Seminar archive

An archive of the probability seminar series I organised or co-organised at Bath between 2006 and 2013. For current seminars, see the Prob-L@b seminar page. Speakers are from Bath unless an affiliation is given.

Informal Probability Seminars

The department's informal probability seminar; later renamed the Prob-L@b Seminar.

Spring 2010

17/2/10 Mathew Penrose — Covariance bounds and chaos expansion over Poisson spaces
3/3/10 Antal Járai — Zero dissipation limit in the Abelian sandpile model
10/3/10 Alexander Cox — Time-Homogeneous Diffusions with a Given Marginal at a Random Time
17/3/10 Gregorio Moreno (Paris) — Asymmetric directed polymers in random environments
24/3/10 Daniel Gentner (Karlsruher Institut für Technologie) — Inspecting partially stationary models of Stochastic Geometry: Theory and applications
14/4/10 Wolfgang König (Berlin) — Phase transitions for dilute particle systems with Lennard-Jones potential
21/4/10 Gabriel Faraud (Paris XIII) — Random walk in random environment, the case of trees
28/4/10 Christian Mönch — Dynamical Random Graphs with Sublinear Preferential Attachment
4/5/10 Tom Kurtz (Madison-Wisconsin) — Weak convergence and large deviation theory
19/5/10 Robert Knobloch — One-sided FKPP travelling waves for fragmentation processes
26/5/10 Jiajie Wang — Root's Barriers and Partial Differential Equations: Construction and Optimality
2/6/10 Andreas Kyprianou — The prolific backbone for a super-diffusion
21/6/10 Hermann Thorisson (University of Iceland) — Mass-stationarity through the Cox process
15/7/10 Narn-Rueih Shieh (National Taiwan University) — The Exponential Stationary Processes

Spring 2009

28/1/09 Pavel Gapeev (LSE) — Perpetual American options in models with default risk and random dividends
4/2/09 Parkpoom Phetpradap — Large deviations for the range of a simple random walk
12/2/09 Wolfgang König (Leipzig) — A Variational Formula for the Free Energy of a Many-Boson System
18/2/09 Mladen Savov (Paris VI) — Right Inverses for Levy Processes
25/2/09 Vitali Wachtel (Munich) — Heavy-traffic analysis of the maximum of an asymptotically stable random walk
4/3/09 Stanislav Volkov (Bristol) — Going through a passport control with wife, or sequential adsorption at extremes.
11/3/09 Mathew Penrose — Normal approximation for an allocation model
18/3/09 Matthias Winkel (Oxford) — A new family of Markov branching trees: the alpha-gamma model
8/4/09 Günter Last (Karlsruhe) — Compound Poisson asymptotics for level crossings of piecewise deterministic Markov processes
29/4/09 Manfred Salmhofer (Heidelberg) — Diffusion of a quantum particle in a random environment
6/5/09 Pierre Tarrès (Oxford) — Brownian polymers
13/5/09 Frank Aurzada (TU Berlin) — Small deviations of general Lévy processes
20/5/09 Tom Rosoman — Critical probabilities in continuum percolation
27/5/09 Marcel Ortgiese — Ageing in the parabolic Anderson model

Autumn 2008

8/10/08 Ron Doney (Manchester) — Convergence of local times of Levy processes
15/10/08 Peter Mörters — Two remarks on a paper by Kallenberg
29/10/08 Vadim Shcherbakov — Stability of a growth process generated by cooperative sequential adsorption
5/11/08 Andreas Kyprianou — Refracted Lévy processes
12/11/08 Nikolai Leonenko (Cardiff) — Multifractality of products of geometric Ornstein-Uhlenbeck type processes
19/11/08 Hubert Lacoin (Paris) — Directed random polymer on a diamond lattice.
3/12/08 Juan Carlos Pardo Millan — Exact and asymptotic n-tuple laws at first and last passage
10/12/08 Jochen Voss (Warwick) — An SPDE-based Sampling Method

