3rd Ankara-Istanbul Workshop on Stochastic Processes ( 06

3rd Ankara-Istanbul Workshop on Stochastic Processes ( 06

3rd Ankara-Istanbul Workshop on Stochastic Processes ( 06-34 SP 2016)
Day I : Thursday, 16 June 2016
08:45 – 09:00 Opening
09:00 – 09:45 Talk I : Gerhard Wilhelm Weber, METU
“Stochastic Optimal Control of Hybrid Systems Under Regime Switches and
Impulsiveness in Finance, Economics and Nature”
Chair : C.Vardar Acar, METU
10:00 – 10:15 Coffee Break
10:15 – 11:00 Talk II : Sinan Yıldırım, Sabancı University
“On the Use of Penalty MCMC for Differential Privacy”
11:15 – 12:00 Talk III : Mine Çağlar, Koç University
“Coalescing Flow Solution of an SDE with Correlated Brownian Motions”
Chair : S.Kestel, METU
12:15 – 14:00 Lunch
14:00 – 14:45 Talk IV : Çağın Ararat, Bilkent University
“Systemic Risk Measures via Convex Duality”
15:00 – 15:45 Talk V : Tahir Khaniyev, TOBB University of Economics and Technology
“Yansıtan Bariyerli Stokastic Süreçler için Asimtotik Analiz”
Chair : D.Sezer, METU
16:00 – 18:30 Poster Session & Cocktail *
Anıl Gülveren, METU
“Defined Contribution (DC) Pension Fund Modeling Using CPPI Strategy Under Exotic
Option and Discrete Time Setting”
Etkin Hasgül, METU
“A Useful Dependence Structure for Solvency Capital Requirements using Copulas”
Bülent Alper İnkaya, METU & EnerjiSA Trading Company
“Multi-scale Behaviour of Financial Asset Prices”
Deniz Kenan Kılıç, METU
“Multiresolution Analysis of S&P500 Time Series”
Sevim Ölmez, METU
“Examination and Parameter Estimation of Single Species Population Models in
presence of Randomness and Delay”
Day II: Friday, 17 June 2016
09:00 – 09:45 Talk VI : Hans Frenk, Sabancı University
“The Impact of Price Policies and Arrival Rates on the Optimal Time to Exit the Market
and the Optimal Replenishment Order for a Fashionable Product with a Short Life
Span”
Chair : G.W.Weber, METU
10:00 – 10:15 Coffee Break
10:15 – 11:00 Talk VII : Atilla Yılmaz, Koç University
“Large Deviations for Random Walk in Space-Time Random Environment: Averaged
vs. Quenched”
11:15 – 12:00 Talk VIII : Devin Sezer, METU
“Solution of a Semilinear Parabolic PDE with Singular Boundary Values”
Chair : M.Çağlar, Koç University
12:15 – 14:00 Lunch
14:00 – 14:45 Talk IX : Serdar Altok, Boğaziçi University
“Leaf Related Statistics on Uniform Recursive Trees”
15:00 – 15:45 Talk X : Mehmet Öz, Özyeğin University
“On the Optimal Survival Strategy of Branching Brownian Motion in a Random Trap
Field”
Chair : A.Yılmaz, Koç University
16:00 – 16:15 Coffee Break
16:15 – 17:00 Talk XI : Semih Onur Sezer , Sabancı Universty
“Optimal Dynamic Bidding for Multiple Keywords in Search Based Advertising”
Chair : Y.Yolcu Okur, METU
17:15 – 17:30 Closing
*The Cocktail and Poster Sessions will be at IAM (S-Building).