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Statistics and Decisions, Contents (fwd)
by Andreas Schamanek 10 Nov '04

10 Nov '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Wed, 10 Nov 2004 11:25:52 +0100 From: Helmut Strasser <Helmut.Strasser(a)wu-wien.ac.at> Subject: Statistics and Decisions, Contents Sehr geehrte Fachkollegen ! Wie Sie sicher seit geraumer Zeit wissen, ist die von Prof. Plachky gegründete und jahrelang herausgegebene Zeitschrift "Statistics and Decisions" seit 2003 mit einem neuen Editorial Board ausgestattet. Details zum Editorial Board, zur Herausgeberpolitik und zum veränderten Layout finden Sie auf der Homepage der Zeitschrift: http://www.oldenbourg.de/verlag/statistics-international/ Ich möchte Sie auf diesem Weg dazu ermuntern, bei der Veröffentlichung Ihrer Arbeiten und von Arbeiten Ihrer Mitarbeiter die Zeitschrift "Statistics and Decisions" in betracht zu ziehen. Zu Ihrer Information sende ich Ihnen nachstehend die Inhalte der Hefte seit dem Herausgeberwechsel. Sie sehen daraus, dass die veröffentlichten Arbeiten hinsichtlich des inhaltlichen Spektrums im Bereich der Mathematischen Stochastik weit gestreut sind. Zahlreiche prominente Kollegen haben uns bereits ihr Vertrauen geschenkt und Arbeiten in "Statistics and Decisions" veröffentlicht. Ich hoffe, dass diese Information Ihr Interesse findet. Mit besten Grüssen, Helmut Strasser. ********************************************************************** Helmut Strasser o.Univ.Prof., Dr.phil. ---------------------------- Member of the Austrian Academy of Sciences Editor of Statistics and Decisions --------------------------- Department of Statistics and Mathematics Vienna University of Economics and Business Administration A-1090 Vienna, Augasse 2-6 --------------------------- Phone: +43+1+31336 5051 (5050) Fax: +43+1+31336 734 Email: Helmut.Strasser(a)wu-wien.ac.at WWW: http://matrix.wu-wien.ac.at/homepage/helmutstrasser *********************************************************************** Eine Reihe von Editoren der Zeitschrift haben durch Publikation einer persönlichen Arbeit zum gelungenen Neustart beigetragen: L. Rüschendorf, W. Schachermayer, A. van der Vaart (forthcoming), L. Devroye, A. N. Shiryayev, A. Janssen, F. Liese, M. Nussbaum, W. Wefelmeyer. Weitere Autoren und Titel finden Sie nachstehend: Volume 22, Issue 2: P. Dencker, F. Liese: Local maximin properties of tests in Gaussian shift experiments. J. Fehrenbach, L. Rüschendorf: Markov chain algorithms for Eulerian orientations and 3-colourings of 2-dimensional Cartesian grids. D. Ferger: A two-dimensional Cramer-von Mises test for the two-sample problem with dispersion alternatives. P. Guasoni, W. Schachermayer: Necessary conditions for the existence of utility maximizing strategies under transaction costs. Volume 22, Issue 1: E. Belitser: On asymptotic expansion of pseudovalues in nonparametric median regression. A.S. Dalalyan, Y.A. Kutoyants: On second order minimax estimation of invariant density for ergodic diffusion. L. Heinrich, F. Pukelsheim, U. Schwingenschlögl: Sainte-Lague's chi-square divergence for the rounding of probabilities and its convergence to a stable law. H. Peng, A. Schick: Estimation of linear functionals of bivariate distributions with parametric marginals. A.N. Shiryaev: A remark on the quickest detection problems. Volme 21, Issue 4: A. Janssen: Which power of goodness of fit tests can really be expected: intermediate versus contiguous alternatives. Y. Sheena and A.K. Gupta: Estimation of the multivariate normal covariance matrix under some restrictions. A. Steland: Jump-preserving monitoring of dependent time series using pilot estimators. S.T. Garren: Improved estimation of medians subject to order restrictions in unimodal symmetric families. Volume 21, Issue 3: M. Jähnisch, M. Nussbaum: Asymptotic equivalence for a model of independent non identically distributed observations. A.A. Gushchin, E. Valkeila: Approximations and limit theorems for likelihood ratio processes in the binary case. R. Kühne, L. Rüschendorf: Optimal stopping and cluster point processes. L. Wang: Limit theorems in change-point problems with multivariate long-range dependent observations. Volume 21, Issue 2: T. Sottinen, E. Valkeila: On arbitrage and replication in the fractional Black-Scholes pricing model. J. Forrester, W. Hooper, H. Peng, A. Schick: On the construction of efficient estimators in semiparametric models. A. Korostelev: The Bahadur risk in probability density estimation. J. Rahnenführer: On preferences of general two-sided tests with applications to Kolmogorov-Smirnov-type tests. K. Pötzelberger: Estimating the dimension of factors of diffusion processes. M. Revyakov: Ranking of populations in parameter's modulus. Volume 21, Issue 1: Ioannis Karatzas: A note on Bayesian detection of change-points with an expected miss criterion. Luc Devroye, Dominik Schaefer, Laszlo Györfi, Harro Walk: The estimation problem of minimum mean squared error. Hans M. Dietz, Yury A. Kutoyants: Parameter estimation for some non-recurrent solutions of SDE. Jeannette H.C. Woerner: Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models. Yuzo Maruyama: A robust generalized Bayes estimator improving on the James-Stein estimator for spherically symmetric distributions. Wolfgang Schmid, Yarema Okhrin: Tail behaviour of a general family of control charts.