Spring 2008

18/1/08 Max von Renesse (TU Berlin) — Particle Approximation of the Wasserstein Diffusion
8/2/08 Olivier Zindy(WIAS) — Aging for random walks in random environment in the sub-ballistic regime
13/2/08 Pierre Patie (Bern) — Law of the exponential functional of a family of one-sided Lévy processes.
20/2/08 Peter Mörters — The local time of additive Levy processes in supercritical dimensions
26/2/08 Markus Heydenreich (TU/e) — Long-range percolation
27/2/08 Marcel Ortgiese — Small value probabilities via the branching tree heuristic
10/3/08 Nikos Zygouras (USC) — Pinning-depinning transition in Random Polymers (abstract)
12/3/08 Janos Englander — An interacting spatial branching model - work in progress
28/3/08 Jean Bertoin (Paris VI) — The structure of the allelic partition for Galton-Watson processes with neutral mutations
9/4/08 Julien Berestycki (Paris VI) — Kingman coalescent and Brownian excursion : some classical results revisited with an application to the multifractal spectrum of Kingman's coalecsent
16/4/08 Loïc Chaumont (Angers) — Reflection principle and Ocone martingales
23/4/08 Stanislav Volkov — Random walks with time and space dependent drifts
30/4/08 Mathew Penrose — Normal approximation in stochastic geometry via size-biased couplings
14/5/08 Simon Harris — Inhomogenous branching Brownian motion : the perils of a quadratic potential
21/5/08 Vadim Shcherbakov — On a simple growth model
16/6/08 Ben Kaehler — Pricing American Rainbow Options and Multivariate Variance Gamma Processes

Autumn 2007

10/10/07 Zaeem Burq (Melbourne) — One-dimensional Brownian motion crossing non-smooth curves
17/10/07 Victor Rivero — On the asymptotic behaviour of increasing self-similar Markov processes.
24/10/07 Steffen Dereich — Random networks with concave preferentia attachment rule: Degree evolutions
31/10/07 Peter Mörters — A tale of two cities: the parabolic Anderson model with heavy-tailed potential
7/11/07 Tobias Mueller (EURANDOM/Technische Universiteit Eindhoven) — Two-point concentration in random geometric graphs
21/11/07 Alex Cox — Optimal Skorokhod Embeddings: extremal range probabilities
5/12/07 Ronnie Loeffen — On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Levy processes
12/12/07 Robert Knobloch — Uniform conditional ergodicity and intrinsic ultracontractivity
19/12/07 Renming Song (Illinois) — Boundary Harnack principle for subordinate Brownian motions

Spring 2007

10/1/07 Erik Baurdoux — The McKean stochastic game driven by a spectrally negative Lévy process.
17/1/07 Loic Chaumont (Paris 6) — On the genealogy of conditioned stable Lévy forests
31/1/07 Alex Cox — Pathwise inequalities of the local time: applications to Skorokhod embeddings and optimal stopping
7/2/07 Peter Mörters — Upper tails for intersection local times of random walks in supercritical dimensions
21/2/07 Juan Carlos Pardo — Weak convergence of positive self-similar Markov processes and time-reversal properties
7/3/07 Simon Harris — Branching Brownian motion in a quadratic potential
14/3/07 Akira Sakai — Critical behavior for long-range oriented percolation
21/3/07 Søren Asmussen (Aarhus) — RESTART: Tail Probabilities for a Computer Reliability Problem
2/5/07 Nadia Sidorova — Parabolic Anderson model: Localisation of mass in random media
9/5/07 Marcel Ortgiese — Directed polymers in random environment
16/5/07 Nadia Sidorova — Introduction to Rough Paths
16/5/07 Steffen Dereich — A support theorem and a LDP for flows generated by Kunita SDEs via rough path analysis
23/5/07 Julien Berestycki (Provence) — The speed of coalescence
29/6/07 Jochen Blath (Berlin) — Λ -coalescents in population genetics: Are they really out there?
13/7/07 Robin Pemantle (Pennsylvania) — The best path in a tree is hard to find

