|
|
|
57th Session of the International Statistical Institute
European Meeting of Statisticians
The First IMS Asia Pacific Rim Meeting
Probability at Warwick Young Researchers Workshop
European Young Statisticians Meeting 2009
Workshop on Infinitely Divisible Processes
Statistical Inference for Lévy Processes with Applications to Finance
The “33rd Conference on Stochastic Processes and their Applications (SPA
2009)” took place in Berlin, from the 27th to the 31st of July 2009. The
meeting, which was co-sponsored by the IMS, brought together a group of about
630 researchers from about 50 countries in the field of stochastic processes.
More than 300 plenary, special session and contributed talks and 40 posters have
been presented. The meeting was therefore despite the financial crisis, easily
among the biggest SPA meetings ever.
The conference has been organized by the probability groups at HU Berlin, TU
Berlin and U Potsdam under the auspices of the Bernoulli Society.
The Program Committee consisted of:
David Aldous (Berkeley), Martin Barlow (Vancouver), Gérard Ben Arous (New York),
Mu-Fa Chen (Beijing), Hans Föllmer (Berlin), Nina Gantert (Münster), Luis
Gorostiza (México), Dmitry Kramkov (Pittsburgh), Russ Lyons (Bloomington), Anna
de Masi (L'Aquila), Sylvie Méléard (Paris), Claudia Neuhauser (St. Paul),
Hirofumi Osada (Kyushu), Youssef Ouknine (Marrakech), Josef Teichmann (Vienna),
Ed Waymire (Corvallis), Wendelin Werner (Paris), Ofer Zeitouni (Minneapolis)
and the members of the Organizing Committee were
Dirk Becherer, Jochen Blath (chair), Anton Bovier, Jean-Dominique Deuschel,
Jürgen Gärtner, Peter Imkeller (co-chair), Uwe Küchler, Sylvie Roelly, Michael
Scheutzow.
The main venues was the Mathematical Institute of TU Berlin, conveniently
located in the center of Berlin, which could accommodate up to 14 parallel
sessions, and whose main lecture hall, with its 807 seats, provided a generous
frame for the plenary lectures and main events. The plenary lectures were given
by
Jinho Baik (Ann Arbor, MI), Sourav Chatterjee (Berkeley), Freddy Delbaen
(Zurich), Amir Dembo (Stanford, Lévy Lecture), Saïd Hamadène (Le Mans), Claudia
Klüppelberg (Munich, IMS Medallion Lecture), James Martin (Oxford), Servet
Martinez (Santiago), Pierre Mathieu (Marseille), Jonathan Mattingly (Durham,
NC), Peter Mörters (Bath), Ed Perkins (Vancouver, Doob Lecture), Gesine Reinert
(Oxford), Laurent Saloff-Coste (Ithaca, NY), Alexander Schied (Munich), Gordon
Slade (Vancouver, IMS Medallion Lecture), Stanislav Smirnov (Geneva), Masayoshi
Takeda (Tohoku), Anton Wakolbinger (Frankfurt a. M.), Feng-Yu Wang (Beijing).
The conference featured a broad range of scientific and special events,
highlighted by the following.
During a reception in the historic TU Lichthof on Monday evening (see picture),
Ruth Williams (San Diego) provided an obituary for the
recently deceased Kai Lai Chung. Staatssekretär Hans-Gerhard Husung welcomed the
participants on behalf of the Senate of Berlin, Sylvie Roelly, Alice
Adenot-Meyer and Térèse Dourdent presented musical intermezzi, and Ed Perkins
(Vancouver) announced the winner of the Loève-prize 2009, namely Alice Guionnet
(Lyon).
On Tuesday evening, the past and present editors of the SPA Journal, Eulalia
Vares (Rio de Janeiro) and Thomas Mikosch (Copenhagen), awarded the 2009 Itô
prize to Marc Wouts (Paris), who delivered an invited lecture on his prize
winning article.
Masatoshi Fukushima
After a reception and a musical intermezzo, Masatoshi
Fukushima and Hans Föllmer commemorated twolegendary founding fathers of
probability, Wolfgang Döblin and Kiyosi Itô (see pages 6 to 8 for more
information), and a recent documentary on Wolfgang Döblin's life and
mathematical legacy had been screened.
