DMV Tagung 2006

Organisatoren:

Prof. Dr. René L. Schilling
FB 12 - Mathematik
Hans-Meerwein Straße
Universität Marburg
35043 Marburg, Germany

Prof. Dr. Rüdiger Kiesel
Universität Ulm
Fakultät für Mathematik
und Wirtschaftswissenschaften
Abteilung Finanzmathematik
Helmholtzstr. 18
89069 Ulm, Germany

Dr. Moritz Kassmann
Institut für Angewandte Mathematik
Universität Bonn
Beringstraße 6
53115 Bonn, Germany

Weitere nützliche Informationen rund um die Tagung können der verkürzten Ausgabe des Programmheftes entnommen werden.

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Programm (Stand: 07.09.2006):

Montag	HS XIV, Hauptgebäude, Regina-Pacis-Weg
15:00-15:50	Jan Kallsen (München) Mean-variance hedging for jump processes
16:00-16:50	Bernt Oksendal (Oslo) Malliavin calculus for Lévy processes and application to optimal portfolio with partial information
17:00-17:20	Thorsten Schmidt (Leipzig) Portfolio credit risk with default clustering
17:30-17:50	Matthias Scherer (Ulm) Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm
Dienstag	Kleiner Hörsaal, Mathematisches Institut, Wegelerstr. 10
15:00-15:50	Krszystof Bogdan (Wroclaw) 3G, 3P, 3U
16:00-16:50	Zhen-Qing Chen (Seattle) Heat Kernel Estimates for Jump Processes of Mixed Types on Metric Measure Spaces
17:00-17:20	Hans-Peter Scheffler (Siegen) On generalized coupled continuous time random walks
17:30-17:50	Helmut Abels (Max Planck Institute for Mathematics in the Sciences) On the Martingale Problem for a class of Pseudo-Differential Operators with Hölder Continuous Coefficients
Mittwoch	Kleiner Hörsaal, Mathematisches Institut, Wegelerstr. 10
15:00-15:50	Werner Linde (Jena) Optimal Series Representation of Certain Gaussian Processes
16:00-16:50	Niels Jacob (Swansea) Some strange operators in the theory of multi-parameter processes
17:00-17:20	Alexander Lindner (München) On continuity properties of the law of integrals of Lévy processes
17:30-17:50	Ilya Pavlyukevich (HU Berlin) Dynamical systems perturbed by heavy-tailed Lévy noise