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Stochastic Analysis and Related Topics

From September 4, 2002, 10:00 through September 7, 2002, 16:50

At Lecture Hall (420) of RIMS from September 4 through September 6
At Room E of Kyoto International Conference Hall on September 7


Schedule
(All titles are tentative and may be changed.)

September 4 (Wednesday)
  9:50 -- 10:00 Opening address by H. Kunita
10:00 -- 10:50 Karatzas, Ioannis (Columbia University):
Convex duality in Probability, Mathematical Statistics, and Finance
11:00 -- 11:50 Nagai, Hideo (Osaka University):
Risk sensitive portfolio optimization, ergodic control and large deviation
13:30 -- 14:20 El Karoui, Nicole (Ecole Polytechnique):
Convex semimartingale, duality and optimisation  (with P. Bank)
14:30 -- 15:20 Sekine, Jun (Osaka University):
Exponential hedging by solving another BSDE
15:50 -- 16:40 Hida, Takeyuki :
A Frontier of White Noise Analysis, in line with Ito Calculus
16:50 -- 17:40 Kunita, Hiroshi (Nanzan University):
Representation of Jump Martingales and Applications to Mathematical Finance
 
September 5 (Thursday)
10:00 -- 10:50 R\"ockner, Michael (Universit\"at Bielefeld):
$L^p$-analysis for the Kolmogorov operators of stochastic Burgers and Navier-Stokes equations
11:00 -- 11:50 Takeda, Masayoshi (Tohoku University):
Conditional gaugeability of generalized Schr\"odinger operators
13:30 -- 14:20 Lyons, Terry J. (University of Oxford):
The signature of a rough control
14:30 -- 15:20 Kumagai, Takashi (Kyoto University):
Sub-Gaussian estimates of heat kernels on a class of fractal-like graphs and the stability under rough isometries
15:50 -- 16:40 Fukushima, Masatoshi (Kansai University):
Function spaces and symmetric Markov processes
16:50 -- 17:40 Getoor, Ronald K. (University of California):
1. Recollections of times with K. Ito at Princeton and later
2. Additive functionals and measures
 
September 6 (Friday)
10:00 -- 10:50 \"Ust\"unel, Ali Suleyman (ENST, Paris):
Measure Transport, Monge-Ampere Equation and the Girsanov Theorem on Wiener Spaces
11:00 -- 11:50 Shigekawa, Ichiro (Kyoto University):
Square root of a Schr\"odinger operator and its $L^p$ norms
13:30 -- 14:20 Hino, Masanori (Kyoto University):
A weak version of the extension theorem for infinite dimensional 
Dirichlet spaces
14:20 -- 15:50 Discussion
15:50 -- 16:40 Watanabe, Shinzo :
Diffusions and stochastic flows in one dimensions
16:50 -- 17:40 Elworthy, David (University of Warwick):
Some problems in geometric stochastic analysis
 
September 7 (Saturday)
10:00 -- 10:50 McKean, Henry P. (Courant Institute of Mathematical Sciences):
Probability and the Nonlinear Schr\"odinger Equation
11:00 -- 11:50 Kusuoka, Shigeo (University of Tokyo):
A limit theorem for a stochastic mechanical process
13:40 -- 14:30 Stroock, Daniel W. (Massachusetts Institute of Technology):
Ito's geometric interpretation of Ito's stochastic differential equations
14:40 -- 15:30 Ikeda, Nobuyuki :
Quadratic Wiener functionals and Ito's stochastic calculus
16:00 -- 16:50 Malliavin, Paul (University of Paris):
Stochastic Analysis on the group of Diffeomorphisms of the circle
   
18:00 -- Reception