The general assembly of the Bernoulli Society took place on Wednesday evening,
where, after the annual report of the Bernoulli Society president Jean Jacod,
several new members joined the BSoc.
Finally, more than 300 attendants participated in the conference dinner at the
historic Alte Pumpe for a barbecue and buffet.
The conference has been closed on Friday by Victor Perez-Abreu (Mexico) and
Marta-Sanz Solé (Barcelona). Finally, the organizers of the 34th SPA in Osaka,
represented by Ishiro Shigekawa, announced their meeting next year in Japan.
Please note that, for the first time, a proceedings volume featuring survey
articles of most of the plenary speakers will be published with the EMS
publishing house and is expected to appear in 2010.
The conference has been supported by the Deutsche Forschungsgemeinsachaft (DFG),
Landesbank Berlin (LBB), Deutsche Bank Quantitatvie Products Laboratory (DBQPL),
Elsevier, Springer, Total, Berlin Mathematical School (BMS), TU Berlin,
Französische Botschaft in Berlin, Fachgruppe Stochastik der DMV.
Sylvie Roelly, Potsdam
Peter Imkeller, Berlin
Jochen Blath, Berlin
With an extensive scientific program as is customary, the 57th
Session of the International Statistical Institute took place in Durban, South
Africa, August 16–22, 2009, under the heading “Statistics: Our Past, Present &
Future.” With the attendance of over 2,500 registered delegates, the venue was
the splendid Durban International Convention Centre, located in the business
district and situated just a few meters from the Indian Ocean. Thirteen Invited
Paper Meetings (IPMs) were organized by the Bernoulli Society.
Ursula Gather acted as general coordinator, representing BS in the ISI
Scientific Program Committee. She is to be commended for keeping all IPM
organizers within deadlines, and for systematically promoting the notion that
IPMs should be aimed at an all-embracing public. Indeed, expository reviews
either at the beginning or throughout, that served as general introductions to
general topics were the norm, as well as were varied topics. A Tribute Session
to David G. Kendall (1918–2007) was one IPM highlight. Elements of his life and
importance for ISI and BS were recapitulated as well as were some of his
theoretical developments on stochastic geometry and the statistical theory of
shape that were motivated by applications in biology and other fields.
Overall, the IPM sessions collectively spanned a quite broad range of topics
and interests, spanning from applications in specific fields to state-of-the-art
advances in stochastic models and statistics. Meetings were characterized by
overall quality and pertinence. The scope is so comprehensive, that to
explicitly mention their titles here is highly illustrative:
Stochastics of Genome; Statistics in Biodiversity; Statistical Modeling and Data
Analysis for Neural Coding; Relative Survival; Complex Data Analysis, Dimension
Reduction and Sparsity; Functional Data Analysis: Theory and Applications;
Inference under Qualitative Restrictions; Semi- and Nonparametric Statistics;
Model Building and Regularization, Stochastic Geometry with Applications;
Concentration Inequalities; The Role of Chance in Evolution and the IPM in
Honour of David G. Kendall. The complete details of these IPMs can be found
online on the BS website, under “Meetings.”
Average attendance for BS IPMs was of the order 18–30. In a setting that had
some 20 parallel sessions in place — a testament to the sheer size of the
congress — these numbers are typical and favorable, but raisable. Because
attendance was relatively small when compared to registered delegates, this
issue arose in the BS General Assembly on Thursday the 20th. Possible
actions to increase audiences were discussed, including appealing choices for
some meeting titles when fitting, as well as alternate ways of publicizing
abstracts to mitigate any preconception that BS may bring regarding mathematical
sophistication.
The inaugural event was a spectacular gala of South African color, music and
dance in a theatrical production setting, followed by a fine banquet. Local
organizers also prepared a choice of exciting optional tours. Many of us enjoyed
the Durban city tour, as well as side trips to impressive surrounding areas such
as Suni Pass (a trip by rough-road across the Drakensberg Mountains), bird and
game safaris, and highlights of the Zulu culture.
ISI Sessions henceforth will become known under the label “ISI World
Congresses”, and the 58th of these will be held in Dublin, August
21–28, 2011, (www.isi2011.ie). IPMs
organized by BS will also be featured, this time coordinated by José M.
Corcuera.
