University of New South Wales - School of Mathematics - FINANCIAL INTEGRITY RESEARCH NETWORK WORKSHOP ON FRACTIONAL BROWNIAN MOTION:MATHEMATICAL THEORY AND

FINANCIAL INTEGRITY RESEARCH NETWORK WORKSHOP ON FRACTIONAL BROWNIAN MOTION:MATHEMATICAL THEORY AND APPLICATIONS IN FINANCE

20 - 21 February, 2006

The University of New South Wales, NSW, Australia

This workshop will bring together national and international researchers on the mathematical
theory of Fractional Brownian Motion, and its applications in Finance and Sciences.

The aim of the workshop is to communicate new ideas and recent developments, to discuss future research directions and to initiate new collaborations.

Location

The workshop will be held in the Red Centre Theatre, the same building, where the School of Mathematics is located.

Invited speakers

Roberto Artuso (Dipartimento di Fisica, Universit dell'Insubria, Como)
Boris Buchmann (ANU)
Laurent Decreusefond (Ecole Nationale Superieure des Telecommunications Paris)
Bruce Henry (UNSW)
Chris Heyde (ANU)
John van der Hoek (Adelaide)
Bohdan Maslowski (Czech Academy of Sciences)
Lamberto Rondoni (Politecnico di Torino)
Donna Mary Salopek (UNSW)
Darryl Veitch (University of Melbourne)
Angelo Vulpiani (La Sapienza, Rome)

Titles of invited talks

R. Artuso: Periodic Orbit Theory of Strongly Anomalous Diffusions
B. Buchmann: Inference for Nearly Stationary AR(1) Models
L. Decreusefond: (I) Stochastic Analysis with Respect to Fractional Brownian Motion, (II) Fractional Brownian Motion: Applications to Telecommunication and Mathematical Finance
B.Henry: Pattern Formation beyond Brownian Motion
C. Heyde: Domains of Attraction of Fractional Brownian and other Non-Brownian Self-similar Processes
J. van der Hoek: (I) White Noise Analysis for FBM, (II) Some Issues when Using FBM in Financial Modelling
B. Maslowski: (I) Semilinear Stochastic Equations with Fractional Noises, (II) Stochastic Bilinear Equations in Hilbert Spaces Driven by FBM
L. Rondoni: The Higher Complexity of Non-chaotic Systems
D.M. Salopek: TBA
D. Veitch: Generalising Fractional Brownian Motion in Discrete Time: a Surprising Self-similarity
A. Vulpiani: Mechanisms for Strong Anomalous Diffusion

Timetable

To download the timetable click here

Organising Committee

Ben Goldys (B.Goldys@unsw.edu.au)
John van der Hoek (john.vanderhoek@adelaide.edu.au)

Financial assistance

Participation in the workshop is free. Some travel and accommodation support may be available for early-career researchers (mainly
Australian postdocs and PhD students). Contact the organising committee for details.

Expression of Interest

If you intend to particpate in the workshop, please visit the registration page.