MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

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Funded by The Danish National Research Foundation

Thematic period on

Lévy Processes, Product Integrals and Pathwise Integration

The period comprised an International Conference on

Lévy Processes: Theory and Applications

and also a, relatively small, Advanced Concentrated Course and Workshop on

Product Integrals and Pathwise Integration

Conference: January 18-22, 1999
Workshop: January 11-13, 1999
Concentrated Advanced Course: January 7-8, 1999.

The Organizing Committee for the thematic period consisted of: of

• Ole E. Barndorff-Nielsen (Aarhus, Denmark; e-mail oebn@mi.aau.dk),
• Svend Erik Graversen (Aarhus, Denmark; e-mail matseg@mi.aau.dk),
• Thomas Mikosch (Groningen, The Netherlands; e-mail T.Mikosch@math.rug.nl).

Concentrated Advanced Course

Workshop

Ito stochastic calculus has been the basis for modelling various random phenomena. The main objective of the workshop was to discuss a different approach, namely applications of pathwise integration, product integrals and related techniques. Here ``pathwise integration'' is understood as an integration of sample functions of stochastic processes by using the Riemann-Stieltjes integral and several of its extensions.

The aim of the workshop was to bring together specialists from different areas, such as probability theory, stochastic processes, statistics, physics, finance and analysis, and to discuss perspectives of pathwise integration as compared to stochastic integration.

• You may wish to see the workshop mini-proceedings.

Conference

• List of registered participants.
• Tentative Program.
• Bibliography of works on Lévy Processes. Please send us suggestions, additions and corrections to the bibliography.
• Conference Mini-proceedings.

Related

• In the week 24-28 January 2000, MaPhySto organized a Concentrated Advanced Course on Lévy Processes with lectures given by Professor Ken-iti Sato.

• This course were followed by the a Concentrated Advanced Course on Lévy Processes and Branching Processes with lectures by Jean Bertoin and Jean-François Le Gall.

• A pre-announcement (postscript file) of the forthcoming Birkhäuser volume Lévy Processes - Theory and Applications, Editors O.E. Barndorff-Nielsen (Aarhus), T. Mikosch (Groningen) and S.I. Resnick (Cornell). The volume is to some degree motivated by the conference Lévy Processes: Theory and Applications.