12th German Probability and Statistics Days Stochastiktage Bochum [March 1 – 4, 2016]

Programme -Universität Bochum March 1 – 4, 2016 2016 March 1 – 4 | Bochum, AUDIMAX | EXHIBITIONPLAN CONTENT

Welcome 2 Organizer 3 General Information 4 poster: 7 1 – 14 Plenary Speakers and Sections Programme Overviews

w Tuesday | March 1, 2016 8 a r d r o b 15 – 27 Wednesday | March 2, 2016 10 e entrance Thursday | March 3, 2016 12 Friday | March 4, 2016 14 Audimax registration Programme 5 Tuesday | March 1, 2016 16 4 Poster Exhibition 22 3 entrance Wednesday | March 2, 2016 24 2 Lehrernachmittag 35 1 catering Thursday | March 3, 2016 36 Friday | March 4, 2016 46 List of Participants 50 Sponsors 64 Rooms 65

1 Cambridge Press 2 DE GRUYTER 3 Elsevier BV 4 Numerical Algorithms Group Ltd 5 Springer-Verlag GmbH

1 2016 March 1 – 4 | Bochum, Germany WELCOME ORGANIZER The conference German Probability and Statistics Days 2016 is organized joint- PROGRAMME COMMITTEE ly by the Ruhr-University Bochum and the Stochastics Section of the German Herold Dehling (Bochum) Mathematical Society (DMV). GPSD 2016 is already the 12th conference in a Holger Dette (Bochum) series that was initiated in 1993 in . Since then, the GPSD has become Peter Eichelsbacher (Bochum, Chair) one of the major conferences in the area of Probability Theory and Mathemati- Vicky Fasen () cal Statistics in . This year, we expect 550 participants, 360 talks, and 30 Hajo Holzmann (Marburg) poster presentations, covering a wide spectrum of topics ranging from stoch- Christof Külske (Bochum) astic analysis to applications of probability and statistics in science and industry. Angelika Rohde (Bochum) The Ruhr-University Bochum, host of GPSD 2016, is located in the heart of the Thorsten Schmidt (Freiburg) metropolitan Ruhr area. Once known for its mining and industry, the Evgeny Spodarev () Ruhr area is now one of the most dynamic regions in Germany with 5 million residents, and with three major research oriented that together have over 100.000 students. Excellent research in probability and statistics is carried out at all three universities, with the Collaborative Research Center SFB LOCAL ORGANIZING COMMITTEE 823 and the Research Training Group RTG 2131 being the most visible centers Herold Dehling (Chair) for collaborative research and training of graduate students. Holger Dette We are grateful to our sponsors whose generous financial support has made Peter Eichelsbacher GPSD 2016 possible. We received support from the German Science Foun- Sabine Jansen dation (DFG), the Ruhr-University Bochum, the SFB 823 and the RTG 2131, Christof Külske as well as from our commercial sponsors Elsevier Science, Springer Verlag, Angelika Rohde De Gruyter Verlag, Cambridge University Press and NAG. We also thank the Christoph Thäle Eventlab for their excellent organizational support, as well as our students and staff members for their help in running the conference. We hope you will enjoy the scientific programme, and take the chance to exch- ange ideas with colleagues from all over the world. Welcome to GPSD 2016 CONFERENCE OFFICE and to the Ruhr-University Bochum. event lab. GmbH Dufourstraße 15 04107 Herold Dehling Chair of the Local Organizing Committee Phone: 0341 24059675 Phone on site : 0162 4332083 Email: [email protected]

2 3 2016 March 1 – 4 | Bochum, Germany GENERAL INFORMATION CONFERENCE VENUE TECHNICAL FACILITIES / SPEAKERS PREVIEW Ruhr-Universität Bochum All lecture rooms are equipped with laptop/data projectors and with black- Audimax & HZO boards. The files (preferably on a flash drive in PDF format) should be handed 44780 Bochum over to the technical support in your lecture hall no later than 20 minutes before the session starts.  You’ll find a campus map at the back cover.

All plenary lectures take place in the Audimax (see details at the campus map at the cover page). WARDROBE The exhibition area and the registration desk can be found in the foyer of the Please use the wardrobe in the foyer of the Audimax. Audimax. Please note that the wardrobe will not be guarded, and that we cannot assume All other lectures take place in the HZO and in the NA building. responsibility in case of loss or theft.

PARTICIPATION IN THE TALKS LUNCH & COFFEE BREAKS All participants can take part in any of the presentations, including the plenary You can have lunch at the main cafeteria ("Mensa / Dining Hall") or find snacks talks, the talks given in sections 1–12 and the "Lehrernachmittag". at the ­Campus Center. A contributed talk time slot of 30 min includes 20 min for the talk, 5 min for The price for lunch is between €3,50 and €5,50 at the Mensa / Dining Hall. discussion and 5 min for possible room changes of participants. Complimentary coffee, tea, non-alcoholic beverages and light snacks will be served in the foyer of the Audimax during the coffee breaks. WIFI ACCESS The "eduroam" network is available at the university. You can also obtain free access to the local WiFi. Please ask our staff at the registration counter. They will provide the access code.