Miguel Nakamura, Guanajuato
The European Meeting of Statisticians is an established central event for statistics and probability in Europe and worldwide. The 27th European Meeting of Statisticians (EMS 2009) took place from July 20th to 24th at the Université Paul Sabatier, France, and was held under the auspices of the Bernoulli Society, the IMS and ISI. The University is close to the beautiful old town of Toulouse, located between the quays of the Garonne and the banks of the Canal du Midi of Toulouse, France. The scientific program consisted of three plenary lectures, eight special invited lectures, 24 invited paper sessions and many contributed paper sessions. A number of themes from the Special Invited Lectures were continued into the Invited Paper Sessions, and also reappeared in some of the Contributed Paper Sessions. These themes included climatology, compressed sensing, computer experiments, neuroscience, nonparametric and semiparametric Bayesian procedures, random walks and statistical learning. These and the many other sessions together covered a broad range of topics in statistics and probability.
The conference got off to an excellent start with the Opening Lecture, delivered
by Emmanuel Candes. Emmanuel discussed compressive sensing from a statistical
perspective, starting from a set of examplesthat nicely illustrated the
phenomenon of sparsity.
The Forum Lectures this year were presented by Aad van der Vaart, who is
currently Chairman of the European Regional Committee of the Bernoulli Society.
Aad’s masterful presentation, delivered over two 1½ hour sessions, gently led
the participants through the latest developments in theoretical properties of
Bayesian procedures in infinite-dimensional parameter spaces, including
consistency and convergence rates. The Closing Lecture was enthusiastically
delivered by Jeff Steif, who treated his audience to a fascinating overview of
percolation theory and of recent developments in that field.
The conference featured a varied social program. On the first evening, delegates
were treated to a talk on, and demonstration of the virtual piano “Pianoteq”,
developed by researchers at INSA Toulouse and the Institute of Mathematics at
Université Paul Sabatier. The Pianoteq is able to deliver piano sounds
constructed in real time. This was followed by an outdoor “dégustation de vins
et fromages”. A Reception at the magnificent “Capitole” in the old town of
Toulouse took place on the Tuesday evening, and many delegates took the
opportunity to sign up to one of a number of mid-conference organized excursions
to places of interest in the region. The social program was rounded off by the
Conference Dinner on the penultimate evening, which took place in one of the
tallest buildings in Toulouse and featured excellent traditional regional
cuisine.
Although we had hoped for a rather higher number, the number of delegates was
around 270, which made for a lively conference and created a friendly
atmosphere. This was a similar number to the recent EMS conferences in Toruñ,
Aarhus and Prague, but considerably less than the 600 delegates in Oslo in 2005.
At the end of the closing session, the chair of the scientific program committee
announced the next EMS conference, due to take place at the
University of Piraeus in Athens, Greece, in 2010.
Finally, we should like to thank our respective committees for all their hard
work over the past two years on the development of the scientific program and
the local organization.
Trevor Sweeting, London
Jean-Claude Fort, Toulouse
The inaugural meeting of the new IMS meeting series, IMS Asia Pacific Rim Meeting (IMS-APRM), took place at Seoul National University (SNU) in Seoul, Korea, during the period June 28 - July 1, 2009. SNU is the nation's top education and research institute located in the southern part of Seoul. The meeting was organized by the Korean Statistical Society (KSS), and co-sponsored by the IMS, the International Chinese Statistical Association, the International Indian Statistical Association and the Japan Statistical Society.
The Local Organizing Committee, consisting of 15 members including 3
secretaries, Sunyoung Shin, Soojin Roh and Jung Hwan Yoon, was chaired by Byeong
U. Park. The Scientific Program Committee was co-chaired by Feifang Hu and Runze
Li. The program covered a wide range of topics in statistics and probability,
presenting recent developments and the state of the art in a variety of modern
research topics and in applications. The program included two plenary lectures
presented by Peter Bickel (statistics) and Masatoshi Fukushima (probability).
