CONFERENCE PROGRAM

















DAILY SCHEDULE
 

PLENARY LECTURES
MINISYMPOSIA
ABSTRACTS
 
 

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PLENARY LECTURES
 


Stochastic models in turbulence

 Alexandre J. Chorin 

University of California, Berkeley, USA
Monte Carlo simulations in finance and Malliavin calculus  Pierre-Louis Lions 
CNRS and University Paris Dauphine, France

Monte-Carlo approximations for Boltzmann equations without cutoff
 Sylvie Méléard  University Paris X, France

Super-resolution in time-reversed signals
 George Papanicolaou Stanford University, USA

Backward stochastic differential equations and applications to PDEs 
 Etienne Pardoux  University of Provence, France

Monte Carlo methods in neutron and photon transport equations
 Remi Sentis  CEA, France

 

MINISYMPOSIA  (an Overview)


KINETIC MODELLING AND NUMERICAL METHODS    B.  PERTHAME, B. DUBROCA

NUMERICAL METHODS FOR BOLTZMANN EQUATION   B.  PERTHAME, B. DUBROCA

STOCHASTIC MODELS AND MONTE CARLO ALGORITHMS FOR PARTICLES TRANSPORT  K. SABELFELD

STOCHASTIC PARTICLE SYSTEMS AND COAGULATION EQUATIONS   W. WAGNER

INTERACTING PARTICLE SYSTEMS

BSDEs AND  PDEs   Y. OUKNINE

DIFFUSION LIMITS AND HOMOGENIZATION IN RANDOM FIELDS AND INTERACTING PARTICLE SYSTEMS  S. OLLA

WAVES IN RANDOM MEDIA   J. GARNIER

FILTERING   E. PARDOUX

MCMC ALGORITHMS IN SIGNAL AND IMAGE PROCESSING   J. ZERUBIA

MCMC METHODS FOR HIDDEN MARKOV MODELS    C.P.  ROBERT

MONTE CARLO METHODS FOR TURBULENCE SIMULATIONS    P.  KRAMER

MALLIAVIN CALCULUS AND APPLICATIONS   A. KOHATSU-HIGA, F. ANTONELLI

STOCHASTIC DIFFERENTIAL EQUATIONS AND APPLICATIONS A. KOHATSU-HIGA, F. ANTONELLI

REFLECTED PROCESSES AND PDEs

STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS    A. DEBUSSCHE

RANDOM NUMBER GENERATORS AND SIMULATION OF DEGENERATE SDEs AND ASSOCIATED LYAPUNOV EXPONENTS V. WIHSTUTZ

PERTURBATION THEORY FOR MARKOV CHAINS   A. STUART

QUANTUM  STOCHASTIC  ANALYSIS  R. REBOLLEDO

FINANCIAL MATHEMATICS I  B. LAPEYRE

FINANCIAL MATHEMATICS II   M. JEANBLANC

FINANCIAL MATHEMATICS III  W. RUNGGALDIER

FINANCIAL MATHEMATICS IV
 

A selection of papers will be published in a special issue of the journal  Monte Carlo  Methods and Applications.
 


KINETIC MODELLING AND NUMERICAL METHODS

Organizers:  Benoit Perthame (ENS Paris, France) and Bruno Dubroca (CEA-CESTA, France)

Speakers


NUMERICAL METHODS FOR BOLTZMANN EQUATION

Organizers: Benoit Perthame (ENS Paris, France) and Bruno Dubroca (CEA, France)

Speakers



STOCHASTIC MODELS AND MONTE CARLO ALGORITHMS FOR PARTICLES TRANSPORT

Organizer:  Karl Sabelfeld (WIAS Berlin, Germany)

Speakers




STOCHASTIC PARTICLE SYSTEMS AND COAGULATION EQUATIONS

Organizer : Wolfgang Wagner (WIAS Berlin, Germany)

Speakers
 




INTERACTING PARTICLE SYSTEMS

Speakers
 



BSDEs AND  PDEs

Organizer : Youssef Ouknine (Université Cadi Ayyad, Maroc)