REGISTRATION DESK The registration desk is located in the foyer of the Audimax.

Opening hours of the registration desk: Tuesday, March 01, 2016 08:30 am – 06:30 pm Wednesday, March 02, 2016 08:00 am – 06:30 pm Thursday, March 03, 2016 08:00 am – 07:00 pm Friday, March 04, 2016 08:00 am – 01:00 pm

4 5 2016 March 1 – 4 | Bochum, Germany GENERAL INFORMATION PLENARY SPEAKERS AND SECTIONS TRANSPORT Plenary Speakers BY CAR: Motorists can reach the Ruhr-University easily via the dense Sandrine Dudoit | Berkeley School of Public Health, USA motorway network. The fastest route is that via the motorway László Erdős | Institute of Science and Technology Austria, Austria junction Bochum/, where the motorways A43 and A44 Martin Hairer | The University of Warwick, UK meet. Simply take the exit for Bochum-Querenburg, follow the signs for “Ruhr-Universität” and, once there, look for the (elec- Iain Johnstone | Stanford University, USA tronic) information boards. Walter Schachermayer | University of Vienna, Austria

Address for GPS: Bochum – Universitätsstraße – 150 Sections | Chair Persons | Invited Speakers BY TRAIN: At Bochum’s main train station, ICE, IC, EC, regional trains and city trains arrive and depart in quick succession. You can No. Title Chair Invited Speaker reach the Ruhr-University easily by catching the underground 1 Stochastic Analysis Martin Hutzenthaler, Davar Khoshnevisan (U-Bahn) train U 35 (Campus Linie), direction Hustadt. During Martin Keller-Ressel (Utah) day time, the U 35 departs in 3 to 6 minute intervals, and it 2 Spatial Stochastics Lothar Heinrich, Jean-Francois Coeurjolly takes 9 minutes to get to the "Ruhr-University" station. Dominic Schuhmacher (Grenoble) Your name tag entitles you to use public transportation for free 3 Limit Theorems, Large Deviations, Stefan Adams, Erwin Bolthausen in Bochum from the 1st to the 4th of March. Extremes Zakhar Kabluchko (Zürich) 4 Finance, Insurance, Risk: Modeling Mitja Stadje, Thomas Moller Stefan Thonhauser (Copenhagen) 5 Stochastics in Physics and Biology Markus Heydenreich, Christophe Garban GENERAL ASSEMBLY OF FACHGRUPPE STOCHASTIK Ilya Pavlyukevich (Lyon) The general assembly of Fachgruppe Stochastik (for members only) will take 6 Stochastic Processes Brice Franke, Ben Hambly place in room HZO 40 on Thursday, March 03, 2016 at 07:00 pm. Uta Freiberg (Oxford) 7 Time Series Anne Leucht, Piotr Kokoszka Henryk Zähle (Fort Collins) 8 Data Analysis and Computational Claudia Czado, Finn Lindgren SOCIAL PROGAMME Statistics Thomas Hotz (Bath) Get-Together: Do not miss the chance to mingle with colleagues and friends 9 Nonparametric and Asymptotic Melanie Birke, Alessandro Rinaldo on the evening of March 01, 2016, from 6:30 to 9:00 p.m. in the Statistics Ingo Steinwart (Pittsburgh) Foyer of the Audimax. 10 Statistics of Stochastic Processes Reinhard Höpfner, Mathieu Rosenbaum Mathias Vetter (Paris) Tickets are included in the registration fee, but registration is required. 11 High Dimensional Inference Thorsten Dickhaus, Valen Johnson Florian Frommlet (Austin) Gala Dinner at the “Mensa / Dining Hall”: 12 Finance, Insurance, Risk: Statistics Michael Kupper, Jose E. Figueroa-Lopez Robert Stelzer (St. Louis) The dinner takes place on Wednesday March 02, 2016 at 7:00 pm. Dinner tickets are available at the registration desk 13 “Stochastics at School”- Afternoon Peter Eichelsbacher Katja Krüger for school teachers () for €35 a person.