Autumn 2006

18/10/06 Alex Cox — Skorokhod Embeddings, Potential Theory and Option Pricing
25/10/06 Ross Maller (ANU) — Behaviour of Levy Processes at Zero
1/11/06 Karsten Matthies — Random initial data for a hard-sphere gas and longtime validity of the Boltzmann equation
8/11/06 Zbigniew Palmowski (Utrecht) — On the optimal dividend problem for a spectrally negative Levy process
15/11/06 Vadim Schcherbakov — On asymptotic study of cooperative sequential adsorption models and stability of related growth processes
22/11/06 Gregory Miermont (Paris Sud) — Discrete Fragmentation Trees and their Continuum Asymptotics
29/11/06 Andreas Kyprianou — Distributional study of de Finetti's dividend problem for spectrally negative Lévy processes
6/12/06 Adam Kinnison — Multifractal Spectrum of Harmonic Measure for a Simple Forward Random Walk on Galton Watson Trees
13/12/06 Mark Owen (Heriot-Watt) — Utility-Based Methods for Derivative Asset Pricing

Probability and Statistics Seminars

Autumn 2007

16/11/07 Peter Jupp (St Andrews) — Estimation of population size: conditioning has negligible effect
23/11/07 Klaus Ritter (Darmstadt) — Quadrature of Lipschitz Functionals and Approximation of Distributions
30/11/07 Ayalvadi Ganesh (Bristol) — Threshold phenomena for epidemics on graphs
14/12/07 David Croydon (Warwick) — The scaling limit of the random walks on a class of random graph trees

Spring 2007

2/2/07 Takis Konstantopoulos (Heriot-Watt) — RESCHEDULED
16/2/07 James Norris (Cambridge) — Stochastic integrals in the plane, and applications
23/2/07 Nuala Sheehan (Leicester) — RESCHEDULED
2/3/07 William Browne (Nottingham) — Using complex random effect models in epidemiology and ecology
16/3/07 Goran Peskir (Manchester) — The law of the supremum of a stable Lévy process (abstract)
23/3/07 Takis Konstantopoulos (Heriot-Watt) — Stationary flows and uniqueness of invariant measures
30/3/07 Günter Last (Karlsruhe) — On Poisson Voronoi tessellations
20/4/07 Jeremy Taylor (Michigan) — Survival Analysis Using Auxiliary Variables via Multiple Imputation,
27/4/07 Ian Dryden (Nottingham) — Face shape identification: how different are we?
10/5/07 Len Thomas (St Andrews) — [Joint Seminar with CMB] Sequential Monte Carlo Methods to Fit Models of Wildlife Population Dynamics

Autumn 2006

6/10/06 Julian Faraway (Bath) — Statistics for Human Motion Modeling
27/10/06 Ales Cerny (CASS) — On the Martingale Properties of Good-Deal Price Bounds
10/11/06 Sujit Sahu (Southampton) — High Resolution Space-Time Ozone Modeling for Assessing Trends
24/11/06 Oliver Johnson (Bristol) — Maximum entropy and Poisson approximation
8/12/06 Dankmar Boehning (Reading) — Nonparametric estimation of population size in closed capture-recapture experiments in continuous time
15/12/06 David Mason (Delaware) — CANCELLED

Prob-L@b Seminars

The Prob-L@b seminar, continuing the Informal Probability Seminar.

