PROBABILITY AND RANDOM SYSTEMS SEMINAR

DEPARTMENT OF MATHEMATICS
NORTH CAROLINA STATE UNIVERSITY

Fall 2006

Lectures are at 3:00 pm on Mondays in Harrelson Hall room 330 unless otherwise noted. Click on the date for the abstract.

Joint Differential Equations/Probability Seminar

Monday, October 16 , 3:00 pm - 3:55 pm


Monday, October 23 , 3:00 pm - 3:55 pm


Monday, November 20 , 3:00 pm - 3:55 pm


Monday, December 4 , 3:00 pm - 3:55 pm


Spring 2006

Lectures are at 3:00 pm on Mondays in Harrelson Hall room 330 unless otherwise noted. Click on the date for the abstract.

Joint Differential Equations/Probability Seminar

Wednesday, May 3 at 1:30 pm - 2:30 pm in HA 330
Note the unusual time, Wednesday at 1:30 pm.




Fall 2005

Lectures are at 3:00 pm on Mondays in Harrelson Hall room 330 unless otherwise noted. Click on the date for the abstract.

Monday, September 26 , 3:00 pm - 3:55 pm

  • Carl Mueller , Department of Mathematics, University of Rochester
  • Title : The Speed of a Random Traveling Wave

Monday, October 17 , 3:00 pm - 3:55 pm

  • Joseph Yukich , Department of Mathematics, Lehigh University
  • Title : Random Sequential Packing

Joint Probability/Financial Mathematics Seminar

Monday, October 24 , 3:00 pm - 3:55 pm

  • Wendell Fleming , Division of Applied Mathematics, Brown University
  • Title : Optimal Investment Models with Minimum Consumption Criteria

Previous Seminars from Fall 2002 to Spring 2005


Spring 2005

Lectures are at 2:35 pm in Harrelson Hall room 330 unless otherwise noted. Click on the date for the abstract.

Joint Probability/Differential Equations Seminar

Wednesday, February 2, 2:35 pm - 3:25 pm
Note the unusual day, Wednesday.

  • Yury Bakhtin , Department of Mathematics, Duke University
  • Title : Stationary solutions for the Navier-Stokes system with random forcing in 2D and 3D

Joint Probability/Differential Equations Seminar

Wednesday, March 16, 2:35 pm - 3:25 pm
Note the unusual day, Wednesday.

  • Stanislav Molchanov , Department of Mathematics and Statistics, University of North Carolina at Charlotte
  • Title : Slowing down of the light

Monday, March 28

  • Miron Bekker , Department of Mathematics and Statistics, University of Missouri at Rolla
  • Title : Periodic symmetric operators and their self-adjoint extensions

Monday, April 4

  • Maria Gordina , Department of Mathematics, University of Connecticut
  • Title : Heat kernel analysis for some infinite-dimensional groups

Joint Probability/Financial Mathematics Seminar

Friday, April 29 at 1:30 pm - 2:30 pm in Nelson Hall 1206
Note the unusual time and place, Friday.

  • Jiongmin Yong , Department of Mathematics, University of Central Florida
  • Title : Backward Stochastic Volterra Integral Equations and Some Related Problems

Fall 2004

Lectures are at 3:30 pm in Harrelson Hall room 368 unless otherwise noted. Click on the date for the abstract.

Monday, August 23, 2:35 pm - 3:25 pm
Note that there are two seminars consecutive.
Also note the unusual room, Harrelson Hall 335.

  • Maury Bramson , Department of Mathematics, University of Minnesota
  • Title : Exclusion Processes in Higher Dimensions.

Monday, August 23, 3:35 pm - 4:25 pm
Note that there are two seminars consecutive.
Also note the unusual room, Harrelson Hall 335.

  • Josselin Garnier , Laboratoire de Statistique et Probabilites (LSP), Universite Paul Sabatier, France
  • Title : Interacting particle systems for the analysis of rare events

Joint Probability/Financial Mathematics Seminar

Friday, October 15, 1:30 pm - 2:30 pm
Note the unusual time and place, Nelson 3210.

  • Paul Glasserman, Graduate School of Business, Columbia University
  • Title : Importance Sampling for Portfolio Credit Risk



Spring 2004

Monday, January 26

  • Heinrich Matzinger, Department of Mathematics, Georgia Institute of Technology
  • Title : Some Ideas Used in Scenery Reconstruction.

Joint Probability/Financial Mathematics Seminar

Monday, February 16

  • Philip Protter, School of Operations Research and Industrial Engineering, Cornell University
  • Title : Liquidity Risk and Arbitrage Pricing Theory

Monday, March 22

  • Jinho Baik , Mathematics Department, University of Michigan
  • Title : Random Permutations and Random Matrix

Monday, March 29

  • Jack Silverstein , Department of Mathematics, North Carolina State University
  • Title : Eigenvalues of Large Dimensional Sample Covariance Matrices

Joint Probability/Financial Mathematics Seminar

Wednesday, April 7, ( 4 pm in Harrelson 330 ) Note the unusual date.

  • Norden Huang , National Aeronautics and Space Administration (NASA)
  • Title : On Trends, Detrending and the Variability of Nonlinear and Nonstationary Time Series

Joint Probability/Financial Mathematics Seminar

Friday, April 23 ( at 1:30 pm in Kilgore 125 ) Note the unusual date and place.

