Hitting times and exit problems for stochastic models

Nov 27 2013 - 00:00
Nov 29 2013 - 23:59
Venue: 

Institut of Mathematics, Dijon, France

Short description of the event: 

This workshop will focus on recent theoretical and numerical breakthroughs in stopping times problems such as hitting times, passage times, exit times, exit location...

A large class of stochastic processes is concerned: Brownian paths, stochastic differential equations driven by white noise or Levy noise...

Results concerning the exit time distribution are also of particular interest: Laplace transform caractherization and large time or small noise asymptotics. The aim of the workshop is also to present new numerical algorithms in order to simulate hitting and exit times.

The program concerns recent developments in the description and applications of these stopping times in related theories.

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