Spring 2013

4/2/13 Martin Forde (King's College, London) — Model-independent bounds for general path dependent options - a convex duality approach
11/2/13 Tiziano De Angelis (Manchester) — Optimal stopping of a Hilbert space valued diffusion and applications to finance
18/2/13 Stefan Grosskinsky (Warwick) — Dynamics of condensation in inclusion processes
25/2/13 Dafydd Evans (Cardiff) — Fast anomaly detection in spatial point processes
4/3/12 Johannes Ruf (Oxford) — Nonnegative local martingales, Novikov's and Kazamaki's criteria, and the distribution of explosion times
11/3/13 Antal Jarai — Electrical resistance of the low-dimensional critical branching random walk
20/3/13 Charles Bordenave (Toulouse) — Spectrum of Markov generators on sparse random graphs
8/4/13 Tim Rogers — Demographic noise leads to the spontaneous formation of species
15/4/13 David Applebaum (Sheffield) — Brownian motion, martingale transforms and Fourier multipliers on Lie groups.
22/4/13 Dafydd Evans (Cardiff) — Fast anomaly detection in spatial point processes
29/4/13 Yan Fyodorov (Queen Mary, London) — Fluctuations and extreme values in multifractal patterns
13/5/13 Denis Denisov (Manchester) — Tail behaviour of stationary distribution for Markov chains with asymptotically zero drift
20/5/13 Peter Mörters — Emergence of condensation in models of selection and mutation

Autumn 2012

8/10/12 Peter Mörters — Clustering in spatial preferential attachment networks
15/10/12 Martin Klimmek (Oxford) — From inverse optimal stopping to BLJ embeddings
22/10/12 Maren Eckhoff — Surviving near criticality in a preferential attachment network
29/10/12 Matt Roberts (Warwick) — Intermittency in branching random walk in random environment
5/11/12 Edward Crane (Bristol) — Antichains in random partial orders
19/11/12 Stefan Adams (Warwick) — Random Field of Gradients
26/11/12 Jesse Goodman (Leiden) — The gaps left by Brownian motion on a torus
3/12/12 Bálint Tóth (Bristol) — Diffusivity of random walk in divergence free drift field in 2d
10/12/12 Tony Shardlow — Pathwise approximation of SDEs and adaptive time stepping
14/1/13 Stefan Adams (Warwick) — Random Field of Gradients

Spring 2012

9/1/12 Malwina Luczak (Sheffield) — The supermarket model with arrival rate tending to 1
30/1/12 Mathew Penrose — Connectivity of \(G(n,r,p)\)
6/2/12 Martin Barlow (UBC) — The uniform spanning tree in two dimensions
13/2/12 Antal Jarai — Minimal configurations and sandpile measures
20/2/12 Emmanuel Jacob (Paris VI) — Second order reflections of the integrated Brownian motion
27/1/12 Nathalie Eisenbaum (Paris VI) — Characterization of positively correlated squared Gaussian processes
5/3/12 Stephan Luckhaus (Leipzig) — Gibbs Gradient Young measures, a stochastic version of twoscale convergence in nonlinear elasticity
12/3/12 Vitali Wachtel (LMU, Munich) — Random walks in cones
19/3/12 Christian Mönch — Sublogarithmic distances in preferential attachment networks
26/3/12 Max von Renesse (LMU, Munich) — Hamiltonian Mechanics on Wasserstein Space and Quantum Fluid Models
16/4/12 Richard Cowan (Sydney) — A topological identity for the convex hulls of \(n\) arbitrary points in \(\mathbb{R}^d\) - and its role in the study of convex hulls of random points
21/5/12 Rafał Łochowski (Warsaw School of Economics) — Truncated variation of a stochastic process - its optimality for processes with cadlag trajectories and its characterisations for semimartingales, diffusions and Wiener process.
28/5/12 Christoph Höggerl — Model-independent no-arbitrage conditions for American Put options
13/6/12 Stavros Vakeroudis (Manchester) — Windings of planar processes
2/7/12 Peter Windridge — The SIR process on random graphs with given degree sequences

