PROGRAM OF THE CONFERENCE "ASYMPTOTIC METHODS
IN PROBABILITY AND MATHEMATICAL STATISTICS"

St-Petersburg Russia

June 24-28 1998

 

24.06, morning. PLENARY LECTURES I

POMI, Fontanka, 27

 

 

10.00 - 10.40

Ildar Ibragimov (St.Petersburg, Russia)

 

Yu.V. Linnik and his contribution into probability and statistics

 

 

10.40 - 11.40

Jonas Kubilius (Vilnius,Lithuania), Abram Zinger (St.Petersburg), Yury Prokhorov (Moscow, Russia), Joseph Romanovsky (St.Petersburg), Andrew Rukhin (Baltimore, USA), Vitautas Statulevicius (Vilnius)...

 

Reminiscences of Yu.V.Linnik

 

 

Coffee Break (20 min)

 

 

 

12.00 - 12.40

Friedrich Goetze (Bielefeld, Germany)

 

Limit Theorem for Quadratic Forms and Lattice Point Problems

 

 

12.40 - 13.20

David Mason (Newark, USA)

 

A Martingale Approach to Weighted Approximations

 

 

LUNCH (13.30 - 15.00)

 

 

 

24.06, afternoon. Sections

POMI, Fontanka, 27

 

 

A. LIMIT THEOREMS

 

 

15.00 - 15.20

Aldona Aleskeviciene, Vitautas Statulevicius and K.Padvelskis (Vilnius,Lithuania)

 

Development of Linnik's works in the investigation of the probabilities of large deviations

 

 

15.20 - 15.40

Sergey Nagaev (Novosibirsk, Russia)

 

Lower bounds in large deviation probabilities for sums of independent random variables.

 

 

15.40 - 16.00

Leonid Rozovsky (St.Petersburg, Russia)

 

On a lower bound for large deviation probabilities of sum of independent random variables with finite variances

 

 

Small Coffee Break (10 min)

 

 

 

16.10 -16.30

Alexander Tikhomirov and Olga Maltseva (Syktyvkar, Russia)

 

On the rate of convergence in the Central Limit Theorem for quadratic forms in weakly dependent random variables

 

 

16.30 - 16.50

Alexander Sakhanenko (Surgut, Russia)

 

On the accuracy of the Wiener and Poisson approximations for renewal processes

 

 

16.50 - 17.10

Andrey Zaitsev (St.Petersburg, Russia)

 

A multidimensional version of the result of A. I. Sakhanenko in the invariance principle for vectors with finite exponential moments

 

 

Small Coffee Break (10 min)

 

 

 

17.20 - 17.40

Andrei Frolov and Alexander Martikainen (St.Petersburg, Russia)

 

On asymptotics of the length of the longest increasing run in Rd.

 

 

17.40 - 18.00

Yuri Borovskikh (St.Petersburg, Russia)

 

Sharp estimates of the rate of convergence for U-statistical sums

 

 

B. STATISTICS

 

 

15.00 -15.20

Vladimir Bening and Dmitri Chibisov (Moscow, Russia)

 

Higher order asymptotic optimality in testing problems with nuisance parameters

 

 

15.20 - 15.40

Alexander Gushchin (Moscow, Russia) and

 

Esco Valkeila (Helsinki, Finland) On Convergence to Exponential-Type Statistical Models

 

 

15.40 - 16.00

Yakov Nikitin and Anna Tchirina (St.Petersburg, Russia)

 

Tests of exponentiality based on characterizations and their efficiencies

 

 

Small Coffee Break (10 min)

 

 

 

16.10 - 16.30

Joseph Romanovsky (St.Petersburg, Russia)

 

A new method to generate samples distributed uniformly on a multidimensional sphere

 

 

16.30 - 16.50

Michael Ermakov (St.Petersburg, Russia)

 

On asymptotically minimax estimation in a deconvolution problem

 

 