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[Ricam-all] RICAM-Kolloquium (fwd)
by Andreas Schamanek 05 Nov '04

05 Nov '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Fri, 5 Nov 2004 11:19:03 +0100 From: Annette Weihs <annette.weihs(a)oeaw.ac.at> To: RICAM-All <ricam-all(a)ricam.oeaw.ac.at> Subject: [Ricam-all] RICAM-Kolloquium Prof. Albrecht Irle Mathematisches Seminar, Christian-Albrechts-Universität zu Kiel Dienstag, 9. November, 15:30 Uhr, HS 5 Optimal Stopping Problems in Mathematical Finance Abstract: Optimal stopping theory has again become an active area of research, one of the reasons being their importance for pricing American options. In this talk two new methods for finding optimal stopping rules are described. The first method is discrete in nature and may be used to construct algorithms of simulation type. The second method pertains to diffusion processes and uses suitable martingales. Applications to mathematical finance are described. Annette Weihs Johann Radon Institute for Computational and Applied Mathematics (RICAM) Austrian Academy of Sciences Altenbergerstraße 69 A-4040 Linz, Austria E-mail: Annette.Weihs(a)oeaw.ac.at Tel: +43 (0)732 2468-5211 Fax: +43 (0)732 2468-5212 http://www.ricam.oeaw.ac.at [attachment removed and saved to below URL by admin] URL : http://www.fam.tuwien.ac.at/listsdata/20041105T1422.pdf Type: PDF document, version 1.2 Size: 207335

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ANNOUNCEMENT: conference/workshop (fwd)
by Andreas Schamanek 31 Oct '04

31 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Wed, 27 Oct 2004 11:17:18 +0100 From: Andrew Cairns <A.Cairns(a)ma.hw.ac.uk> To: Andrewc(a)ma.hw.ac.uk Subject: ANNOUNCEMENT: conference/workshop Dear Colleagues, I have appended below a short announcment of a workshop on quantitative finance and insurance that will be held in Edinburgh in 2005. Please forward this announcement to any colleagues that you think might be interested. For further details please see the draft workshop website at http://www.ma.hw.ac.uk/~andrewc/workshop/ To give me an idea of numbers, persons hoping to attend and/or give a talk should e-mail me at A.Cairns(a)ma.hw.ac.uk Yours sincerely, Andrew Cairns Heriot-Watt University, Edinburgh Workshop on the Interface between Quantitative Finance and Insurance Dates: 4-8 April, 2005 A satellite workshop of the Quantitative Finance programme of the Isaac Newton Institute, January - June 2005. Organised jointly by: Heriot-Watt University, Edinburgh The International Centre for Mathematical Sciences, Edinburgh The Isaac Newton Institute, Cambridge Organising Committee: Andrew Cairns (Heriot-Watt University) Claudia Klueppelberg (Technical University of Munich), Susan Pitts, Chris Rogers (University of Cambridge) General Summary This workshop aims to discuss leading-edge research on the interface between insurance, pensions and quantitative finance. It is intended that the meeting will concentrate on two closely linked themes. First, all insurance companies and pension plans are subject to a degree of financial and economic risk as well as their traditional insurance risks. Considerable research in the international actuarial community is ongoing which attempts to model and manage these risks. Much of this research is building upon existing knowledge in financial mathematics. Equally, though, the specific problems being encountered are throwing back new challenges for financial mathematicians. This introduces us to the second theme. Namely the issue of securitisation of insurance risks. This presents many new challenges which require a combination of financial mathematics, mathematical economics and good contract design. Workshop Themes A: Stochastic asset models for life insurance and pensions B: Fair value, solvency testing and capital adequacy C: Long-term risks: pricing and risk assessment D: Dependence modelling, extreme-value theory, Levy processes and their application in insurance problems E: Optimal stochastic control and optimal hedging problems in insurance F: Issues relating to specific contracts and securitisation of insurance risks