6 7 2016 PROGRAMME OVERVIEW March 1 – 4 | Bochum, Germany TUESDAY | MARCH 1, 2016

09:30 am 10:00 am 11:00 am 11:30 am 01:00 pm 02:30 pm 04:30 pm 05:00 pm 06:30 – 09:00 pm

Audimax Opening Plenary Talk 1 Ising Lecture Poster-Party Ceremony Martin Hairer (UK) Opening sponsored by Sigismund Kobe Elsevier Plenary Talk 2 Laszlo Erdös

HZO-40 Section 1 Section 1 Stochastic Analysis Stochastic Analysis

HZO-50 Section 2 Section 1 Spatial Stochastics Stochastic Analysis

HZO-60 Section 3 Section 3 Limit Theorems, Limit Theorems, Large Deviations, Large Deviations, Extremes Extremes HZO-70 Section 4 Section 12 Finance, Insurance, Finance, Insurance, Risk: Modeling Risk: Statistics HZO-80 Section 5 Section 4 Stochastics in Phy- Finance, Insurance, sics and Biology Risk: Modeling HZO-90 Section 6 Section 6 Lunch Break Coffee Break Coffee Stochastic Stochastic Break Coffee Processes Processes HZO-100 Section 6 Section 7 Stochastic Time Series Processes NA 02/99 Section 7 Section 7 Time Series Time Series

NA 01/99 Section 7 Section 8 Time Series Data Analysis and Computational Statistics NA 2/99 Section 9 Section 9 Nonparametric Nonparametric and Asymptotic and Asymptotic Statistics Statistics NA 3/99 Section 12 Section 4 Finance, Insurance, Finance, Insurance, Risk: Statistics Risk: Modeling

8 9 2016 PROGRAMME OVERVIEW March 1 – 4 | Bochum, Germany WEDNESDAY | MARCH 2, 2016

09:00 am 10:00 am 10:30 am 12:30 pm 02:00 pm 04:00 pm 04:30 06:45 pm | 07:00 pm

Audimax Plenary Talk 3 Ising Lecture Entry Gala Dinner Sandrine Dudoit (USA) Opening Gala Dinner Sigismund Kobe Plenary Talk 2 Laszlo Erdös

HZO-40 Section 1 Stochastics at School Section 1 Stochastic Analysis Stochastic Analysis

NA 02/99 Section 1 Section 1 Section 2 Stochastic Analysis Stochastic Analysis Spatial Stochastics

HZO-60 Section 2 Section 2 Section 3 Spatial Stochastics Spatial Stochastics Limit Theorems, Large Deviations, Extremes HZO-70 Section 3 Section 3 Section 4 Limit Theorems, Large Limit Theorems, Large Finance, Insurance, Deviations, Extremes Deviations, Extremes Risk: Modeling NA 2/99 Section 4 Section 4 Section 5 Finance, Insurance, Finance, Insurance, Stochastics in Physics Risk: Modeling Risk: Modeling and Biology HZO-90 Section 4 Section 5 Section 6 Lunch Break Coffee Break Coffee Finance, Insurance, Stochastics in Physics Break Coffee Stochastic Risk: Modeling and Biology Processes HZO-100 Section 5 Section 6 Section 7 Stochastics in Physics Stochastic Time Series and Biology Processes HZO-50 Section 6 Section 7 Section 8 Stochastic Processes Time Series Data Analysis and Computational Statistics NA 01/99 Section 7 Section 8 Section 9 Time Series Data Analysis and Nonparametric and Computational Statistics Asymptotic Statistics HZO-80 Section 8 Section 9 Section 10 Data Analysis and Nonparametric and Statistics of Stochastic Computational Statistics Asymptotic Statistics Processes NA 3/99 Section 9 Section 10 Section 12 Nonparametric and Statistics of Stochastic Finance, Insurance, Asymptotic Statistics Processes Risk: Statistics

10 11 2016 PROGRAMME OVERVIEW March 1 – 4 | Bochum, Germany THURSDAY | MARCH 3, 2016

09:00 am 10:00 am 10:30 am 12:30 pm 02:00 pm 04:00 pm 04:30 07:00 pm – 09:00 pm

Audimax Plenary Talk 4 Ising Lecture Walter Schachermeyer (AT) Opening Sigismund Kobe Plenary Talk 2 Laszlo Erdös (AT)

HZO-40 Section 1 Section 1 Section 1 General Assembly Stochastic Analysis Stochastic Analysis Stochastic Analysis (Members only)

HZO-50 Section 2 Section 2 Section 1 Spatial Stochastics Spatial Stochastics Stochastic Analysis