16.50 - 17.10

Vilijandas Bagdonavicius (Vilnius,Lithuania) and

 

Mikhail Nikulin (Bordeaux,France/Russia) Estimation in generalized multiplicative-additive regression models

 

 

Small Coffee Break (10 min)

 

 

 

17.20 - 17.40

Valentin Solev (St.Petersburg, Russia)

 

Limiting behavior of empirical processes based upon doubly censored data

 

 

17.40 - 18.00

Leo Gerville-Reache (Bordeaux,France) and Valentina Nikoulina (St.Petersburg, Russia)

 

Analysis of the accelerated life model with step stresses by the Monte Carlo method.

 

 

C. FINANCIAL, ACTUARIAL MATHEMATICS AND STOCHASTIC ANALYSIS

 

 

15.00 - 15.20

Stefan Mittnik (Kiel, Germany) and Svetlozar Rachev (Karlsruhe, Germany/Bulgaria)

 

Financial Optimization

 

 

15.20 - 15.40

Vsevolod Malinovskii (Moscow, Russia)

 

Probabilities of ruin in a collective risk model with variable safety loading

 

 

15.40 - 16.00

Oleg Rusakov (St.Petersburg, Russia)

 

On Mean Value of Profit for Option Holder

 

 

Small Coffee Break (10 min)

 

 

 

16.10 -16.30

Sergey Shorgin (Moscow , Russia)

 

Asymptotic estimates of insurance tarifs

 

 

16.30 - 16.50

Natalja Smorodina (St.Petersburg, Russia)

 

The Poisson analog of the multiple Wiener-Ito stochastic integral

 

 

16.50 - 17.10

Vladimir Vatutin (Moscow, Russia) and Anton Walkobinger (Frankfurt am Main, Germany)

 

Spatial branching populations with long individual lifetimes

 

 

Small Coffee Break (10 min)

 

 

 

17.20 - 17.40

Nikolai Hovanov (St.Petersburg, Russia)

 

Stochastic processes induced by random parameters: applications to economics

 

 

17.40 - 18.00

Oleg Kulchitski, Dmitri Kuznetsov (St-Petersburg, Russia)

 

Analytical formulae of calculating of stochastic integrals

 

 

19.30

WELCOME PARTY. EULER INSTITUTE

 

 

25.06, morning. Euler Institute.

 

 

D. RANDOM PROCESSES AND FUNCTIONAL LIMIT THEOREMS

 

 

10.00- 10.40

Youri Davydov (Lille,France/Russia) and Vladimir Egorov (St.Petersburg, Russia)

 

Functional limit theorems for induced order statistics

 

 

10.40 - 11.20

Mikhail Lifshits (St.Petersburg, Russia) and M.Weber (Strasbourg, France)

 

Spectral regularization in ergodic theory and probability

 

 

Coffee Break (20 min)

 

 

 

11.40 - 12.00

Andrey Borodin (St.Petersburg)

 

Versions of Feynman-Kac formula

 

 

12.00 - 12.20

Enzo Orsingher (Rome,Italy)

 

Conditional Laws for Sojourn Times of Processes Governed by Third and Fourth Order Heat-type Equations

 

 

12.20 - 12.40

Vladimir Piterbarg (Moscow, Russia) and Jorg Haeusler (Bern, Switzerland)

 

Large excursions of Fractal Brownian Motion with drift and related Gaussian processes

 

 

Small Coffee Break (10 min)

 

 

 

12.50 - 13.30

Werner Linde (Jena, Germany)

 

Metric Entropy and Small Ball Estimates for Gaussian Processes

 

 

13.30 - 13.50

Vladimir Sudakov (St.Petersburg) and Heinrich von Weizsaecker (Kaiserslautern, Germany)

 

Typical distributions: the infinite-dimensional approach

 

 

E. ANALYTICAL PROBLEMS IN PROBABILITY AND STATISTICS

 

 

10.00 - 10.40

Lawrence Shepp (Piscataway, USA)

