EMS School on Stochastic Analysis

Programme

Prof. Frank den Hollander, Universiteit Leiden
"Random Walk in Dynamic Random Environment" (Abstract)

Outline:

1) Background and motivation

2) Main results achieved so far

3) Main open problems

4) Basic technique 1: Regeneration

5) Basic technioque 2: Renormalisation

 

Dr Jan Obloj, University of Oxford
"On aspects of the Skorokhod embedding problem and its applications"

Outline:

1) Classical vs Robust Modelling Framework in Mathematical Finance

2) Time-changing toolbox

2.1 Stopping times and their properties, small stopping times

2.2 Changes of time

2.3 Elements of potential theory, first-hitting times

3) On some solutions to the Skorokhod embedding problem and their properties

4) Root's solution, links with PDEs and time-reversal

5) On some n-marginal problems and resulting martingale inequalities

The two courses will mostly takle place in the morning with a lecture of 60 to 90 minutes each. Several afternoons are reserved for presentations by the students to present their projects and their work to date.