The Science Park Informal Probability Meetings

The Science Park Informal Probability (SPIP) meetings...

The Science Park Informal Probability (SPIP)  meetings is a seminar for all people interested in probability theoretical topics and related fields. The SPIP was created some years ago by a group of PhD candidates from the KdVI and the CWI, both institutes are located at the science park, to have a joint seminar that takes place on a regularly basis and where one can talk in an informal way about all subjects related to stochastics, statistics or machine learning. We want to keep this spirit of the seminar and invite all fellow stochastic enthusiasts to join us in our seminar on the science park.

Upcoming talks


Previous talks

 Date: Wednesday, 06/10, 16:00-17:00

Speaker: Emma Horton ( Chargé de Recherche at Bordeaux university, Guest of Michel Mandjes at the KdVI)
Title: Asymptotic behaviour of branching piecewise deterministic Markov processes
Abstract: Branching piecewise deterministic Markov processes (PDMPs) can be used to model a range of real-world processes such as neutron transport, cell division and protein polymerisation. Thus, it is crucial to understand their long-term behaviour. In this talk, I will introduce a general class of branching PDMPs in a bounded domain and show that under mild assumptions, a Perron Frobenius type result holds for the average of the process. That is, I will prove the existence of the leading eigenvalue and corresponding eigenfunctions of the linear semigroup, and show that they characterise the asymptotic macroscopic behaviour of the system. I will also discuss a new simulation technique based on population control methods that can be used to estimate these quantities.


Date: Thursday, 23/09, 15:00-16:00

Speaker: Martin Friesen (from Dublin City University)
Title: Ergodicity of affine processes in finite and infinite dimensions
Chair/wo/man: Sven

Abstract: A Markov process whose log-characteristic function is affine in the initial state of the process is called affine process. A remarkable feature is that its log-characteristic function can actually be expressed in terms of a solution to a generalized Riccati equation with a characteristic exponent of a Levy process as the right-hand side of the equation. Such property is satisfied by several interesting classes of Markov processes such as Ornstein-Uhlenbeck processes, continuous-state branching processes with immigration, and Dawson-Watanabe superprocesses. In this talk, we study limiting distributions, invariant measures, and ergodicity for affine processes on finite and infinite-dimensional state spaces. Our methods are either based on the study of the corresponding generalized Riccati equation or on a pathwise representation of affine processes in terms of solutions to stochastic differential equations. Extensions of the results to affine Volterra processes are also discussed at the end of the talk.