 

One-dimensional covering and packing models

 

 

10.40 - 11.20

Jonas Kubilius (Vilnius, Lithuania)

 

Recent progress in probabilistic number theory

 

 

Coffee Break (20 min)

 

 

 

11.40 - 12.00

Lev Klebanov (St.Petersburg, Russia), Svetlozar Rachev (Karlsruhe, Germany/Bulgaria), Zeev Volkovich (Israel)

 

A New Representation for the Characteristic Function of \nu- Strictly-stable Vectors

 

 

12.00 - 12.20

Abram Zinger (St.Petersburg, Russia)

 

On characteristic functions of multidimensional distributions

 

 

12.20 - 12.40

Gabor Szekely (Bowling Green, USA/Hungary)

 

How to transform random variables into uncorrelated ones?

 

 

Small Coffee Break (10 min)

 

 

 

12.50 - 13.30

Vladimir Zolotarev (Moscow, Russia)

 

Some analytical problems of probability theory

 

 

LUNCH (13.50 - 15.00)

 

 

 

25.06, afternoon. Euler Institute

 

 

F. EXTREMUMS, ORDER STATISTICS AND RELATED PROBLEMS

 

 

15.00 - 15.40

Malcolm Leadbetter (Chapel Hill, USA)

 

Coordinatewise mixing for random fields and limit theory applications

 

 

15.40 - 16.00

Josef Steinebach (Marburg, Germany)

 

On the maximal excursion over runs

 

 

16.00 - 16.20

N. Balakrishnan (Hamilton,Canada) and Valery Nevzorov (St.Petersburg, Russia)

 

Maxima and records in Archimedean copula processes

 

 

Coffee Break (20 min)

 

 

 

16.40 - 17.00

George Haiman (Lille,France)

 

First passage time for some stationary processes

 

 

17.00 - 17.20

H.N. Nagaraja (Columbus, USA)

 

Inter-record times in Poisson Paced models

 

 

17.20 - 17.40

Nils Lid Hjort (Oslo, Norway)

 

Asymptotics for minimisers of convex processes

 

 

Small Coffee Break (10 min)

 

 

 

17.50 - 18.10

Ismihan Bairamov (Ankara, Turkey /Azerbaijan) and Omer Gebizlioglu (Ankara,Turkey)

 

Asymptotic distributions of statistics based on order statistics, record values and invariant confidence intervals

 

 

18.10 -18.30

Boris Rogozin (Omsk, Russia) and Michael Sgibnev (Novosibirsk, Russia)

 

Strong Subexponential Distributions

 

 

G.STATISTICS

 

 

15.00 - 15.40

Rafail Khasminskii (Detroit, USA/Russia)

 

Statistical approach to some inverse boundary problems for PDE

 

 

15.40 - 16.00

Chris Klaassen (Amsterdam, The Netherlands)

 

The information for the treatment effect in the mixed proportional hazards model vanishes

 

 

16.00 - 16.20

Alexander Tsybakov (Paris, France/Russia)

 

On asymptotically exact adaptive estimation

 

 

Coffee Break (20 min)

 

 

 

16.40 - 17.00

Silvano Fiorin (Padova, Italy)

 

Functional estimation in a Cox model for counting processes via optimization of the partial likelihood

 

 

17.00 - 17.20

Andrew Rukhin (Baltimore, USA)

 

Approximate Entropy for Testing Randomness

 

 

17.20 -17.40

Pier Luigi Conti and Mauro Scanu (Rome, Italy)

 

Data driven rule for the choice of the classes in tests of independence based on power-divergence statistics

 

 

Small Coffee Break (10 min)

 

 

 

17.50 - 18.10

Grace S. Shieh (Taipei, Taiwan), Zhidong Bai (Singapore) and Wei-Yann Tsai (New York, USA)

 

Rank tests for independence with a weighted contamination alternative

 

 

18.10 - 18.30

Radu Theodorescu (Quebec, Canada/Romania)