Speakers
 

  • Said Hamadène (Université du Maine, France)

  • Multidimensional BSDE's with Uniformly Continuous Coefficients

    DIFFUSION LIMITS AND HOMOGENIZATION IN RANDOM FIELDS AND INTERACTING PARTICLE SYSTEMS

    Organizer : Stefano Olla (Université de Cergy-Pontoise, France)

    Speakers
     

  • Stefano Olla (Université de Cergy-Pontoise, France)

  • Diffusive behavior of interacting particle systems: bulk-diffusion and self-diffusion


    FILTERING

    Organizer :  Etienne Pardoux (Universite de Provence, France)

    Speakers
     




    WAVES IN RANDOM MEDIA

    Organizer : Josselin Garnier (CMAP-Ecole Polytechnique, France)

    Speakers




    MCMC ALGORITHMS IN SIGNAL AND IMAGE PROCESSING

    Organizer :  Josiane Zerubia (INRIA Sophia Antipolis, France)

    Speakers



    MCMC METHODS FOR HIDDEN MARKOV MODELS

    Organizer : Christian P.  Robert (ENSAE, France)

    Speakers
     



    MONTE CARLO METHODS FOR TURBULENCE SIMULATIONS

    Organizer : Peter   Kramer (Courant Institute, New York University, USA)

    Speakers



    MALLIAVIN CALCULUS AND APPLICATIONS

    Organizer : Arturo Kohatsu-Higa (Universitat Pompeu Fabra, Barcelona, Spain) and  Fabio Antonelli (Universita di Chieti, Pescara, Italy)

    Speakers
     



    STOCHASTIC DIFFERENTIAL EQUATIONS AND APPLICATIONS

    Organizer : Arturo Kohatsu-Higa (Universitat Pompeu Fabra, Barcelona, Spain) and Fabio Antonelli (Universita di Chieti, Pescara, Italy)

    Speakers



    REFLECTED  PROCESSES AND PDEs

    Speakers




    STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

    Organizer : Arnaud Debussche (Universite Paris XI, France)

    Speakers



    RANDOM NUMBER GENERATORS AND SIMULATION OF DEGENERATE SDEs AND ASSOCIATED LYAPUNOV EXPONENTS

    Organizer : Volker Wihstutz (UNC Charlotte, USA)

    Speakers
     

  • Alex Gordon (Random Number Generator Systems, Inc.)  (talk delivered by Joe Quinn)

  • True randomizers and Shannon entropy
     
  • Joe Quinn (University of North Carolina, Charlotte, USA)

  • Theorems for generalized quantum statistics and the testing of randomizers with and without asymptotic assumptions

    PERTURBATION THEORY FOR MARKOV CHAINS

    Organizer : Andrew Stuart (Warwick University, Coventry, U.K.)

    Speakers

  • Jonathan Mattingly (Stanford University, USA)

  • Ergodicity for Numerical Simulations
     
  • Des Higham (University of Strathclyde, Glasgow, U.K.)

  • Ergodicity for Numerical Simulations
     
  • Jeffrey  S. Rosenthal (University of Toronto, Canada)

  • Convergence Properties of Perturbed Markov Chains
     
  • Emmanuelle Clement (Universite de Marne la Vallee, France)

  • Pseudo-moderate deviations in the Euler method for real diffusion processes

    QUANTUM  STOCHASTIC  ANALYSIS

    Organizer : Rolando Rebolledo (Universidad Católica de Chile)

    Speakers



     

    FINANCIAL MATHEMATICS I

    Organizer : Bernard Lapeyre (ENPC-CERMICS, France)

    Speakers
     



    FINANCIAL MATHEMATICS II

    Organizer : Monique Jeanblanc (Universite d'Evry, France)

    Speakers



    FINANCIAL MATHEMATICS III

    Organizer :  Wolfgang Runggaldier (Università di Padova, Italy)

    Speakers



    FINANCIAL MATHEMATICS IV

    Speakers