Seminar on Stochastic Processes (SSP) 2002

Date
Mar 20, 2002Mar 23, 2002
Event Description
2002 Seminar on Stochastic Processes Logo

21-23 March 2002

Seminar on Stochastic Processes 2002 will be held at Princeton University, Princeton, New Jersey, during 21-23 March 2002. In addition, Hans Föllmer will give a special talk on mathematics of finance on Wednesday, 20 March 2002 at 3:00 p.m. The local organizer is Erhan Çinlar. He can be reached at ecinlar@princeton.edu.

This annual series of seminars was created in 1981 by K.L. Chung, E. Çinlar, and R.K. Getoor to provide a forum for exchange of ideas on the frontier of probability. The primary aim is to provide an overview of significant and exciting lines of research, to enable participants to discuss their work in an informal atmosphere, and to allow prime time to participants to begin collaborations on research problems.

In keeping with the usual format of these seminars, there will be five invited plenary talks scheduled in the mornings. The invited speakers this year are

Zhen-Qing Chen, University of Washington, Seattle, Jean Jacod, Universite de Paris VI, Paris, Davar Khoshnevisan, University of Utah, Salt Lake City, Vlada Limic, Cornell University, Ithaca, Boris Tsirelson, Tel Aviv University, Tel Aviv.

The afternoons of Thursday and Friday and one hour of the morning of Saturday are kept open for informal sessions. These are sessions organized by the participants in order to discuss their work in an informal atmosphere. No advance schedules are prepared, and the participants are not to use transparencies or give prepared talks.

Details on the program, format, travel, lodging, and local recreation will be forthcoming soon at this site.

Schedule

Special

Wednesday, March 20

16:00 – 16:30: Coffee - Friend Center 101
16:30 – 17:30: Hans Föllmer

Seminar on Stochastic Processes

All morning sessions will be held at Friend Center 101.

Thursday, March 21

8:30 – 9:30: Breakfast and Registration
9:30 – 10:30: Jean Jacod
10:30 – 11:15: Coffee
11:15 – 12:15: Vlada Limic
14:00 – 16:00: Informal Sessions
16:00 – 16:30: Coffee
16:30 – 18:00: Informal Sessions
18:30 – 20:30: Reception, Friend 113

Friday, March 22

9:30 – 10:30: Davar Khoshnevisan
10:30 – 11:15: Coffee
11:15 – 12:15: Zhen-Qing Chen
14:00 - 16:00: Informal Sessions
16:00 – 16:30: Coffee
16:30 – 18:00: Informal Sessions

Saturday, March 23

9:30 – 10:30: Boris Tsirelson
10:30 – 11:00: Coffee
11:00 – 12:00: Informal Sessions

Scientific Committee

  • K. Burdzy (University of Washington)
  • E. Çinlar (Princeton University)
  • Steven N. Evans (University of California at Berkeley)
  • I. Hueter (Univ. of Florida)
  • G. Lawler (Duke University)
  • T. Salisbury (York University)
  • Ruth Williams (University of California at San Diego)

Titles and Abstracts

PROBABILISTIC ASPECTS OF FINANCIAL RISK
HANS FOLLMER
Humboldt-Universitat zu Berlin

Wednesday, 20 March 2002, at 16:30, Friend Center 101

We discuss some probabilistic problems which arise as we move beyond the Black-Scholes paradigm of a perfect hedge. If such a perfect hedge exists, we do not need a discussion of preferences in the face of risk and uncertainty. In an incomplete model, such preferences have to be made explicit. In particular, this will involve quantitative measures of risk. We discuss representation theorems for measures of risk beyond Value at Risk such as the coherent risk measures introduced by Artzner, Delbaen, Eber and Heath. This is related to the Savage-Huber-Gilboa-Schmeidler representation of robust preferences on a space of financial positions. We also discuss the structure of hedging strategies which are efficient in terms of cost and shortfall risk.

RATES FOR EULER SCHEMES FOR EQUATIONS DRIVEN BY LEVY PROCESSES
JEAN JACOD
Universite de Paris VI

Thursday, 21 March 2002, at 9:30, Friend Center 101

RIGOROUS RESULTS FOR THE NK MODEL
VLADA LIMIC
Cornell University

Thursday, 21 March 2002, at 11:15, Friend Center 101

In 1987, Stuart Kauffman and Simon Levin introduced the NK model motivated by the problem of the evolution of DNA sequences. To each sequence of 0-1 bits of length N, they assigned a fitness as a sum of (random) quantities that depend only on bits observed in a sliding window of length K. The random map obtained in this way is called the fitness landscape.