NA 02/99 Section 3 Section 3 Section 2 Limit Theorems, Large Limit Theorems, Large Spatial Stochastics Deviations, Extremes Deviations, Extremes NA 01/99 Section 4 Section 4 Section 3 Finance, Insurance, Finance, Insurance, Limit Theorems, Large Risk: Modeling Risk: Modeling Deviations, Extremes HZO-80 Section 5 Section 5 Section 4 Stochastics in Physics Stochastics in Physics Finance, Insurance, and Biology and Biology Risk: Modeling HZO-90 Section 6 Section 6 Section 5 Lunch Break Coffee Break Coffee Stochastic Stochastic Break Coffee Stochastics in Physics Processes Processes and Biology HZO-100 Section 7 Section 7 Section 6 Time Series Time Series Stochastic Processes NA 2/99 Section 8 Section 9 Section 7 Data Analysis and Com- Nonparametric and Time Series putational Statistics Asymptotic Statistics HZO-60 Section 9 Section 9 Section 9 Nonparametric and Nonparametric and Nonparametric and Asymptotic Statistics Asymptotic Statistics Asymptotic Statistics NA 3/99 Section 10 Section 11 Section 11 Statistics of Stochastic High Dimensional High Dimensional Processes Inference Inference HZO-70 Section 11 Section 12 Section 12 High Dimensional Finance, Insurance, Finance, Insurance, Inference Risk: Statistics Risk: Statistics