Autumn 2011

17/10/11 Mohammud Foondun (Loughborough) — Stochastic heat equation with spatially coloured random forcing
24/10/11 Sergey Nadtochiy (Oxford) — Static hedging of barrier options: exact solutions and semi-robust extensions
31/10/11 Jozsef Lorinczi (Loughborough) — Spectral Properties of some Non-Local Operators through Stochastic Methods
7/11/11 Alex Mijatović (Warwick) — Limit Distributions of Continuous-State Branching Processes with Immigration
14/11/11 Peter Mörters — Shifting Brownian motion
18/11/11 Louigi Addario-Berry (McGill University) — Cutting down trees with a Markov chainsaw
28/11/11 Marion Hesse — Branching Brownian motion in a strip: Survival near criticality
5/12/11 Alex Watson — Censored stable processes
12/12/11 Perla Sousi (Cambridge) — The effect of drift on the volume of the Wiener sausage and the dimension of the Brownian path
14/12/11 Amandine Veber (CMAP, École Polytechnique) — Large-scale behaviour of the spatial Lambda-Fleming-Viot process

Spring 2011

9/2/11 Ben Hambly (Oxford) — Spectral properties and random walk on the critical random graph
16/2/11 Markus Riedle (Manchester) — Cylindrical Lévy processes in Banach spaces
23/2/11 Peter Mörters — Distances in ultrasmall random networks
1/3/11 Ron Doney (Manchester) — First passage times for random walks and Lévy processes
9/3/11 Daisuke Shiraishi (Kyoto) — Random walks on the random walk trace
23/3/11 Martin Kolb (Oxford) — Spectral Analysis of Diffusions with Jump Boundary
29/3/11 Pierre Patie (Université Libre de Bruxelles) — Exponential Functional of Lévy Processes
30/3/11 Curdin Ott — Russian Options with a Cap
6/4/11 Yogeshwaran Dhandapani (École Normale Supérieure) — Percolation and directionally convex ordering of point processes.
4/5/11 Albert Ferreiro-Castilla (Barcelona) — Inversion of analytic characteristic functions and infinite convolutions of exponentials
11/5/11 Xiong Jin(St Andrews) — Dimension result for two-dimensional multiplicative cascade processes
12/5/11 Günter Last (Karlsruhe) — Minicourse I: Point processes and random measures
13/5/11 Günter Last (Karlsruhe) — Minicourse II: Random Tesselations
18/5/11 Günter Last (Karlsruhe) — Minicourse III: Random partitions and balanced invariant transports
18/5/11 Thomas Dusquene (Paris VI) — General Growth processes of trees
19/5/11 Günter Last (Karlsruhe) — Minicourse V: Percolation on planar tessellations
25/5/11 Neil O'Connell (Warwick) — Generalizations of Pitman's 2M-X theorem and their applications
8/6/11 Sergey Bocharov — Branching Brownian Motion with branching at the origin
14/6/11 Elie Aidekon (TU Eindhoven) — The extremal process of the branching Brownian motion
15/6/11 Samuel Cohen (Oxford) — Nonlinear expectations and BSDEs in general probability spaces
6/7/11 Piotr Milos (Warsaw) — CLT for an Ornstein-Uhlenbeck branching system

Autumn 2010

6/10/10 Jon Warren (Warwick) — The maximum of Dyson's Brownian motions
13/10/10 Valentina Cammarota (Sapienza, Rome) — Pseudo-Processes: Joint Distribution of the Process and its Sojourn Time
20/10/10 Mathew Penrose — Percolation and limit theory for the Poisson lilypond model
17/11/10 Mark Peletier — Gradient flows and large-deviation principles
8/12/10 Andreas Kyprianou — A Ciesielski-Taylor type identity for positive self-similar Markov processes

Informal Statistics (CAKE) Seminars

Autumn 2006

19/10/06 Simon Wood — Penalized Likelihood in General
2/11/06 Elisa Loza Reyes — A mixture model accounting for evolutionary pattern heterogeneity