ADDITIVE LEVY PROCESSES
DAVAR KHOSHNEVISAN
University of Utah

Friday, 22 March 2002, at 9:30, Friend Center 101

CENSORED STABLE PROCESSES
ZHEN-QING CHEN
University of Washington

Friday, 22 March 2002, at 11:15, Friend Center 101

A censored alpha-stable process Y in an open set D is a process that is obtained from a symmetric alpha-stable Levy process by prohibiting that it makes jumps outside D. We will address the question of whether the process Y will approach the boundary of D in a finite time, as well as the potential theory for transient censored stable processes, including Harnack and boundary Harnack principles, sharp estimates for Green functions and Martin kernels, identification of Martin boundary. We will also discuss processes obtained from Y by jump intensity perturbations.

FILTRATIONS IN THE LIGHT OF CLASSIFICATION THEORY
BORIS TSIRELSON
Tel-Aviv University

Saturday, 23 March 2002, at 9:30, Friend Center 101

Brownian motions of different dimensions generate non-isomorphic filtrations. Corresponding invariants are well understood. They inspire hope of an exhaustive classification of all filtrations. However, the hope is undermined by unexpected new invariants: splitting multiplicity, coziness.

Classification theory, dealing with orbit equivalence relations on Polish G-spaces, tells us that some objects are classifiable and some are not. Known examples belong to various branches of mathematics.

The classification theory can be applied to filtrations (filtered probability spaces). I report first results in this direction. A topological zero-one law states that for every property of filtrations, either the property holds for almost all filtrations, or its negation does.

Format

The Seminar on Stochastic Processes 2002 will be the forthcoming meeting of this series of annual working seminars begun in 1981.

There will be 5 invited one-hour talks in the mornings. These lectures are chosen so as to highlight recent significant advances in probability theory and stochastic processes. The afternoons will feature informal sessions of short contributed blackboard talks (12 minutes + questions) by participants as well as spontaneous open problem/ discussion sessions that are organized by the organizers and the participants who wish to organize them. The primary aim of these afternoon activities is to afford participants the opportunity to discuss their work in an informal atmosphere and to allow prime time to participants to begin collaborations on research problems. There is no need to do anything in advance.

Funding

We are grateful to the National Science Foundation for funding this Seminar partially. In addition, Princeton University's Department of Operations Research and Financial Engineering will fund the special talks, some of the scientific program, and all of the social activities.

All requests for support will be considered. Special consideration will be given to requests from recent PhD.s without external support, faculty from smaller universities, graduate students, and women and other members of traditionally underrepresented groups. All applications for funding made before February 9 will be answered on that day. After that, we will answer them case by case, according to the availability of funds, if any.

To apply, please send an email to the organizer at ecinlar@princeton.edu with the following information:

  • Your name, email address, current university affiliation and status
  • If you are a graduate student or a recent PhD, your (expected) year of PhD, the institution it is from, the name of your thesis advisor, his or her email address, the title or expected title of your dissertation.
  • If your PhD-birth has been sometime ago, your area of research and a list of a few publications.
  • In all cases, a dollar amount that you could live with (no guarantees even for that)

Hotels

A block of rooms has been reserved at the Nassau Inn. You must reserve before February 15, 2002 in order to receive the contracted rate listed below.

Nassau Inn
In downtown Princeton, practically on campus. We have blocked 50 rooms for each of the nights of March 20, 21 & 22; $134/night (single or double occupancy). Princeton Airporter stops here from J.F.K. and Newark Airports. You must reserve before February 15 and mention "Princeton University, Operations Research & Financial Engineering" when making your reservation in order to get the contracted rate. Otherwise, the rate is $189/single / $209/double.

Nassau Inn
Palmer Square, Princeton, NJ 08540
Tel: 609-921-7500 or 800-862-7728

Other Hotels in the Area

Radisson Hotel
This is on Route 1, about 10 minutes drive from Campus. Rate: March 20-21:  $135.00/night/ March 22: $89/night. Princeton Airporter stops here from J.F.K. and Newark Airports.
Radisson Hotel
4355 Rt. 1 at Ridge Road
Princeton, NJ 08540
Tel: 609-452-2400 or 800-333-3333

Hyatt Regency 2 miles east (5 minute drive)
102 Carnegie Center
Princeton, NJ 08540
Tel: 609-987-1234 or 800-233-1234
Rate:  $220 (single or double occupancy) - Shuttle to Princeton upon availability
Princeton Airporter stops here from J.F.K. and Newark Airports.

Novotel 5 miles north (10 minute drive)
100 Independence Way
Princeton, NJ 08540
Tel: 609-520-1200 or 800-521-6835 
Rate:  $109 (single or double occupancy)
Princeton Airporter stops here from J.F.K. and Newark Airports.

Princeton Marriott 4 miles north (10 minute drive) 201 Village Blvd., Forrestal Village
0ff U.S. Highway No. 1
Princeton, NJ 08540
Telephone: 609-452-7900 or 800-228-9290
Rate:  $194/night
Princeton Airporter stops here from J.F.K. and Newark Airports. 

