Rencontres statistiques

---

MARANDON Ariane ()

Le 17/02/2025
De 13:30 à 14:30
Titre :

Résumé :

Salle : Abis

Séminaire Analyse-Probabilités

---

ZEITOUNI Ofer (Weizmann Institute of Science)

Le 18/02/2025
De 10:30 à 11:30
Titre : Voting models and tightness for a family of recursion equations

Résumé : We consider recursion equations of the form u_{n+1}(x)=Q[u_n](x), n≥1, x∈R, with a non-local operator Q[u](x)=g(u∗q), where g is a polynomial, satisfying g(0)=0, g(1)=1, g((0,1))⊆(0,1), and q is a (compactly supported) probability density with ∗ denoting convolution. These are discrete analogues of KPP type equations with general (polynomial) nonlinear ties. Motivated by a line of works for nonlinear PDEs initiated by Etheridge, Freeman and Penington (2017), we show that for general g, a probabilistic model based on branching random walk can be given to the solution of the recursion, while in case g is also strictly monotone, a probabilistic threshold-based model can be given. In the latter case, we provide a conditional tightness result. We analyze in detail the bistable case and prove for it convergence of the solution shifted around a linear in n centering. Joint work with Xaver Kriechbaum and Lenya Ryzhik

Salle : A711

Séminaire des jeunes chercheurs

---

RAMEH Ons (Université Paris-Cité)

Le 20/02/2025
De 17:00 à 18:00
Titre : Autour du phénomène de Cut-off pour des systèmes de particules

Résumé : Considérons un système de particules aléatoires. quand peut-on dire qu'il est proche de l'équilibre ? Parfois, le système atteint rapidement l'équilibre de manière abrupte, ce que l'on qualifie de phénomène de cut-off. Le but de l'exposé est de présenter ce phénomène et d'expliquer quels renseignements fournit le comportement macroscopique d'un système sur le temps de mélange.

Salle : A707

Séminaire des jeunes chercheurs

---

ZARHALI Othmane (CEREMADE)

Le 27/02/2025
De 17:00 à 18:00
Titre : From rough to multifractal volatility: Topics around the Log S-fBM model

Résumé : The Log Stationary Fractional Brownian Motion(LogS-fBM)model, introduced by Peng, Bacry, and Muzy , describes a log-volatility process driven by a stationary fractional Brownian motion (S-fBM). This model is characterized by three key parameters: the intermittency parameter λ, the correlation scale T, and the Hurst exponent H. Notably, as H approaches zero, the model’s multifractal random measure (volatility measure) converges to that of the multifractal random walk introduced by Bacry et al.. In contrast, when H ≈0.1, the model captures rough volatility dynamics. A multidimensional extension of the Log S-fBM model, referred to as the m-Log S-fBM was also developed. In this framework, the log-volatilities of multiple assets are correlated, with dependencies governed by both the cointermittency matrix and the coHurst matrix. These matrices ensure that the marginal distributions of the model retain the one-dimensional Log S-fBM dynamic. A key analytical tool for studying this model is the small intermittency approximation, which allows to approximate the generalized moments of the normalized log-volatility over a time period ∆ > 0 using the moments of the integrated S-fBM process over the same period when λ^2 is small. This approximation is particularly relevant given the empirical findings of Wu et al., who observed that for various assets, λ^2 ≈0.02. Besides, the Log S-fBM model can be used in the Nested factor model, introduced by Bouchaud et al., where the asset return fluctuations are explained by common factors representing the market economic sectors and residuals (noises). These residuals share with the factors a common dominant volatility mode in addition to the idiosyncratic mode unique to each residual. Here, we consider the case of a single factor, where the only dominant common mode is a S-fBM process with Hurst exponent H ≃0.11, while the residuals, in addition to the previous common mode, contain idiosyncratic components with Hurst exponents H ≃0. Furthermore, we propose a statistical procedure to estimate the Hurst factor exponent from stock return dynamics, providing theoretical guarantees. The method performs well in the limit where the number of stocks N tends to infinity. In this talk, we introduce the Log S-fBM model in its one-dimensional and multidimensional forms, present the calibration procedure based on the small intermittency approximation, and discuss the Nested Log S-fBM factor model.

Salle : A707

Colloquium du CEREMADE

---

WANG Yilin (IHES)

Le 04/03/2025
De 15:30 à 16:30
Titre : The Brownian loop measure on Riemann surfaces and applications to length spectra

Résumé : The goal of this talk is to showcase how we can use stochastic processes to study the geometry of surfaces. More precisely, we use the Brownian loop measure to express the lengths of closed geodesics on a hyperbolic surface and zeta-regularized determinant of the Laplace-Beltrami operator. This gives a tool to study the length spectra of a hyperbolic surface and we obtain a new identity between the length spectrum of a compact surface and that of the same surface with an arbitrary number of additional cusps. This is based on a joint work with Yuhao Xue (IHES).

Salle : A709

Séminaire Analyse-Probabilités

---

JEGO Antoine (Université Paris Dauphine)

Le 11/03/2025
De 10:30 à 11:30
Titre : TBA

Résumé :

Salle : Amphi 1

Séminaire Analyse-Probabilités

---

LACKER Daniel (Columbia University)

Le 18/03/2025
De 10:30 à 11:30
Titre : TBA

Résumé :

Salle : A711

Séminaire Analyse-Probabilités

---

ARCHER Eleanor (Ceremade - Université Paris Dauphine PSL)

Le 25/03/2025
De 10:30 à 11:30
Titre : TBA

Résumé : TBA

Salle : A709

Séminaire Analyse-Probabilités

---

AYI Nathalie (LJLL)

Le 29/04/2025
De 10:30 à 11:30
Titre : TBA

Résumé :

Salle : A711

Séminaire Analyse-Probabilités

---

DEMBIN Barbara (Université de Strasbourg)

Le 13/05/2025
De 10:30 à 11:30
Titre : TBA

Résumé :

Salle : A711

Séminaire Analyse-Probabilités

---

GLOGIC Irfan (Bielefeld University)

Le 20/05/2025
De 10:30 à 11:30
Titre : TBA

Résumé : TBA

Salle : A711

Séminaire Analyse-Probabilités

---

SCHAPIRA Barbara (Université de Montpellier)

Le 27/05/2025
De 10:30 à 11:30
Titre : TBA

Résumé :

Salle : A711