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International Conference
devoted to 90th anniversary of Academician Albert Shiryaev
“Stochastic analysis, Statistics of Random Processes and Optimisation”
(December 9–14, 2024, Tbilisi – Bakuriani, Georgia)
The structure of the Conference mirrors the research fields to which
Albert Shiryaev made outstanding contributions:
- Theory of optimal stopping rules;
- Theory of filtration of random processes;
- Theory of stochastic integration and martingales;
- The theory of signal detection, in particular, the problem of detecting the disorder of random
- processes;
- Statistics of random processes;
- Stochastic optimization theory;
- Insurance and Financial Mathematics.
 Program
Practical information
The preliminary plan for the conference and related events
- Arrival to Tbilisi on 8 December.
- 10 am - 13 pm, 9 December. The plenary session at the Wyndham Grand Tbilisi Hotel
(WGTH).
- 3pm, 9 December. A bus from WGTH to Bakuariani will be provided for the conference
participants. Please contact the Organising Committee if you have any question
concerning arrangements of your travel to Tbilisi and Bakuriani.
- 10 – 14 December, Bakuriani. The meetings will be held at the conference hall of
"Crystal Hotel & Spa".
- The registration fee US$100, or its equivalent in Georgian Lari, is established to cover
the conference-associated expenses, the dinners and lunches are not included.
Registration is by invitation only.
- Conference dinner is planned on 13 th December. The price for conference dinner will be
conveyed later.
Organizing Committee
Gushchin Alexander Alexandrovich, Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Kordzahiya Nino E, Macquarie University
Maniya Mikhael Gvancievich, Andrea Razmadze Mathematical Institute of I. Javakhishvili Tbilisi State University
Novikov Aleksandr Aleksandrovich, Steklov Mathematical Institute of Russian Academy of Sciences, Moscow; University of Technology, Sydney
Purtukhiya Omar Grishaevich, Tbilisi Ivane Javakhishvili State University
Shashiashvili Malkhaz Aleksandrovich, Kutaisi International University
Stoyanov Jordan, Institute of Mathematics and Informatics, Bulgarian Academy of Sciences
Yaskov Pavel Andreevich, Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Zhitlukhin Mikhail Valentinovich, Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Institutions
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Steklov International Mathematical Center
Andrea Razmadze Mathematical Institute of I. Javakhishvili Tbilisi State University
Kutaisi International University |
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| International Conference
devoted to 90th anniversary of Academician Albert Shiryaev
“Stochastic analysis, Statistics of Random Processes and Optimisation”, Tbilisi – Bakuriani, December 9–14, 2024 |
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December 9, 2024 (Mon) |
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| 1. |
Opening the conference
N. E. Kordzahiya, O. G. Purtukhiya, A. A. Novikov
December 9, 2024 10:00–10:05, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
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| 2. |
Welcome from Georgia Mathematical Institute and Tbilisi State University
P. Babilua, M. G. Mania
December 9, 2024 10:05–10:15, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
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| 3. |
Information on the Festschrift “Albert Shiryaev - 90” volume
H. Kalantarova, P. Yu. Chigansky, N. E. Kordzahiya
December 9, 2024 10:15–10:30, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
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PhD students of Albert Shiryaev
A. A. Novikov, M. G. Mania
December 9, 2024 10:30–10:45, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
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Greetings by M. Grossinho, R. Dalang, A. Zvonkin, J. Stoyanov
Colleagues of Albert Shiryaev’s from around the world
December 9, 2024 10:45–11:00, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
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| 6. |
Self-Aware Transport of Economic Agents
Andrew Lyasoff
December 9, 2024 11:30–11:45, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
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| 7. |
Affine semimartingales and their application to interest rate markets
T. Schmidt
December 9, 2024 11:45–12:00, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
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| 8. |
Remarks on limit theorems for stochastic processes
J. Kallsen
December 9, 2024 12:00–12:15, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
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| 9. |
TBA
É. Mordecki
December 9, 2024 12:15–12:30, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
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TBA
A. N. Shiryaev
December 9, 2024 12:30–12:45, Tbilisi – Bakuriani, Wyndham Grand Tbilisi Hotel, Conference Hall
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December 10, 2024 (Tue) |
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| 11. |
On parameter estimation of diffusion-type processes: sequential approach revisited
A. A. Novikov, A. N. Shiryaev, N. E. Kordzahiya
December 10, 2024 15:00–15:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 12. |
Asymptotic analysis in problems with fractional processes
M. L. Kleptsyna, P. Yu. Chigansky
December 10, 2024 15:45–16:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 13. |
Stochastic Energy-Balance Model With A Moving Ice Line
I. E. Pavlyukevich
December 10, 2024 16:15–16:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 14. |