12 13 2016 PROGRAMME OVERVIEW March 1 – 4 | Bochum, Germany FRIDAY | MARCH 4, 2016 Elsevier Statistics 09:00 am 11:00 am 11:30 am 12:30 pm 6 ora fSaitclPann n neec o.10(05 1–106 (2015) 160 Vol. Inference and Planning Statistical of Journal 160 85 Volume 85 ISSN 0167-9473 Volume 160 MayJournal 2015 of theISSN 0378-3758 43 Volume 43, Issue 4, December 2014 ISSN 1226-3192 JOURNAL OF STATISTICAL PLANNING AND INFERENCE 4 Editorial Board: JanMay 1, 2012–Dec 2015 31, 2013 Computational Statistics & Data Analysis Honorary and Founding Editor Korean Statistical Society J.N. SRIVASTAVAĎ 483–652 (2014) 43/4 Vol. SOCIETY STATISTICAL KOREAN THE OF JOURNAL Audimax Plenary Talk 5 www.elsevier.com/locate/csda 1–100 (2015) 85 Vol. – ANALYSIS DATA & STATISTICS COMPUTATIONAL Executive Editors Abstracted/Indexed in: ACM Computing Reviews, CIS, Current Index to Statistics, Engineering A. DASGUPTA, Purdue University, West Lafayette, IN, USA December 2014 Volume 43, Issue 4 Index, INSPEC, Thomson Scientific, Mathematical Reviews, OR/MS, QCAS, Science Citation Index, H. DETTE, Ruhr-University Bochum, Bochum, Germany W.-L. LOH, NationalCOMPUTATIONAL University of Singapore (NUS), Singapore, Singapore Statistical Theory and Method Abstracts. Also covered in the abstract and citation database Advisory Editors Contents Iain Johnstone (USA) SCOPUS . Full text available on ScienceDirect . E. GINE,´ University of Connecticut, Department of Mathematics, Storrs, CT 06269-3009, USA L. HORVATH, Department of Mathematics, College of Science, University of Utah, Salt Lake City, UT 84112-0090, USA Monitoring test for stability of copula parameter in time series ...... O. Na J. Lee S. Lee 483 I.M. JOHNSTONE, Stanford University, Department of Statistics, Sequoia Hall, 390 Serra Mall, Stanford, CA 94305-4065, USA · · OPEN ACCESS Volume 85, May 2015 E. MAMMEN, Universitat¨ , Lehrstuhl fur¨ Statistik,STATISTICS Abteilung Volkswirtschaftslehre, 68131 Mannheim, Germany Frontier estimation using kernel smoothing estimators with data transformation . . . H. Noh 503 T. SPEED, University of California at Berkeley, Department of Statistics, 367 Evans Hall #3860, Berkeley, CA 94720-3860, USA Variable selection in quantile regression when the models have Associate Editors See preliminary page for the table of contents. autoregressiveerrors...... Y.Lim H.-S. Oh 513 M. AI, Department of Probability and Statistics, School of Mathematical Sciences, Peking University, Beijing 100871, P.R. journal of · A. AUE, Department of Statistics, University of California, Davis, One Shields Avenue, Davis, CA 95616 Penalized weighted composite quantile regression in the linear regression Z. BAI, Northeast Normal University, KLASMOE and School of Mathematics & Statistics, Changchun 130024, P.R. China model with heavy-tailed autocorrelated errors ...... Y. Jiang H. Li 531 OPTIONS A. BANDYOPADHYAY,& Indian DATA Statistical Institute, New Delhi Centre,ANALYSIS Theoretical Statistics and Mathematics Unit, 7 S. J. S. Sansanwal Marg, · New Delhi 110016, India Analysis of a discrete-time queue with load dependent service under discrete-time ¨ statistical planning A. BUCHER, Ruhr-UniversitaetIncorporating Bochum, DepartmentStatistical of Mathematics, Software Institute of Statistics, Newsletter 44780 Bochum, Germany Markovian arrival process...... U.C. Gupta S.K. Samanta V. Goswami 545 H.P. CHAN, Department of Statistics and Applied Probability, National University of Singapore, Singapore 119260, Republic of Singapore · · G. CLAESKENS, OR & Business Statistics, Katholieke Universiteit Leuven, Naamsestraat 69, 3000 Leuven, Belgium Multivariate seeded dimension reduction ...... J.K. Yoo Y. Im 559 A. CUEVAS, Universidad Autonoma´ de Madrid, Departamento de Matematicas,´ 28049 Madrid, · ´ ` and inference A. DALALYAN, ENSAE / CREST, Ecole Nationale de la Statistique et de l’Administration Economique, 3, avenue Pierre Larousse, Independent feature screening for ultrahigh-dimensional models AVAILABLE FOR 92245 Malakoff Cedex, France withinteractions...... Y.Song X. Zhu L. Lin 567 P. DE BLASI, Dipartimento di Economia e Statistica “Cognetti de Martiis”, Universita Degli Studi di Torino Via Verdi, 8 10124 Torino, · · A. DEWANJI, Indian Statistical Institute, Applied Statistics Division, 203, B.T. Road, Kolkata 700 