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fam-news
by Sandra Trenovatz 27 Oct '04

27 Oct '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. Th, 28.10.2004 Philippe Clement (TU Delft) R-Boundedness and Operator-valued Multipliers In this lecture we shall introduce the notion of R-bounded family of operators in a Banach space. Recently many new results in the theory of operator-valued multipliers (of Marcinkiewicz, Mihlin or Schur type) have been obtained by using this new notion of boundedness. Connections with the problem of Lp-maximal regularity for abstract differential equations in Banach spaces will also be considered. http://www.fam.tuwien.ac.at/events/

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Postdoc Fellow In Probability, U. of British Columbia (fwd)
by Andreas Schamanek 18 Oct '04

18 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Sun, 17 Oct 2004 20:38:21 -0700 From: Edwin Perkins <perkins(a)math.ubc.ca> To: wschach(a)fam.tuwien.ac.at (...) POSTDOCTORAL FELLOWSHIPS IN PROBABILITY UNIVERSITY OF BRITISH COLUMBIA, CANADA Applications are invited for one or more postdoctoral fellowships in probability theory in the Mathematics Department, University of British Columbia, Vancouver, Canada. Positions are for two years (subject to review after one year) starting no later than September 1, 2005. Salary is $47,500 Canadian per annum. Postdoctoral fellows teach one 13-week course each year. Applicants should have, or expect to receive, a PhD in mathematics, and should show excellent potential in research and teaching. The Department has a very active probability group, with permanent faculty in a wide variety of areas. For details see http://www.math.ubc.ca/Research/probab.html. There is a Period of Concentration in Probability and Statistical Mechanics, sponsored by the Pacific Institute for the Mathematical Sciences, for the period 2004-2006. This incorporates an extensive array of research activities; see http://www.pims.math.ca/CRG/probability/overview.html. The city of Vancouver is cosmopolitan and culturally rich, and is set in an outstanding natural area. Applicants should send a curriculum vitae and list of publications, and arrange for three letters of reference to be sent to Professor Gordon Slade at slade(a)math.ubc.ca. The deadline for applications is December 1, 2004. Applications received after this date may also be considered.

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Oekonometrisches Seminar (fwd)
by Andreas Schamanek 11 Oct '04

11 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Mon, 11 Oct 2004 14:29:16 +0200 From: Nicole Gruber <oek(a)eos.tuwien.ac.at> Subject: Ökonometrisches Seminar Sehr geehrte InteressentInnen, am Montag, 18. Oktober 2004 (13:15 bis 14:45 Uhr) hält Herr Dr. Thomas Ribarits einen Vortrag mit dem Titel: "Neue Parametrisierungen für lineare Zeitreihenmodelle: der stationäre und der kointegrierte Fall" Ort: Seminarraum 105A (Argentinierstraße 8, 1. Stock). Abstract: Im Vortrag betrachten wir die Maximum Likelihood Schätzung von linearen dynamischen Systemen in Zustandsraumdarstellung. Zur Schätzung muß vorab die Modellklasse geeignet parametrisiert werden. Wir stellen neue Parametrisierungen vor: 'separable least squares data driven local coordinates' (slsDDLC). SlsDDLC basiert einerseits auf der Grundidee von DDLC, einer Parametrisierung, die in (McKelvey et al., 2004) eingeführt wurde. Andererseits fußt slsDDLC auf der Anwendung der 'separable least squares Methodologie', d.h. slsDDLC wird zur Optimierung einer geeignet konzentrierten Likelihoodfunktion verwendet. Dies bedeutet natürlich auch eine verminderte Zahl von zu schätzenden Parametern im nichtlinearen Likelihood-Optimierungsproblem. Die Anwendung der Parametrisierungen auf die Maximum Likelihood Schätzung von stationären Zeitreihenmodellen wird illustriert. Simulationsstudien zeigen, daß die Verwendung von slsDDLC deutliche numerische Vorteile im Vergleich zu traditionellen Parametrisierungen, aber auch zu DDLC, aufweist. Schließlich wird die Anwendung auf die Schätzung kointegrierter Zeitreihenmodelle besprochen. Die in (Johansen, 1995) behandelte VAR (vektor-autoregressive) Modellierung von kointegrierten Prozessen wird verallgemeinert und slsDDLC wird für die Schätzung des neu eingeführten Zustandsraum-Fehlerkorrekturmodells verwendet. Schlagworte: Multivariate Zeitreihenanalyse, Zustandsraummodelle, Parametrisierungen, stationäre Prozesse, Kointegration. Mit freundlichen Grüßen Manfred Deistler Nicole Gruber Institute for Mathematical Methods in Economics Research Unit: Econometrics and System Theory Argentinierstrasse 8 1040 Vienna Tel: +43 1 58801 11911 Fax: +43 1 58801 11999 e-mail: nicole.gruber(a)tuwien.ac.at