  • Jean Pierre Fouque , Department of Mathematics, North Carolina State University
  • Title : Credit Risk: first passage structural models revisited.

Wednesday, April 28 ( at 2:35 pm in Harrelson 335 ) Note the unusual date and place.

  • Kenneth McLaughlin , Department of Mathematics, University of North Carolina - Chapel Hill
  • Title : Random Matrices, Random Tilings, and Discrete Orthogonal Polynomials

Joint Probability/Financial Mathematics Seminar

Friday, April 30 ( at 1:30 pm in Kilgore 125 ) Note the unusual date and place.

  • Kiseop Lee , Department of Mathematics, University of Louisville
  • Title : Insider's hedging in a jump diffusion model

Fall 2003

Monday, August 25

  • Josselin Garnier, Laboratoire de Statistique et Probabilités (LSP), Université Paul Sabatier
  • Title : Robustness of time-reversal for waves in time-dependent random media

Monday, September 15

  • Amarjit Budhiraja, Department of Statistics, UNC - Chapel Hill
  • Title : An Ergodic Control Problem for Constrained Diffusions

Joint Operation Research/Financial Mathematics/Probability Seminar

Tuesday, October 14 at 4:00 pm in Riddick Room 11, Note unusual date and place.

  • Jean-Pierre Fouque, Department of Mathematics, North Carolina State University
  • Title : On Monte Carlo Simulations in Quantitative Finance

Monday, October 20

  • Demetrio Labate, Department of Mathematics, North Carolina State University
  • Title : Efficient Representations of Multivariable Functions

Joint Financial Mathematics/Probability Seminar

Friday, October 24 at 1:30 pm in Nelson Room 1206, Note unusual date and place.

  • Jean-Pierre Fouque, Department of Mathematics, North Carolina State University
  • Title : Multiscale Stochastic Volatility

Monday, October 27

  • Murad Taqqu, Department of Mathematics and Statistics, Boston University
  • Title : The Weierstrass Function and Fractional Brownian Motion

Friday, November 21 at 2:35 pm in Harrelson 330, Note unusual date.

  • Ilie Grigorescu, Department of Mathematics, University of Miami
  • Title : Limit Theorems for Diffusions with Local Interaction

Monday, December 1

  • Jonathan Mattingly, Department of Mathematics, Duke University
  • Title : Stochastically Force Navier-Stokes Equation: Ergodicity, Mixing and Malliavin Calculus

Spring 2003

Joint Financial Mathematics/Probability Seminar

Friday, February 14 at 1:30 pm in Kilgore 125. Note unusual time and place.

  • Ronnie Sircar, Operations Research & Financial Engineering Department, Princeton University
  • Title : Utility Indifference Pricing & Optimal Trading with Derivatives

Joint Financial Mathematics/Probability Seminar

Thursday, February 20 at 3:15 pm in SAMSI. For more information, look here.

  • Rene Carmona, Operations Research & Financial Engineering Department, Princeton University
  • Title : Particle Filtering and Applications

Joint Financial Mathematics/Probability Seminar

Friday, February 21 at 1:00 pm in Kilgore 125. Note unusual time and place.

  • Rene Carmona, Operations Research & Financial Engineering Department, Princeton University
  • Title : Spread, Swing, and Temperature Options: Mathematical Challenges

Joint Financial Mathematics/Probability Seminar

Friday, March 21 at 1:30 pm in Nelson 1130. Note unusual time and place.

  • Wendell Fleming, Division of Applied Mathematics, Brown University
  • Title : Some Optimal Investment, Production and Consumption Models

Monday, March 24

  • Francesco Russo, Université Paris 13 Institut Galilée, Mathématiques
  • Title : Recent Results on Stochastic Differential Equations and Generalized Dirichlet Processes

Friday, April 4 at 2:35 pm in HA 335. Note unusual day and place.

  • Xia Chen, Department of Mathematics, University of Tennessee
  • Title: Intersection Local Times : Exponential Asymptotics and Laws of the Iterated Logarithm

Monday, April 7

  • Stanislav Volkov, School of Mathematics, University of Bristol
  • Title: Vertex-reinforced Jump Processes

Monday, April 14

  • Vladas Pipiras, Department of Statistics, UNC - Chapel Hill
  • Title : The Structure of Stable Self-Similar Processes with Stationary Increments

Fall 2002

Joint NA-Probability Seminar

Tuesday, September 10


Joint NA-Probability Seminar

Tuesday, September 17

  • Jean-Pierre Fouque, Department of Mathematics, NCSU
  • "Time Reversal for Waves in Random Media"

Monday, September 23

  • Brian Rider, Department of Mathematics, Duke University
  • "Concentration of Permanent Estimators for Certain Large Matrices"

Joint NA-Probability Seminar

Monday, October 7

  • Jean-Pierre Fouque, Department of Mathematics, NCSU
  • "Time-Reversal Super-Resolution in the Regime of Parabolic Approximation"

Monday, October 28

  • Tao Pang, Department of Mathematics, NCSU
  • "A Stochastic Portfolio Optimization Model"

Monday, November 11

  • Min Kang, Department of Mathematics, NCSU
  • "Interface Growth Models in Max-plus Perspective"

Seminars From Previous Years

Seminar Organizer:
Min Kang
kang@math.ncsu.edu

Back to Dept. of Mathematics

Last modified: 01/15/2003