Infinite divisible processes and related topics

Institute for mathematical statistics, tokyo

2001 October 11 - 13

11 October

13:30 - 14:20 Ken-ichi Sato

Semi-groups with time parameter in cone and its applications

14:30 - 15:00 Kazuyuki Inoue (Shinshu Univ.)

A class of multiparameter L\'evy processes of Gaussian type

15:10 - 16:00 Shigeo Takenaka (Okayama Sci. Univ.)

Multiparameter processes with independent increments on any time-like curves

16:10 - 17:00 Hiroshi Tanaka, Yozo Tamura (Keio Univ.)

On a theorem of Pecherskii-Rogozin for multidimensional L\'evy processes

17:10 - 17:30 Shuya Kanagawa (Kanazawa Univ.)

Simulation of reflected barriar Brownian motion by means of penalty method

12 October

9:20 - 10:10 Takao Miyahara (Nagoya City Univ.)

Estimation of L\'evy process

10:20 - 11:10 Takuji Arai (Tsukuba Univ.)

Mean-variance hedging for jump diffusion processes

11:20 - 12:10 Akinobu Shimizu (Nagoya City Univ.)

Random discrete probability distributions derived from subordinators

13:30 - 14:20 Makoto Yamazato (Ryukyu Univ.)

L\'evy measures of the first passage time distributions for skip-free L\'evy processes

14:30 - 15:20 Seiji Hiraba (Tokyo Sci. Univ.)

Asymptotic estimate of density of multidimensional stable distribution.

15:30 - 16:20 Toshiro Watanabe (Aizu Univ.)

Asymptotic behavior of multivariate infinitely divisible distributions and stable-like densities

16:30 - 17:20 Yuko Sato (Takasaki Wellfare Univ.), Yuji Kasahara (Ochanomizu Univ.)

On a generalized arc-sine law for one-dimensional diffusion processes

13 October:

9:20 - 10:10 Yasushi Ishikawa (Ehime Univ.)

Small deviations and its applications

10:20 - 11:10 Hiroshi Takahashi (Keio Univ.)

Diffusion processes in selfsimilar media

11:20 - 12:10 Koji Yamamuro (Aichi Konan Coll.)

Asymptotic behaviour of selfsimilar Levy processes.