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2005 Summer School in Probability June 6-30, U. British Columbia (fwd)
by Andreas Schamanek 11 Oct '04

11 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Fri, 8 Oct 2004 13:40:19 -0700 From: Edwin Perkins <perkins(a)math.ubc.ca> To: wschach(a)fam.tuwien.ac.at Subject: 2005 Summer School in Probability June 6-30, U. British Columbia As part of our PIMS Collaborative Research Group in Probability and Statistical Physics we will again be running two advanced graduate courses at UBC in the summer of 2005. The lectures in 2005 will take place from June 6 to June 30 and be given by Yuval Peres, U Cal. Berkeley, and Gordon Slade, UBC. The course descriptions are below. We plan these to be official courses at UBC and so graduate students at universities in W. Canada can receive credit for them through the Western Deans Agreement. There will be total of 30 hours of lectures in each course. Support for these courses comes from the Pacific Institute for the Mathematical Sciences and the Department of Mathematics at UBC. Those interested in attending these courses (graduate students, pdf's , faculty members) are encouraged to sign up asap at our website http://www.pims.math.ca/science/2005/ssprob/ as there will be limited space in the lecture rooms. There will be some financial support available for a limited number of graduate students and postdoctoral fellows who would like to attend. This will basically cover the cost of a dorm room for the duration of the course. Applications for support should consist of a brief letter of application, a cv of the prospective student/pdf and a letter from the applicant's supervisor all of which may be emailed to ssprob(a)pims.math.ca. Plain text is preferred. The deadline for applications for financial support is Dec. 31. It would help us greatly with planning if you could let us know of your interest before Oct. 31 at the above address. If you have queries about the courses please check our website at http://www.pims.math.ca/science/2005/ssprob/ or send questions to Gordon Slade at slade(a)math.ubc.ca. Sincerely, David Brydges and Ed Perkins. For summer 2005 the courses will be given by Yuval Peres and Gordon Slade, and will run from 6 June 2005 - 30 June 2005 ----------------------------------------------------------------- Yuval Peres (Math 610D) Title: Mixing for Markov Chains and Spin Systems Instructor: Yuval Peres, UC Berkeley Given an aperiodic irreducible Markov chain on a finite state space, the rate at which it approaches its stationary distribution is intensively studied by mathematical physicists, computer scientists and probabilists. The key insight is that as we consider running the chain for longer times, we should also be considering chains on larger spaces. Two celebrated families of chains that still pose mysteries are random walks on the symmetric group (card shuffles) and "Glauber dynamics" of spin systems; canonical examples for the latter are the Ising model and graph colorings. Planned topics: * Markov chains and electrical networks: a brief primer. * Probabilistic methods: coupling and strong uniform times. * Mixing via spectral gap and isoperimetric inequalities. * Expanders via random constructions and zigzag products. * The Ising model and the random cluster model. * The Ising model on trees, and its interpretations in mathematical genetics and noisy computation. * Glauber dynamics for spin systems. * Correlation inequalities and their implications for mixing. * Cover times and lamplighter groups. * Exact sampling via coupling from the past. Three areas, teeming with unsolved problems, that we will explore: * Connections between mixing in time and space for spin systems * Comparison of updates at random locations and systematic scans * The cutoff phenomenon for distance to stationarity Gordon Slade (Math 609D) ``The lace expansion and its applications" Abstract: Several superficially simple mathematical models, such as the self-avoiding walk and percolation, are paradigms for the study of critical phenomena in statistical mechanics. It remains a major challenge for mathematical physics and probability theory to obtain a mathematically rigorous understanding of the scaling theory of these models at criticality. The lace expansion has become a powerful tool for the analysis of the critical scaling of a number of models above their upper critical dimensions, including the self-avoiding walk, lattice trees, lattice animals, oriented and non-oriented percolation, and the contact process. Results include proof of existence of critical exponents, with mean-field values, and construction of the scaling limit. For lattice trees and critical percolation, the scaling limit is described in terms of super-Brownian motion. The lectures will provide an introduction to the lace expansion and several of its applications. No previous exposure to the lace expansion will be assumed, and necessary background will be provided. Lecture notes for the course are available at http://www.math.ubc.ca/~slade/sf_v1.ps.gz