108, India On a perturbed Sparre Andersen risk model with dividend barrier L. DUEMBGEN, Institute of Mathematical Statistics and Actuarial Science, University of Bern, Alpeneggstrasse 22, CH-3012 Bern, anddependence...... Z.Zhang X. Wu H. Yang 585 Switzerland · · J. EINMAHL, Dept. of Econometrics and Operations Research, School of and Management, Tilburg University, Warandelaan 2, Neutral stochastic differential equations driven by a fractional Brownian motion with 5037 AB Tilburg, The impulsive effects and varying-time delays...... D. Nguyen Tien 599 ALL STATISTICS F. GAMBOA, IMT Universite´ Paul Sabatier, F-31062 Toulouse cedex 9, France R. GHOSH, Waldressourcen & Waldmgmt Eidg., Forschungsanstalt WSL, Zurcherstrasse¨ 111, 8903 Birmensdorf, Switzerland Rates of convergence of extreme for STSD under power normalization. . . . . S. Chen B. Feng 609 H. HOLZMANN, Mathematik und Informatik, Philipps Universitat Marburg, Hans-Meerwein-Straße, D-35032 Marburg, Germany · A Bezier curve method in interval-censored data ...... E. Yun J. Kim C. Kim 621 S. HORMANN,¨ Mathematics Department, Universite´ libre de Bruxelles, CP 210, local O.9.115, Bd du Triomphe, B-1050 Bruxelles, Belgium · · C. HOUDRE,´ Georgia Institute of Technology, School of Mathematics, Atlanta, GA 30332-0160, USA S.M. IACUS, Departimento di scienze economiche, aziendali e statistiche, Facolta` di Scienze Politiche, Universita` degli Studi de Milano, Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: Estimating via Conservatorio, 7, 20122 Milano, Italy functionapproach...... S.Y.Hwang M.S. Choi I.K. Yeo 631 JOURNALS! · · R. IBRAGIMOV, Department of Economics, Harvard University, Littauer Center M-7, 1805 Cambridge St., Cambridge, MA 02138, USA The Student’s t approximation to distributions of pivotal statistics from ranked set K. KHARE, University of Florida, Department of Statistics, Gainesville, FL 32611-8545, USA samples...... S.Ahn J. Lim X. Wang 643 B. KLEIJN, Korteweg-de Vries Institute for Mathematics, University of Amsterdam, P.O. Box 94248 1090, GE Amsterdam, The Netherlands · · HZO-40 Section 1 J.-P. KREIß, Institut fur¨ Mathematische Stochastik, Technische Universitat¨ , Pockelsstrasse 14, 38106 Braunschweig, Germany S.N. LAHIRI, Texas A&M University, Department of Statistics, College Station, TX 77843-3143, USA C. LAM, School of Economics, Department of Statistics, Houghton Street, London WC2A 2AE, UK For Contents see page iii K. LEE, University of Louisville, Department of Mathematics, Louisville, KY 40292, USA S.M.S. LEE, Department of Statistics and Actuarial Science, Faculty of Science, University of Hong Kong, Hong Kong, China W. LIU, Department of Mathematics, Shanghai Jiao Tong University, 800 Dongchuan Road Minhang, Shanghai, China P. MA, University of Illinois at Urbanba-Champaign, Department of Statistics, 725 S. Wright St., Champaign, IL 61820, USA Stochastic Analysis S. MA, Department of Statistics, 1418 Olmsted Hall, University of California, Riverside Riverside, CA 92521 D. MAJUMDAR, Dept. of Mathematics, Statistics and Computer Science, University of Illinois at Chicago, 322 Science and Engineering Offices (M/C 249), 851 South Morgan Street, Chicago, IL 60607-7045, USA N.M. MARKOVICH, Russian Academy of Sciences, Institute of Systems Science, Moscow, Y. MARUYAMA, University of Tokyo, Center for Spatial Information Science, 5-1-5 Kashiwanoha, Kashiwa-shi, Chiba, 277-8568, Japan V.B. MELAS, Department of Mathematics, St. Petersburg State University, University avenue 28, 198504 Petrodvoretz, St. Petersburg, Russia G. MICHAILIDIS, Dept. of Statistics, University of Michigan, West Hall, Ann Arbor, MI 48109, USA E. MOULINES, Departement´ TSI / CNRS UMR 5141, Institut Tel´ ecom´ / Tel´ ecom´ ParisTech (ENST), 46 Rue Barrault, 75634 Paris Cedex 13, France The Korean Statistical Society Founded 1971 FIND OUT MORE D. NORDMAN, Department of Statistics, Iowa State University, 002C, 315F Snedecor Hall, Department of Statistics, Iowa State University, The offi cial journalAmes, Iowa 50011-1210of Main Office: The Korean Statistical Society, Science & Technology Bldg. Rm 709. (635-4 Yeogsam-Dong) 22, 7 Gil, Teheran-ro, D. PAINDAVEINE ECARES, Universite´ libre de Bruxelles, Avenue F.D. Roosevelt, 50, CP114/04, B-1050 Brussels, Belgium i´Cd‚c^Id˘c»›˝d¯‰–

