Workshop on Lévy Processes and their Applications 2015

Lévy processes are stochastic processes that arise naturally as continuous time analogous to random walks and generalise Brownian motion to stochastic processes with discontinuous sample paths. In the last decades a rich theory has been created and various applications of Lévy processes have been found. To name a few, Lévy processes made their way into mathematical finance, fragmentation theory, the study of branching processes and self-similar Markov processes but also some models from statistical physics. 
The focus of this two-day workshop is to gather experts who discuss their results. The invited speakers consists of experts in the theoretical study but also those dealing with more applied questions. 
Presented topics range from potential theory for random walks and fluctuation theory for Lévy processes, over statistical applications to self-similarity and branching/fragmentation processes.

  • Speakers and Titles

    • Loïc Chaumont (Angers): “Inversion, duality and h-transform for self-similar Markov processes”
    • Steffen Dereich (Münster): “MAPs, Kuznetsov Measures and Self-Similarity”
    • Ron Doney (Manchester): “Renewal Theory with Infinite Mean”
    • Clément Foucart (Paris): “First entrance times, recurrence, transience and polarity of CBI processes:
    • Bénédicte Haas (Paris): “Quasi-stationary distributions and Yaglom limits of self-similar Markov processes”
    • Zakhar Kabluchko (Münster): “Max-stable processes associated with stationary systems of
      Lévy particles”
    • Mateusz Kwasnicki (Wroclaw): “Eigenvalues of the fractional Laplace operator in the unit ball”
    • Igor Kortchemski (Paris): “Self-similar scaling limits of Markov chains on the positive integers”
    • Andreas Kyprianou (Bath): “Deep Factorisations of Stable Processes”
    • Jean-François Le Gall (Paris): “Scaling limits for the peeling process of random planar maps 
      and Lévy processes”
    • Ariel Neufeld (Zurich): “Nonlinear Lévy processes and utility maximization under Knightian uncertainty”
    • Vitali Wachtel (Augsburg): “Asymptotic analysis of stopping times: duality vs universality”
    • Alex Watson (Zurich): “Growth-fragmentation models, random and deterministic”
  • Program

    9.00–9.50Steffen DereichVitali Wachtel
    9.50–10.40Zakhar Kabluchko Mateusz Kwasnicki
    coffee break  
    11.10–12.00Clément FoucartLoïc Chaumont
    lunch break  
    14.00–14.50Alex WatsonRon Doney
    14.50–15.40Igor Kortchemski Ariel Neufeld
    coffee break  
    16.10–17.00Jean-François Le Gall Andreas Kyprianou
    17.00–17.50Bénédicte Haas  


  • Practical Information

    Date: 28–29 May 2015

    Venue: University of Mannheim, B6 Room A101, 10 min walking distance from the train station, link to google maps

  • Lunch

    We suggest the restaurant c-five (link) for Thursday and the restaurant Tomate (link) for Friday. Both are two minutes from the university.

  • Wine & Cheese

    A welcome Apéro takes place on Wednesday evening, from 18.00 onwards, in front of the lecture hall in B6.

  • Organizers

    Frank Aurzada (Darmstadt), Leif Döring (Mannheim), Victor Rivero (Guanajuato)

  • Support

    The workshop was supported by the German Research Foundation (DFG).