 

Estimation of Paretian law parameters

 

 

26.06, morning GOING OUT to St.Petersburg University in Peterhof

 

 

PLENARY LECTURES II

Department of Mathematics and Mechanics, Peterhof

 

 

11.20 - 11.30

Sergei Ermakov (St.Petersburg, Russia)

 

Welcome Speech

 

 

11.30 - 12.10

Alexander Borovkov (Novosibirsk, Russia)

 

Limit theorems for multidimensional boundary crossing problems

 

 

Small Break (10 min)

 

 

 

12.20 - 13.00

Anatoli Skorohod (East Lansing, USA/ Kyiv, Ukraine)

 

Asymptotic analysis of randomly perturbed systems

 

 

LUNCH (13.00 - 14.30)

 

 

 

EXCURSION TO THE PETERHOF PALACES AND PARK

 

 

27.06, morning. EULER Institute

 

 

H. ASYMPTOTIC PROBLEMS IN PROBABILITY AND STATISTICS

 

 

10.00 - 10.40

Manfred Denker (Goettingen, Germany)

 

Non Gaussian local limit theorems

 

 

10.40 - 11.00

Mikhail Gordin (St.Petersburg, Russia)

 

Probabilistic extensions of dynamical systems and their applications

 

 

11.00 - 11.20

Jochem Mijnheer (Leiden, The Netherlands)

 

The asymptotic distribution of a sequential estimator for the parameter in AR(1) model with stable errors

 

 

Coffee Break (20 min)

 

 

 

11.40 - 12.00

Alexander Nagaev (Torun,Poland/ Uzbekistan)

 

On Consistent Estimation of Convex Level Surfaces

 

 

12.00 - 12.20

Sonia Petrone (Pavia, Italy)

 

On consistency of the Bernstein polynomial prior

 

 

12.20 - 12.40

Gerd Christoph (Magdeburg, Germany)

 

Generalized discrete Linnik distributions

 

 

12.40 - 13.00

Sergey Ananievskii (St.Petersburg, Russia)

 

 

 

 

I.STOCHASTIC PROCESSES AND RELATED QUESTIONS

 

 

10.00 - 10.20

Heinrich von Weizsaecker (Kaiserslautern, Germany)

 

Identifying a graph from its random walk

 

 

10.20 - 10.40

Yana Belopolskaya (St.Petersburg, Russia)

 

Invariant measures for diffusion processes in Hilbert space and time reversal

 

 

10.40 - 11.00

Vladimir Lebedev (Moscow, Russia)

 

On the existence of weak solutions for stochastic differential equations with driving L2-valued measures

 

 

11.00 - 11.20

Tahir Khaniev, I.Aliev (Baku, Azerbaijan/ Turkey) and Ihsan Unver (Trabzon, Turkey)

 

Additive functionals and certain probability characteristics of ergodic distributions of a semi-markovian random walk in a strip.

 

 

Coffee Break (20 min)

 

 

 

11.40 - 12.00

Boris Harlamov (St.Petersburg, Russia)

 

Asymptotic results in inverse first exit problem for Wiener process

 

 

12.00 - 12.40

Vladimir Korolyuk (Kyiv, Ukraine)

 

Problems of Singular Perturbations in Analysis of Stochastic Systems Invariant measures of diffusion processes in Hilbert space and time reversal

 

 

12.40 - 13.00

Nail Bakirov (Ufa, Russia)

 

On asymptotics in a boundary problem

 

 

J. POSTER SECTION

(27.06. 13.00 - 14.00, Euler Institute)

 

Fazil Aliev (Baku, Azerbaijan/ Turkey)

Characterization of Geometric Distribution Through Weak Records.