Multilayer heat equations and their solutions via oscillating integrals
D. L. Muravey
December 10, 2024 16:45–17:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 15. |
F-divergences and Predictable Processes in Probability and Mathematical Finance
L. Yu. Vostrikova
December 10, 2024 17:15–17:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 16. |
Mutually exciting point processes with latency
V. Volkov
December 10, 2024 17:45–18:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 17. |
Change-Point Detection in Time Series Using Mixed Integer Programming
Ar. Prokhorov
December 10, 2024 18:15–18:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 18. |
On the asymptotic behavior of bubble date estimators
A. Skrobotov
December 10, 2024 18:45–19:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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December 11, 2024 (Wed) |
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| 19. |
The Gapeev-Shiryaev Conjecture
G. Peškir
December 11, 2024 15:00–15:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 20. |
Yule’s ”nonsense correlation”: Moments and density
Ph. Ernst
December 11, 2024 15:45–16:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 21. |
Some non-additive change-point (disorder) detection problems for diffusion processes
P. V. Gapeev
December 11, 2024 16:15–16:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 22. |
Optimal Stopping Reversed
E. B. Boguslavskaya
December 11, 2024 16:45–17:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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Blotto Game with Testing (The Locks, Bombs and Testing Model)
I. M. Sonin
December 11, 2024 17:15–17:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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Attrition Game and Polya Urn Models
V. V. Mazalov
December 11, 2024 17:45–18:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 25. |
Martingales and stochastic evolutionary games
M. V. Zhitlukhin
December 11, 2024 18:15–18:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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Necessary and sufficient conditions for survival strategies in asset markets with endogenous prices
A. A. Tokaeva
December 11, 2024 18:45–19:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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December 12, 2024 (Thu) |
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Probabilistic foundations of generative models based on stochastic processes
E. A. Feinberg
December 12, 2024 15:00–15:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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Probabilistic approaches to nonlinear parabolic equations and systems
Ya. I. Belopol'skaya
December 12, 2024 15:45–16:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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On Dobrushin’s central limit theorem for non-homogeneous Markov chain
A. Yu. Veretennikov
December 12, 2024 16:15–16:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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The Disorder Problem. An approach based on partially observable Markov decision processes
D. S. Donchev
December 12, 2024 16:45–17:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 31. |
Stationary processes, Wiener-Granger causality, and matrix spectral factorization
L. Efremidhze
December 12, 2024 17:15–17:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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Fractional Brownian motion, problems of prediction and estimation
A. V. Savitskii
December 12, 2024 17:45–18:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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On generalisations and applications of Kolmogorov maximal inequalities
N. E. Kordzahiya
December 12, 2024 18:15–18:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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December 13, 2024 (Fri) |
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| 34. |
Systematic Jump Risk
J. Jacod
December 13, 2024 15:00–15:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 35. |
SABR type stochastoc volatility operator in Hilbert space
R. Douady
December 13, 2024 15:45–16:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 36. |
Optional semimartingales: a new perspective.
L. I. Gal'chuk
December 13, 2024 16:15–16:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 37. |
Auto-induced regime switching diffusions and applications
M. L. Esquível
December 13, 2024 16:45–17:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 38. |
Martingale functions of a Brownian motion and their relation with general solutions of several functional equations
M. G. Mania
December 13, 2024 17:15–17:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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An approach to the Greeks for indifference pricing
O. Mostoviy
December 13, 2024 17:45–18:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 40. |
Backward martingale transport maps and equilibrium with insider
D. O. Kramkov
December 13, 2024 18:15–18:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 41. |
Hereditary and Lacunary Limit Theorems in Probability and Analysis
I. Karatzas
December 13, 2024 18:45–19:15, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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| 42. |
TBA
A. N. Shiryaev
December 13, 2024 19:15–19:45, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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Closing remarks
A. A. Novikov
December 13, 2024 19:45–20:00, Tbilisi – Bakuriani, Crystal Hotel & Spa in Bakuriani, Conference Hall
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