		G. Shafer,
V. Vovk
 The sources of Kolmogorov's Grundbegriffe
17:20-
17:40		 A.Yu. Khrennikov Quantum interference of probabilities in Kolmogorov probabilistic framework
17:40-
18:00
 I. Sonin
 On developments generated by a problem of A.N. Kolmogorov in the theory of Markov chains
18:00-
18:10
 Break
18:10-
18:30
 D.H. Mushtari
 The comparison principle for sums of bounded random variables
18:30-
18:50
 A.M. Zubkov
 Computing the distrubution of sums of random variables using Markov chains
18:50-
19:10
 A.O. Vorobiev,
O.Yu. Vorobiev
 On the new notion of the average set of random events


Applications (Auditorium 15-04)

17:00-
17:20		 W.G. Faris Renormalization group action on polymers
17:20-
17:40
 		B.L. Granovsky,
A.I. Zeifman		 On the minimal eigenvalue of the birth-death processes and the respective mean-field models
17:40-
18:00
 		Yu.P. Virchenko,
O.L. Spilinskaya 		Random point fields with Markovian refinements and the stochastic geometry of
fractally disordered media
18:00-
18:10
 Break
18:10-
18:30
 		L.G. Afanasieva Limit distribution for queue with doubly stochastic periodic Poisson arrival process
18:30-
18:50
 		E.V. Bulinskaya Limit theorems for a class of stochastic processes and optimization problems
18:50-
19:10
 		S.F. Yashkov
 		On sojourn time problem in processor sharing queue


JUNE 19, THURSDAY

45-minute Talks (Auditorium 16-24)

9:30-
10:15		 H. Bühlmann
 Multidimensional actuarial valuation
10:20-
11:05
 E. Eberlein
 Application of Lévy models in finance
11:05-
11:20
 Break
11:20-
12:05
 P. Embrechts
 Ruin, operational risk and time change


JUNE 20, FRIDAY

45-minute Talks (Auditorium 16-24)

14:00-
14:45
 S.L. Lauritzen
 Graphical models for genetic analyses
14:50- 
15:35  		B. Oksendal,
A. Sulem
 Stochastic control of anticipating jump diffusions with partial observation
15:35-
15:50
 Break
15:50-
16:35
 V.A. Vatutin
 Branching processes in random environment


20-minute Talks

Limit Theorems (Auditorium 16-16)

17:00- 
17:20  		J. Kawczak,
S. Molchanov
 Spectrum of the covariance operator for a nilpotent Markov chain
17:20-
17:40
P. Mladenović
 On domains of attraction of extreme value distributions
17:40-
18:00		 G. Christoph Scaling by discrete self-decomposable random variables
18:00-
18:10
 Break
18:10-
18:30
 P. Doukhan
 Weak dependence and its applications
18:30-
18:50
 J. Dedecker,
C. Prieur
 Coupling for tau-dependent random variables and applications
18:50-
19:10
 T. Konstantopoulos,
A.I. Sakhanenko		 On convergence to fractional Brownian motion for weighted random sums


Stochastic Processes (Auditorium 15-02)
17:00-
17:20 		A.D. Wentzell

 		Asymptotic expansions in limit theorems for stochastic processes
17:20-
17:40
 		Ya.I. Belopolskaya
 		Probabilistic approach to systems of parabolic equations
17:40-
18:00
 		H.-J. Engelbert On uniqueness of solutions to stochastic equations: a counter-example
18:00-
18:10
 Break
18:10-
18:30
 		H.R. Lerche
 		Boundary crossing probabilities related to the law of the iterated logarithm
18:30-
18:50
 		G. Peskir
 		A change-of-variable formula with local time on curves
18:50-
19:10
 		P.V. Gapeev
 		Kolmogorov's quickest detection problem for diffusion processes

 
Mathematical Statistics (Auditorium 15-03)

17:00-
17:20 		A.L. Rukhin
 		Balanced randomization designs and classical probability distributions
17:20-
17:40 		A. Fukshansky Stochastic model for the selection-mutation equilibrium in finite populations
17:40-
18:00
 		G.M. Feldman
 		To a characterization of the Gaussian distribution on Abelian groups
18:00-
18:10
 Break
18:10-
18:30
 		M.B. Malyutov,
D.V. Khmelev
 		A statistical anomaly in the first bi-lines of Shakespeare sonnets
18:30-
18:50
 		N. Lazrieva,
T. Toronjadze
 		The skew projection technique of a parameter estimation in the presence of nuisance parameters
18:50-
19:10
 		M.M. Lutsenko,
S.G. Maloshevski 		Estimates of the parameter of the binomial distribution