 

Natalia Amosova (St.Petersburg, Russia)

Necessity of Statulevicius condition in limit theorem on probabilities of large deviations

 

Abderrezak Azzuz and Eduard Kudlaev (Moscow, Russia)

A similar FRECHET-RAO-CRAMER inequality in the estimation of the multivariate informative parameter by dependent observations making the decomposable statistics scheme

 

Alexey Baushev (St.Petersburg, Russia)

On weak convergence of probability measures

 

Ekaterina Buzlaeva and Valery Nevzorov (St. Petersburg, Russia)

A new characterization by a property of record times

 

Vladimir Chebotarev and Anatoly Zolotukhin (Khabarovsk, Russia)

The comparison of the Edgeworth and Bergstrom expansions

 

Svetlana Ekisheva (Syktyvkar, Russia)

The Bahadur representation of sample quantiles for stochastic associated sequences

 

Nadezda Gribkova (St.Petersburg, Russia)

On Bootstrap L-statistics

 

Tahir Khaniev, T.I.Nasirova (Baku, Azerbaijan/ Turkey) and Cemil Yapar (Trabzon, Turkey)

A study of some stationary characteristics in the model (s,S)

 

Irina Kozhevnikova (Moscow, Russia)

Approximation of self-similar processes with parameter H

 

Victor Korolev (Moscow, Russia)

Limit theorems for extremes of generalized Cox processes with applications

 

Dmitri Kuznetsov (St.Petersburg, Russia)

Method of expansion and approximation of multiple stochastic Stratonovich integral, which is based on multiple Fourier series on full orthonormal systems

 

Sergey Malov (St.Petersburg, Russia)

Some remarks on copulas

 

Anatoli Manita (Moscow, Russia)

Long time behavior of multi-particle Markovian models

 

Elena Martynova (St.Petersburg, Russia)

Local time for Markov process defined on a tree with one branching point

 

Alexey Nikulin (St.Petersburg, Russia)

Approximation of infinitely-dimensional integrals with Gaussian measure

 

Evgeniy Ponikarov and Yakov Nikitin (St.Petersburg, Russia)

On Chernoff type large deviations for U- and V-statistics

 

Alexander Safronov (St.Petersburg, Russia)

Parking problem for intervals with random length

 

Eugene Spodarev (Moscow, Russia)

Ergodicity of a continuous polling model

 

Elena Tolkatcheva (St.Petersburg, Russia)

Ruin Probabilities in Crisis Situations

 

Ekaterina Zukova (St.Petersburg, Russia)

The Iterated Logarithm Law for increasing permutation of a Gaussian process

 

LUNCH (14.00 - 15.00)

 

27.06, afternoon. EULER INSTITUTE

 

K. APPLIED PROBABILITY AND STATISTICS.

 

 

15.00 - 15.40

Sergey Ermakov (St.Petersburg, Russia)

 

 

15.40 - 16.00

Vadim Serdobolskii (Moscow, Russia)

 

Principle part of the quadratic risk for a class of essentially multivariate regressions

 

 

16.00 - 16.20

Alexander Orlov (Moscow, Russia)

 

About development of statistics of the interval data

 

 

Coffee Break (20 min)

 

 

 

16.40 - 17.00

Vladimir Nekrutkin (St.Petersburg, Russia)

 

Nanbu Particle Systems and Boltzmann-like Equations

 

 

17.20 - 17.40

Irina Niedecker and E.E.Brodezkaya (Moscow, Russia)

 

To question about the non-correct application of the spectral analysis in the medical diagnostic apparatus

 

 

17.40 - 18.00

Tatjana Tovstik (St.Petersburg, Russia)

 

On the parametric estimation of the cross correlation function

 

 

18.00 - 18.20

Elena Yenina (Voronezh, Russia)

 

The accuracy of approximation of Bayes estimates of many-dimensional Gauss's random process parameters

 

 

CLOSING of the CONFERENCE

 

CONFERENCE DINNER. Euler Institute 19.30

 

28.06, morning. EULER Institute

 

10.00 - 14.00 ROUND TABLES (for interested persons)

 

28.06, afternoon. Free time and departure