Particle and Monte Carlo Methods
Barcelona, July 24-25, 2004
Time table

Attention ! The two talks by Laurent Miclo and Michael Pitt have been cancelled, and the programme of the two afternoon sessions has been (slightly) reorganized accordingly.

Saturday, July 24
11:00 11:30 12:00 12:30 13:00 13:30 14:00 16:00 16:30 17:00 17:30 18:00
Del Moral Cont Viens break Muñoz Centanni lunch Andrieu Atchadé break Rosenthal Roberts

Sunday, July 25
09:30 10:00 10:30 11:00 11:30 12:00 12:30 14:30 15:00 15:30 16:00 16:30
Rousset Diaconis Tindel break Künsch Le Gland lunch Holmes Papavasiliou break Moulines Peters

List of talks and speakers

  1. Christophe Andrieu (University of Bristol) confirmed, title to be announced

  2. Yves Atchadé (Harvard University) Adaptive Markov chain Monte Carlo algorithms : some ergodicity results (abstract)

  3. Silvia Centanni (Università di Perugia) Filtering with reversible jump MCMC in a class of doubly stochastic Poisson processes with marks (abstract)

  4. Rama Cont (CMAP, Palaiseau) Particle methods for an ill-posed inverse problem : recovering volatility from option prices by evolutionary optimization (reference)

  5. Pierre Del Moral (LSP, Toulouse) Precise propagations of chaos estimates for Feynman-Kac and genealogical particle models

  6. Persi Diaconis (Stanford University) Fastest mixing Markov chains

  7. Susan Holmes (Stanford University) Particle filters and coin flips (abstract)

  8. Hans Künsch (ETH, Zürich) Central limit theorems and asymptotic variances for the particle filter

  9. François Le Gland (IRISA / INRIA, Rennes) Particle methods for the simulation of rare events (abstract, slides)

  10. Laurent Miclo (LSP, Toulouse) Importance sampling and genetic algorithms [cancelled]

  11. Éric Moulines (ENST, Paris) Asymptotic analysis of the SIR algorithm (abstract)

  12. Pilar Muñoz (Universitat Politècnica de Catalunya) Volatility of daily stock returns estimation by means of particle filter : The IBEX case (slides)

  13. Anastasia Papavasiliou (Columbia University) Adaptive particle filters and high-dimensional systems (abstract)

  14. Gareth Peters (CUED, Cambridge) Sequential Monte Carlo samplers (abstract, slides)

  15. Michael Pitt (University of Warwick) Particle filter methods and MCMC for partially observed stochastic differential equations (abstract) [cancelled]

  16. Gareth Roberts (Lancaster University) Retrospective MCMC for inference for Dirichlet mixture models (abstract)

  17. Jeffrey Rosenthal (University of Toronto) Coupling constructions and MCMC convergence (abstract, reference)

  18. Mathias Rousset (LSP, Toulouse) On the long time behavior of interacting particle systems, with applications to interacting Metropolis search algorithms

  19. Samy Tindel (IECN, Nancy) Polymer measure in Gaussian environment : some recent results and open problems (slides, reference)

  20. Frederi Viens (Purdue University and LAGA, Villetaneuse) Portfolio optimization algorithm for a partially observed stochastic volatility model : how to use a genetic particle algorithm (abstract)

Back to the workshop home-page, the BS/IMS conference home-page.