Applications (Auditorium 15-04)

17:00-
17:20		 A.A. Yushkevich A multiple optimal stopping problem for Markov chains
17:20-
17:40
 E.A. Feinberg
 Control of finite continuous-time Markov chains with average rewards and constraints
17:40-
18:00
 V.I. Arkin,
A.D. Slastnikov		 Variational approach for the optimal stopping problem for diffusion processes
18:00-
18:10
 Break
18:10-
18:30
 C. Bardos,
R. Douady,
A. Fursikov
 Static hedging of barrier options with a smile: an inverse problem
18:30-
18:50
 H. Yang
 On joint distribution of surplus immediately before and after ruin
18:50-
19:10
 A.S. Cherny,
V.P. Maslov		 On minimization and maximization of entropy in various disciplines


JUNE 21, SATURDAY

45-minute Talks (Auditorium 16-24)

14:00-
14:45
 V.P. Maslov
 Phase transitions in probability games
 

20-minute Talks

Limit Theorems (Auditorium 16-16)

15:10-
15:30
Sh.K. Formanov
 On nearness of the geometric convolution of distributions in the series scheme
15:30-
15:50
 Yu.S. Khokhlov
 The Chover-type of law of iterated logarithm for weighted sums
15:50-
16:10 		A.N. Frolov
 Universal strong limit theorems for increments of random fields
16:10-
16:20
 Break
16:20-
16:40  		N.G. Gamkrelidze
 On a multidimensional local limit theorem for lattice distribution
16:40-
17:00
 Ya.M. Husanboev,
G.M. Rakhimov
 On the gamma distribution of the stochastic difference equation
17:00-
17:10
 Break
17:10-
17:30
 S.Yu. Novak
 On self-normalized sums and Student's statistic
17:30-
17:50
 P.S. Ruzankin
 The solution of the Monge-Kantorovich problem for a certain class of functionals and application to Poissonian approximation


Stochastic Processes (Auditorium 15-02)

15:10- 
15:30		 O.G. Smolyanov
 Surface Wiener measures on trajectories in Riemannian manifolds and applications
15:30-
15:50		 O.V. Seleznjev
 Wavelet and spline approximation and simulation of Gaussian processes
15:50-
16:10
 E.B. Yarovaya
 About limit theorems for branching symmetric random walk on Zd
16:10-
16:20
 Break
16:20-
16:40
 B.P. Harlamov Stochastic integral along the trace of a diffusion process
16:40-
17:00
 A.S. Cherny,
M.A. Urusov
 On the absolute continuity and singularity of probability measures on a filtered probability space
17:00-
17:10
 Break
17:10-
17:30
 O.V. Viskov
 Inertial Brownian motion and ordered potentials
17:30-
17:50
 A.V. Lebedev
 Generalized maximal branching processes with heavy tails


Mathematical Statistics (Auditorium 15-03)

15:10-
15:30 		E. Nadaraya,
R. Absava
 		Limit distribution of the mean square deviation of the Gasser-Müller nonparametric estimate of the regression function
15:30- 15:50 V.E. Bening,
V.Yu. Korolev
 		The Student distribution as an asymptotic approximation in statistics
15:50-
16:10 		D. McNeil,
N. Kordzakhia,
N. Chirtkiatsakul
 		Stochastic volatility via Gaussian autoregression
16:10-
16:20 		Break
16:20-
16:40 		V. Zaiats
 		Estimation of the response function under random sampling
16:40-
17:00 		M. Ermakov
 		On large and moderate deviations probabilities of empirical bootstrap measure 
17:00-
17:10
 Break
17:10-
17:30
 		N.K. Bakirov
 		 Mean-square trend
17:30-
17:50  		I.N. Volodin,
S. V. Simushkin
 		The Bayes concept of p-value: d-posterior approach to the problem


Applications (Auditorium 15-04)

15:10-
15:30		 G. di Nunno On monotone extension of linear operators with application to finance
15:30-
15:50
 		M. Mania,
R. Tevzadze
 		Semimartingale backward PDE and imperfect hedging
15:50-
16:10
 		V.N. Tutubalin
 		Comparison of some Kolmogorov's concepts with approaches of modern financial mathematics
16:10-
16:20
 Break
16:20-
16:40
 		A.N. Chuprunov,
O.V. Rusakov
 		Invariance principle with replacements defined by events of the occupation theory and its applications in financial mathematics