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W2-professor position at LMU Munich (fwd)
by Andreas Schamanek 06 Oct '04

06 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Wed, 06 Oct 2004 13:37:41 +0200 From: Damir Filipovic <filipo(a)math.ethz.ch> To: Damir.Filipovic(a)mathematik.uni-muenchen.de Subject: W2-professor position at LMU Munich Dear Colleague, please find attached the announcement (in German) of an open W2-professor position available in the Mathematics Institute at the Ludwig-Maximilians University Munich. I would be very grateful if you could pass this advert on to anyone you think may be interested in this position. Yours sincerely, Damir Filipovic Mathematics Institute Ludwig-Maximilians University Munich Germany Email: Damir.Filipovic(a)mathematik.uni-muenchen.de (FYI: I am with LMU Munich since October 2004. Formerly with ETH Zurich and Swiss Federal Office of Private Insurance) [attachment removed and saved to below URI by admin] URI : http://www.fam.tuwien.ac.at/local/listarchs/data/20041006T1416.pdf Type: PDF document, version 1.4 Size: 25872

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Pauli Colloquium, WK seminar (fwd)
by Andreas Schamanek 06 Oct '04

06 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Wed, 6 Oct 2004 09:59:28 +0200 (METDST) From: Christian Schmeiser <schmeise(a)deana.math.tuwien.ac.at> Subject: Pauli Colloquium, WK seminar ============================================ WISSENSCHAFTSKOLLEG "DIFFERENTIAL EQUATIONS" ============================================ http://deana.math.tuwien.ac.at/ Dear colleagus: There are two talks in this week's Pauli colloquium and WK seminar: Location: WPI seminar room, Nordbergstrasse 15, 7th floor Date: Oct. 7, 2004 15:00 Martin Wechselberger Calcium signals in excitable (Ohio State Univ.) and non-excitable cells 16:00 Luis Caffarelli On Obstacle Problems for (University of Texas Fractional Powers of the Laplacian at Austin) Best regards, Christian Schmeiser

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Wissenswertes, Programm fuers Wintersemester 20 04/05 (fwd)
by Andreas Schamanek 01 Oct '04

01 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Fri, 1 Oct 2004 15:10:51 +0200 (CEST) From: Reinhard Winkler <reinhard.winkler(a)tuwien.ac.at> To: Abonnenten für Wissenswertes: ; Subject: Wissenswertes, Programm fürs Wintersemester 2004/05 Wissenswertes aus der Mathematik Vorträge im Wintersemester 2004/05 2004-10-18 Hellmuth Stachel (TU Wien): Starr oder beweglich -- die entscheidende Rolle der Geometrie 2004-11-08 Wolfgang Wertz (TU Wien): Fraktale und Zufall 2004-11-22 Arnold Beckmann (TU Wien): Aussagenlogik - eine Trivialität? 2004-11-29 Gabriel Maresch (TU Wien): Mittelbare Gruppen 2004-12-13 Peter Raith (Uni Wien): Topologische Entropie für stückweise monotone Abbildungen 2005-01-10 Gustav Feichtinger (TU Wien): Dynamik und Kontrolle epidemischer Prozesse 2005-01-24 Christa Binder (TU Wien): Platonische und archimedische Körper -- Entwicklung der Definition Die Vorträge finden jeweils am Montag um 16.00 s.t.(!) im Seminarraum 104 der TU (1040 Wien, Wiedner Hauptstr. 8-10 "Freihaus", grüner Bereich, 5.Stock) statt. Als Rahmen für eine Sitzung sind etwa 90 Minuten geplant. Einzelne Vorträge können aber auch kürzer sein; insbesondere dann, wenn eine längere Diskussion zu erwarten ist. Wie auch in den letzten Semestern bitten wir darum, das Programm an Interessierte, die noch nicht auf unserer Liste stehen, weiterzuleiten. Wir werden demnächst einen Ausdruck des Programms an unsere "Kontaktpersonen" an den einzelnen Instituten schicken und bitten darum, diesen allen Institutsmitgliedern zugänglich zu machen. (Eine Postscriptdatei mit dem Programm ist auch auf der Homepage der "Wissenswerten" Reihe zu finden.) Martin Goldstern und Reinhard Winkler http://www.tuwien.ac.at/goldstern/wissen/

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