Red Roof Inn 6 miles south (15 minute drive)
3203 Brunswick Pike
U.S. Highway No. 1
Lawrenceville, NJ 08648
Telephone: 609-896-3388 or 800-843-7663
Rate: $49.99/night / No Airporter service

McIntosh Inn 6 miles south (15 minute drive)
U.S. Highway No. 1
Lawrenceville, NJ 08648
Telephone: 609-896-3700 or 800-444-2775
Rate:  $82.95 (single) / $87.95 (double) / No Airporter service

Amerisuites
3565 US Highway No. 1
Princeton, NJ 08540
Telephone: 609-720-0166 or 800-833-1516
Rate: $169 (single or double occupancy)
Princeton Airporter drops off only; does not pick up.

Palmer Inn Best Western
3499 Rt. 1 South (2 miles from Princeton)
Princeton, NJ 08540
Telephone: 609-452-2500 or 800-528-1234
Rate: (Mon-Thurs - $149) / (Friday - $99) / No Airporter Service

To reserve the Princeton Airporter please call 800-385-4000.

Instructions on what to do when you arrive at Newark or JFK if you want to take the Airporter.

If you have made reservations, Go to Ground Transportation phone and push 22 to confirm. If you have not made reservations, go to Ground Transportation desk and you will be booked on next available bus. You can also reserve on the website (make sure to do this 48 hours in advance) www.goairporter.com.

The last one leaving Newark Airport for Princeton is 9:15 pm / rate:  $23
The last one leaving JFK for Princeton is 7:00 pm / rate:  $38

Travel

By car

From North. Take the New Jersey Turnpike South, get off at Exit 9, New Brunswick. Immediately after the toll booths, turn right onto Route 18 North, move quickly to the second lane from the left, and look for the exit sign for Route 1 South to Trenton and Princeton. Exit, to take Route 1 South, go about 20 minutes, pass the Forrestal Village and exit right to Washington Road. This brings you to campus.
From South. Take I-95 North. After you enter New Jersey, look for the exit to Princeton Pike North. Princeton Pike becomes Mercer Street when you enter Princeton and ends at Nassau Street.

By Plane

The best is to fly into Newark Airport. Philadelphia and New York's JF Kennedy are also possible; Philadelphia is about an hour away, and JF Kennedy two hours away.

There is limousine service (really a van) from Newark and Kennedy Airports to Princeton. To reserve the Princeton Airporter please call 800-385-4000.

Instructions on what to do when you arrive at Newark or JFK if you want to take the Airporter.

If you have made reservations, Go to Ground Transportation phone and push 22 to confirm. If you have not made reservations, Go to Ground Transportation desk and you will be booked on next available bus. You can also reserve on the website (make sure to do this 48 hours in advance) www.goairporter.com.

The last one leaving Newark Airport for Princeton is 9:15 pm / rate:  $23
The last one leaving JFK for Princeton is 7:00 pm / rate:  $38

 

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Also, cheaper and probably better, from Newark Airport, there is monorail connection directly to the New Jersey Transit station. There, you can take NJ Transit train (every half hour, more frequent during rush hours, less frequent in the evening) to Princeton Junction, and then transfer to the Dinky to get to Princeton. The Dinky station is on campus, only a ten minute walk from Nassau Inn. But, if you have much luggage and think that you will need a cab, you are better off taking a taxi at Princeton Junction.

From Philadelphia Airport, you take a train to the main Pennsylvania Station in Philadelphia, there transfer to a SEPTA train North to Trenton, and then transfer to NJ Transit for a short hop to Princeton Junction.

Parking

The seminar falls in the spring recess for the University. Parking should be no problem. It is free, but there are rules.

You can park on Olden Street or William Street right next to the Friend Center, where all our meetings will be held. It costs 25 cents per hour up to 10 hours, from 8:00 am to 7:00 pm.

Or you can park in the Parking Garage behind the Engineering Quadrangle. To get there, starting at Nassau Street, go East, pass Washington Street, and turn right at the next light onto Olden Street. Go one block, Olden ends there; turn left onto Prospect Avenue, and turn left into the first driveway you see. The parking structure is on your left. Parking there is free but you need a permit for each day: here is what you do. Come to the Registration Desk at the Friend Center; you will be given a temporary parking permit for as many days as you want. Do this before you park, while on Olden Street. Or else, park first, leave a piece of paper on your dashboard saying Visiting Professor Cinlar in ORFE, and then walk to the Friend Center, get permit, and go back to your car.

Registration

There is no conference registration fee for the Seminar on Stochastic Processes 2002.

However, there will be an on-site registration sign-up.

The organizers would appreciate receiving an email message, by March 15, if you intend to come to the seminar.

If you did not receive the first email announcement but like to receive future ones, send a message to ecinlar@princeton.edu.

E-mail Access

Participants at the conference SSP will have access to a guest account that allows for use of e-mail, internet, and remote login via ssh' ortelnet'. To do the latter, you will need to know a machine to connect to at home.

Computer clusters for general use available in rooms 017 and 018 Friend Center.