136 100 Volume 100 May 2015 ISSN 0167-7152 125 Volume 125 Issue 5 May 2015 ISSN 0304-4149 Journal of Multivariate Analysis Volume 136 April 2015 ISSN 0047-259X Volume 125, Issue 5, May 2015 5

Volume 136, April 2015 1–190 (2015) 136 Vol. Analysis Multivariate of Journal Volume 100, May 2015 1–202 (2015) 100 Vol. Letters Probability & Statistics TCATCPOESSADTERAPIAIN o.155(05 1715–2146 (2015) 125/5 Vol. – APPLICATIONS THEIR AND PROCESSES STOCHASTIC HZO-60 CONTENTS CONTENTS Section 3 CONTENTS R R Also covered in the abstract and citation database SCOPUS . Full text available on ScienceDirect . Abstracted/indexed in: CIS, Current index to Statistics, Thomson Scientific Current Contents, Mathematical Reviews, Science EDITOR: Citation Index, Statistical Theory and Method Abstracts, Zentralblatt für Mathematik. Also covered in the abstract and citation Cited in: Cambridge Scientific Abstracts; Current Index to Statistics; International Abstracts in T. KUMAGAI R R database Scopus . Full text available on ScienceDirect . Operations Research; Mathematical Reviews; OR/MS; QCAS; Science Citation Index; Statistical A. Kheradmandi and A. Rasekh. Estimation in skew-normal linear mixed measurement Theory and Method Abstracts; Zentralblatt fur¨ Mathematik. Also covered in the abstract and citation ASSOCIATE EDITORS: O. ANGEL errormodels ...... 1 Strong convergence of robust equivariant nonparametric functional regression estimators database Scopus . Full text available on ScienceDirect . Limit Theorems, Large P. BARRIEU G. Boente and A. Vahnovan 1 B. Wang and R. Wang. Extreme negative dependence and risk aggregation ...... 12 M. BIRKNER A strong limit theorem for the average of ternary functions of Markov chains in bi-infinite random R. BUCKDAHN Regular Papers Z.-Q. CHEN M. Amini and M. Roozbeh. Optimal partial ridge estimation in restricted semiparamet- environments N. EISENBAUM ricregressionmodels...... 26 W. Liu, C. Ma, Y. Li and S. Wang 12 V.B. Tadic´ , Convergence and convergence rate of stochastic gradient P.K. FRIZ search in the case of multiple and non-isolated extrema 1715 C. GOLDSCHMIDT Deviations, Extremes X. Zhu, X. Guo, L. Lin and L. Zhu. Heteroscedasticity checks for single index models . . 41 Stein’s method for conditional compound Poisson approximation H.L. Gan and A. Xia 19 B.M. HAMBLY T. Wang and J. Yong, Comparison theorems for some backward stochastic M. HINO M. Roozbeh. Shrinkage ridge estimators in semiparametric regression models ...... 56 Explicit formulae for product moments of multivariate Gaussian random variables Volterra integral equations 1756 H. HULT I. Song and S. Lee 27 Y. INAHAMA X. Liu, Z. Yu, X.M. Wen and R. Paige. On testing common indices for two multi-index J.G. Dai, M. Miyazawa and J. Wu, Decomposable stationary distribution D. IOFFE models:Alink-freeapproach...... 75 Robust procedures for experimental design in group testing considering misclassification of a multidimensional SRBM 1799 M. JEANBLANC W. Xiong and J. Ding 35 M.A. LIFSHITS P.Y. Madec, Ergodic BSDEs and related PDEs with Neumann boundary ´ ´ S. Imori and D.v. Rosen. Covariance components selection in high-dimensional growth 1 S. MELEARD curvemodelwithrandomcoefficients ...... 86 Limit theorems for the estimation of L integrals using the Brownian motion conditions under weak dissipative assumptions 1821 T. MIKOSCH HZO-70 Section 3 K.B. Athreya, R. Normand, V. Roy and S.-J. Wu 42 www.elsevier.com/locate/stapro E. MOULINES L. Beznea, M. Deaconu and O. Lupas¸cu, Branching processes for the C. MUELLER D.R. Jensen and D.E. Ramirez. Shift outliers in linear inference ...... 95 Studying mixability with supermodular aggregating functions Z. PALMOWSKI V. Bignozzi and G. Puccetti 48 fragmentation equation 1861 R. Greenaway-McGrevy. Evaluating panel data forecasts under independent realization 108 M. REIß Deviations of convex and coherent entropic risk measures V. Vysotsky, Limit theorems for random walks that avoid bounded sets, T. SASAMOTO P. SOULIER A. Sabourin. Semi-parametric modeling of excesses above high multivariate thresholds J. Ya n 56 with applications to the largest gap problem 1886 W. STANNAT withcensoreddata ...... 126 Limit Theorems, Large Two-sided discounted potential measures for spectrally negative Lévy processes R. Atar and A. Budhiraja, On the multi-dimensional skew Brownian motion 1911 K.-T. STURM Y. Li, X. Zhou and N. Zhu 67 D. TALAY S. Banerjee and S. Ghosal. Bayesian structure learning in graphical models ...... 147 M. Kleptsyna, A. Piatnitski and A. Popier, Homogenization of random J. TEICHMANN Expansions for bivariate copulas parabolic operators. Diffusion approximation 1926 M.E. VARES H. Lian, S. Feng and K. Zhao. Parametric and semiparametric reduced-rank regression S. Nadarajah 77 J. ZHANG withflexiblesparsity ...... 163 F. Masiero, A Bismut–Elworthy formula for quadratic BSDEs 1945 T.S. ZHANG Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries J. ZINN Deviations, Extremes M.P. Atkinson and D.I. Singham 85 N. Martín. Diagnostics in a simple correspondence analysis model: An approach based D. Croydon and S. Muirhead, Functional limit theorems for the Bouchaud PAST EDITORS: onCook’sdistanceforlog-linearmodels ...... 175 1 trap model with slowly varying traps 1980 L -Poincaré inequality for discrete time Markov chains J. KEILSON L. Zhang and Y. Wang 93 G.J. Morrow, Laws relating runs and steps in gambler’s ruin 2010 AND N.U. PRABHU (1973–1979) Sequential change point detection in linear quantile regression models S. Bai and M.S. Taqqu, Convergence of long-memory discrete kth order N.U. PRABHU M. Zhou, H.J. Wang and Y. Tang 98 Volterra processes 2026 (1980–1984) Sobolev inequalities for harmonic measures on spheres †C.C. HEYDE (1984–1989) J. Du, L. Lei and Y. Ma 104 C. Smadi, An eco-evolutionary approach of adaptation and recombination HZO-80 in a large population of varying size 2054 P. JAGERS Section 4 (1989–1993) A note on quadratic transportation and divergence inequality Y. Ding 115 J. Berestycki, E.´ Brunet, J.W. Harris, S.C. Harris and M.I. Roberts, R.J. ADLER Growth rates of the population in a branching Brownian motion with (1993–1996) For a full and complete Guide for Authors, please go to: http://ees.elsevier.com/jmva/. J. JACOD ELSEVIER Contents continued inside ELSEVIER an inhomogeneous breeding potential 2096 (1996–1999) Journal of Multivariate Analysis has no page charges. O. ZEITOUNI Finance, Insurance, ELSEVIER (1999–2002) P. PROTTER (2002–2006) i`/d‚„–ı8˘c»›¨d¯”«—

Volume 12 May 2015 ISSN 2211-6753 Stochastic Volume 25, July 2015 25 Volume 25, July 2015 ISSN 1572-3127 12 ttsia ehdlg o.2 21)1–118 (2015) 25 Vol. Methodology Statistical PTA TTSISVl 2(05 1–128 (2015) 12 Vol. STATISTICS SPATIAL Processes CONTENTS Spatial Statistics