There were 17 Distinguished Lecture sessions, whose formats are similar to those
of IMS Medallion Lectures, 44 invited sessions, 16 topic-contributed sessions,
13 contributed sessions and 1 large poster session. The 17 Distinguished
Lecturers were: Tony Cai, Louis Chen, Jianqing Fan, Peter Hall, Xuming He,
Sangyeol Lee, Xihong Lin, Zhengyan Lin, Jun Liu, J. S. Marron, Rahul Mukerjee,
Sastry G. Pantula, John Robinson, Xiaotong Shen, John Jen Tai, Katsuto Tanaka,
Mark van der Laan. The total number of presentations including 35 posters was
386. Classifying the 386 presentations by countries the presenters were
affiliated with, the largest was the US (135) followed by Korea (106). There
were 15 speakers from 8 European countries. The meeting was prepared and held
amid the outbreak of H1N1 (swine) flu and the global economic crisis. Some
people canceled their planned trips to the meeting due to the flu pandemic or a
drastic cutback in funding for international travels. Despite of these hurdles,
more than 700 participants from 23 countries attended the meeting. Fortunately,
no one from abroad was reported quarantined on the way to the meeting.
The meeting opened with the poster session on Sunday afternoon, June 28, and was
followed by a Welcome Reception held in the University Cultural Center. The
second day of the meeting began with opening remarks delivered by Byeong U. Park
(Chair of the Local Organizing Committee), Shin Bok Kim (Vice-President of SNU),
Jongwoo Jeon (President of KSS), Jianqing Fan (IMS Past-President), Sastry
Pantula (President-Elect of the American Statistical Association), Peter Bickel
(Statistics Plenary Speaker) and Runze Li (Co-Chair of the Scientific Program
Committee). The two plenary lectures ran in parallel immediately after the
opening remarks. Peter Bickel spoke on some approaches taking advantages of
sparsity in large p small n problems, and Masatoshi Fukushima gave a review on
stochastic calculus in Markov processes.
From left: Jongwoo Jeon (President of KSS), Byeong U. Park, Jianqing Fan, Peter Bickel, Masatoshi Fukushima and his wife, Jae C. Lee (ISI President-Elect)
A half-day conference excursion was made to some touristic points in Seoul on
Tuesday afternoon, June 30. On that night, there was the Conference Banquet at
Hotel Lotte, one of the premium hotels in Korea. About 300 people attended the
banquet and enjoyed a cultural program featuring some of the most popular Korean
traditional music and dances performed by 17 dancers of ChumDaSom Dance Company.
The meeting concluded successfully on July 1, 2009. The local organizing
committee and the scientific committee would like to acknowledge the generous
finance support from SNU, Seoul Metropolitan Government, Korea Research
Foundation, The Bank of Korea and The Korean Federation of Science and
Technology Societies. The 2nd IMS-APRM will be held in Japan in 2011.
Byeong U. Park, Seoul National University
Feifang Hu, University of Virginia
Runze Li, Pennsylvania State University
Statistics played host to over 30 young researchers from the UK and further
afield at the third “Probability at Warwick Young Researchers' Workshop”. The
workshop was built around lecture courses given by the two highly distinguished
probabilists: David Aldous, who described “One methodology for random graphs and
random networks”, and Tom Kurtz, speaking on “Separation of time scales and
averaging of fast subsystems for stochastic chemical reactions”. There were also
many excellent talks given by the participants.
Further information about the meeting, which was organized by David Croydon and
Jon Warren, and received funding from the Warwick University Institute of
Advanced Study and the London Mathematical Society, can be found here:
www2.warwick.ac.uk/fac/sci/statistics/paw/paw2009
Hopefully there will be a fourth workshop in the series at some point in the near future!
David Croydon, Warwick
The European Young Statisticians Meeting 2009 took
place from August 24-28, in Bucharest, Romania.
The exquisite work done by the International Organizing Committee members in
recommending the participants was highlighted by the 42 young statisticians from
21 European countries, who presented their papers in a clear, rigorous and
utmost professional manner. The participants’ speeches were included in 11
sections on theoretical and applied statistics. The conference webpage is
www.eysm2009.ase.ro.
The Local Organizing Committee strived to combine in the best way the
scientific and the social programs. A trip outside Bucharest for half a day and
a visit to the Parliament Palace (the world's second largest civilian
administrative building) were included in the very “dynamic” social program of
EYSM 2009.
Roxana Ciumara, Bucharest
This international workshop was held in Guanajuato, Mexico, March 16-20,
2009, as part of the celebration of the XXth Anniversary of the Probability and
Statistics Program of the Center for Research in Mathematics (CIMAT) in
Guanajuato. There were 22 invited talks and 45 participants.
