June 13^th ¨CJuly 1^st, 2011

Beijing, Siyuan Building (Academy of Mathematics and Systems Science)

No. 55, Zhongguancun East Road, Beijing

Introduction of Summer Institute

£ £ Sino-French Summer Institute 2011 in Stochastic Modeling and Applications (CNRS-NSFC Joint institute of Mathematics), will be hold at Academy of Mathematics and System Science, Beijing, on June 13^rd ¨CJuly 1^st, 2011.

This summer institute is organized by

l Institute of Applied mathmatics, AMSS, Key Laboratory of Random Complex Structures and Data Science, CAS,

l Laboratoire de Probabilit¨¦s et Mod¨¨les Al¨¦atoires, Universit¨¦ Pierre et Marie Curie - Paris VI et Universit¨¦ Paris Diderot - Paris VII

The themes of the summer institute are around the stochastic modeling: theory and applications. We are going to organize several mini-courses in the first two weeks (June 13^th ¨CJune 26^th ) and a workshop in the last week (June 26^th ¨CJune 30^th ). We focus mainly on the following topics.

1. Numerical probabilities and related topics

2. New approaches in stochastic analysis

3. Financial mathematics and models

Mini-courses in Summer Institute

(Each course is for 4-8hours)

June 13th ¨CJune 17th : Mini-course on

l On the concentration properties of mean field particle models (Pierre Del Moral, INRIA)

l Impulsional stochastic control and applications to finance (Huy¨ºn Pham, Universit¨¦ de Paris 7)

l Pricing and risk management with L¨¦vy processes (Peter Tankov, Ecole Polytechnique)

l An introduction to G-expectation (Yongsheng Song, Institute of Applied Maths, AMSS, CAS)

l Large Deviation (Liming Wu, Institute of Applied Maths, AMSS, CAS)

June 20th-June 25th : Mini-course on

l Mallivain calculus and some application (Zhao Dong, Institute of Applied Maths, AMSS, CAS)

l Fractional regularity: applications in stochastics (Emmanuel Gobet, Ecole Polytechnique)

l Enlargement of filtrations and applications to credit risks (Monique Jeanblanc, Universit¨¦ d¡¯Evry)

l Introduction to stochastic approximation with application to finance (Gilles Pag¨¨s, Universit¨¦ de Paris 7)

l A New Approach in Backward Stochastic Differential Equation (Zhongming Qian, Oxford University)

l Second order Backward Stochastic Differential Equation (Jianfeng Zhang, University of Southern California)

Abstracts of Mini-course

Schedule of Mini-course

Registration Time: June 13^th , 8:45-9:30

Place: 1^st Floor, Siyuan Building

No. 55, Zhongguancun East Road, Beijing

Workshop on Stochastic Modeling and Applications

(June 27^th ¨CJune 30^th )

Confirmed Speakers (the list will be updated regularly):

Ø Mohamed Ben Alaya (Universit¨¦ de Paris 13)

Ø Nan Chen (Chinese University of Hong Kong),

Ø Rama Cont (Universit¨¦ de Paris 6),

Ø Areski Cousin (Universit¨¦ de Lyon I)

Ø Stephane Crepey (Universit¨¦ d¡¯Evry),

Ø Min Dai (National University of Singapore),

Ø Sylvain Delattre (Universit¨¦ de Paris 7)

Ø Laurent Denis (Universit¨¦ d¡¯Evry),

Ø Nicole El Karoui (Universit¨¦ de Paris 6),

Ø Caroline Hillairet (Ecole Polytechnique),

Ø Mingshang Hu (Shandong University)

Ø Xiangdong Li (Institute of Applied Maths, AMSS, CAS)

Ø Gechun Liang (Oxford University)

Ø Chunhua Ma (Nankai University)

Ø Anis Matoussi (Universit¨¦ du Maine)

Ø Jin Ma (University of Southern California) ,

Ø Shige Peng (Shandong University),

Ø Monique Pontier (Universit¨¦ de Toulouse),

Ø Mathieu Rosenbaum (Ecole Polytechnique)

Ø Simone Scotti (Universit¨¦ de Paris 7)

Ø Shiqi Song (Universit¨¦ d¡¯Evry)

Ø Nizar Touzi (Ecole Polytechnique)

Ø Dewen Xiong (Shanghai Jiaotong University)
Ø Zuoquan XU (Hong Kong Polytechnic University)

Ø Phillip Yam (Chinese University of Hong Kong)

Ø Zhongxing Ye (Shanghai Jiaotong University)

Ø Qi Zhang (Fudan University)

Ø Xunyu Zhou (Chinese University of Hong Kong, Oxford University)

Abstracts of talks in Workshop

Registration Time: June 26 ^th , 14:30-20:00

Place: 1 ^st Floor, Siyuan Building

No. 55, Zhongguancun East Road, Beijing

Scientific Committee

Nicole El Karoui, Zhiming Ma, Shige Peng, Liming Wu, Jia-An Yan, Nizar Touzi.

Organization Committee

Fuzhou Gong, Ying Jiao, Gilles Pag¨¨s, Mingyu Xu

Secretary: Xiaoyun Zhai

Supports and Sponsors

Institute of Applied Mathematics, Academy of Mathmatics and System Sciense, CAS

Key Laboratory of Random Complex Structures and Data Science, CAS

Academy of Mathmatics and System Sciense, CAS

Laboratoire de Probabilit¨¦s et Mod¨¨les Al¨¦atoires, Universit¨¦Paris VI et VII

Centre National de la Recherchede Scientifique (CNRS)

National Natural Science Fondation of China (NSFC)

Travel and Visitor's Information

l Visa

l Currency

l Hotels

l Restaurants

l Sightseeing

l Mobile Communication

l Transportation

IImportant warnings about local customs and amenities amenities

Contact to us

Ying Jiao£¨jiao@math.jussieu.fr£©£¬Mingyu Xu (xumy@amss.ac.cn)

Registration is closed since April 20th

There is no registration fee for student, however summer institute cannot support students¡¯ hotel expenses.

Here is a list of hotels near AMSS(Walking distance).

If you want to join us, please send us your name, title, department, your department, address and your contacts(email and tel).

Hotel Information

Hotels near Academy of mathematics and System Science (Walking distance)

¡¤ Wu Ke Hotel (Îï¿Æ±ö¹Ý)£º010-82649482 or 010-82649140 Fax: 010-82649491

¡¤ Ke Yuan Hotel (¿ÆÔ·¹«Ô¢)£º010-82628538

¡¤ Tian Chuang Hotel (Ìì´´±ö¹Ý)£º 010-51192066 or 51192000, Fax: 010-51192077

¡¤ Heng Xing Hotel (ºãÐËÉÌÎñ¾Æµê): 010-62629988 Fax:01062560102

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