The goal of the workshop was to bring together a group of researchers working on
theoretical and applied aspects of infinitely divisible (ID) processes
(Markovian and non-Markovian) from different perspectives. The program included
talks on different aspects of generalized Ornstein-Uhlenbeck processes,
generalizations of Dynkin's isomorphism theorem and the related infinite
divisibility of Gaussian squares, central limit theorems in the Malliavin
calculus framework, normal approximation on the Poisson space, random operators
and ID laws, path and fractal properties of stable random fields, long range
dependence and extremal behavior of stable point processes, statistical analysis
and applications of Levy-based models to finance, risk and telecommunications,
ergodic theory for ID dynamical systems, large deviations for stationary ID
processes, infinite divisibility on cones, Markovian bridges, stochastic heat
equations with Levy Laplacian, among other topics.
The variety of perspectives on ID processes and laws represented at the meeting
stimulated vigorous discussions and opened several new collaborations. New
interesting topics for future research were identified, in particular related to
non-Markovian ID processes, and other new related areas, such as free infinite
divisibility, were discussed.
The workshop was well attended by young researchers and graduate students. The
financial support was provided by CIMAT, Statistics Laboratory of CIMAT, the
Guanajuato State Council for Science and Technology, the Mexican Mathematical
Society and Tequila Sauza.
The full program, name of speakers, talks or abstracts and some pictures can be found at http://www.cimat.mx/Eventos/workshopIDP
Victor Pérez-Abreu, Guanajuato
Jan Rosinski, Knoxville
Gennady Samorodnitsky, Ithaca
A Workshop on Statistical Inference for Lévy Processes with Applications to
Finance has been held on July 15-17, 2009, at EURANDOM, Eindhoven, The
Netherlands, and was attended by some 60 participants.
This workshop may be considered as the 4th in a series of workshops dedicated to
Lévy processes and their applications in Mathematical Finance, where the
previous workshops were (1) Applications of Lévy Processes in Financial
Mathematics (EURANDOM, 2001), (2) Exotic Option Pricing under Advanced Lévy
Models (EURANDOM, 2004), (3) Credit Risk under Lévy Models (Edinburgh, 2006).
Models based on Lévy processes have an appealing feature, their ability to
reproduce important stylized features of financial time series. As any
stochastic model, these models depend on various parameters (finite, or possibly
infinite-dimensional). Estimation of these parameters, or in financial
terminology, calibration of the model to the available data, is of critical
importance to successful applications of these models in practice. This is a new
and challenging area of statistical research. The workshop aimed to contribute
to the development of this area and to emphasize more the statistical challenges
of modeling with Lévy processes than focusing on probabilistic properties (path
properties, fluctuation theory).
Invited lectures have been given by Nick Bingham (Multivariate elliptic
processes), Jose Manuel Corcuera (Completeness and hedging in a Lévy bond
market), Fabienne Comte (Nonparametric estimation for pure jump Lévy processes
with fixed sample step), Valentine Genon-Catalot (Nonparametric estimation for
pure jump Lévy processes based on high frequency data), Ernst Eberlein
(Correlation based calibration in Lévy interest rate models), Markus Reiß
(Nonparametric estimation for Levy processes from low-frequency observations),
Yacine Aït-Sahalia (Analyzing the Spectrum of Asset Returns: Jump and Volatility
Components in High Frequency Data), Alexander Szimayer (Semiparametric
Continuous Time GARCH Models: An Estimation Function Approach), Amel Bentata and
Rama Cont (Mimicking the marginal distributions of a semimartingale), Mark
Podolskij (Inference for discretely observed semimartingales plus noise) and
Antonis Papapantoleon (A new approach to LIBOR modeling)
Twelve contributed lectures on various topics (including implied volatility,
interest rate modelling, discrete observations (with high frequency data),
bipower variation, semi- and non-parametric estimation, tail dependence in
copula models, fractional order) completed the programme.
For more information, please visit the workshop website at
www.eurandom.tue.nl/events/workshops/2009/Levy_processes/
The proceedings of the workshop will appear as a special issue of Statistica
Neerlandica (published by Wiley, see also
www.wiley.com/bw/journal.asp?ref=0039-0402)
scheduled to appear in fall 2010, with articles by most of the invited speakers.
The workshop was organized by Chris Klaassen, Shota Gugushvili and Peter Spreij.
Peter Spreij, Amsterdam