VOL. 12 CONTENTS May 2015 S. Lee and B. Kim Copula parameter change test for nonlinear AR models with nonlinear GARCH 1 errors D.-t. Kang Research Articles Further results on closure properties of LPQE order 23 Saddlepoint-based bootstrap inference for the spatial dependence parameter in the lattice process HZO-100 Section 6 C. Chesneau, M. Kachour and D. Karlis P.Jeganathan,R.L.PaigeandA.A.Trindade(USA) ...... 1 On some distributions arising from a generalized trivariate reduction scheme 36 A probabilistic approach to the prediction of area weather events, applied to precipitation B.Kriesche,R.Hess,B.K.Reichert andV.Schmidt(Germany) ...... 15 Z. Huang, Q. Shao, Z. Pang and B. Lin Adaptive testing for the partially linear single-index model with error-prone linear 51 Equivalent kriging covariates W.KleiberandD.W.Nychka(UnitedStates)...... 31 Use of spatial statistics to investigate early forest degradation activities as detected from satellite A. Philip and P.Y. Thomas Stochastic images On concomitants of order statistics arising from the extended Farlie–Gumbel– 59 Editor-in-Chief: G. Jogesh Babu Morgenstern bivariate logistic distribution and its application in estimation S.AnwarandA.Stein(TheNetherlands)...... 50 Cluster models for random particle aggregates—Morphological statistics and collision distance K.K. Sudheesh, P. Anisha and C.M. Deemat J.TeichmannandK.G.vandenBoogaart (Germany)...... 65 A simple approach for testing constant failure rate against different ageing classes 74 Classification of points in superpositions of Strauss and Poisson processes for discrete data

End of the German Probability and Statistics Days C. Redenbach (Germany), A. Sarkk¨ a¨ ()andM.Sormani(Germany)...... 81 Processes H. Fujisawa and T. Abe Quantifying uncertainty for temperature maps derived from computer models A family of skew distributions with mode-invariance through transformation of scale 89 L.Paci(Italy),A.E.Gelfand(USA)andD.Cocchi(Italy) ...... 96 B. Chalmond Conditional simulations of the extremal t process: Application to fields of extreme precipitation A macro-DAG structure based mixture model 99 A.Bechler,L.BelandM.Vrac(France)...... 109 NA 02/99 Section 7 Time Series ELSEVIER

ELSEVIER i—¸d‚cC5d˘c»›˝d¯”„

elsevier.com/mathematics

14 15

ELS 16-001 STAT Flyer v2.indd 1 05-02-16 12:03 2016 March 1 – 4 | Bochum, Germany PROGRAMME | TUESDAY MARCH 1, 2016

09:30 am – 10:00 am 11:30 am – 01:00 pm Opening Audimax Section 5 – Stochastics in Physics and Biology HZO Room 80 Chair: Ilya Pavlyukevich

10:00 am – 11:00 am 11:30 Rigidity of 2D crystals: The hard disk model Tuesday Thomas Richthammer (, Germany) Plenary Talk 1 Audimax Chair: Michael Röckner 12:00 Equilibrium states of interacting particle systems in continuum Diana Conache (Garching, Germany) 10:00 On random rubber bands Plenary Talk Martin Hairer (Coventry, United Kingdom) 12:30 Synchronization for mean-feld XY models in a random external field Wioletta Ruszel (Delft, Netherlands) 11:30 am – 01:00 pm Section 6 – Stochastic Processes HZO Room 90 Section 1 – Stochastic Analysis HZO Room 40 Chair: Stefan Ankirchner Chair: Thomas Kruse 11:30 Numerical and stochastic investigations of certain copula interactions in 11:30 Regularity of Ito random variables multi­dimensional compound poisson processes Paul Krühner (Vienna, Austria) Christian Palmes (, Germany) 12:00 Decoupling BSDEs 12:00 First passage times of univariate and bivariate diffusion processes to time- Juha Ylinen (Jyväskylä, Finland) varying and constant boundaries: Analytical, statistical and numerical results. Section 2 – Spatial Stochastics HZO Room 50 Massimiliano Tamborrino (Linz, Austria) Chair: Julia Hörrmann 12:30 Numerical probabilistic method for quasilinear stochastic partial differential 11:30 Sticky central limit theorems at isolated planar hyperbolic singularities equations using generalized backward doubly stochastic differential equations. Stephan Huckemann (Göttingen, Germany) Achref Bachouch (, Germany) 12:00 Torus-PCA with Application to RNA Structures Section 6 – Stochastic Processes HZO Room 100 Benjamin Eltzner (Göttingen, Germany) Chair: Hans-Peter Scheffler Section 3 – Limit Theorems, Large Deviations, Extremes HZO Room 60 11:30 Affine representations of fractional processes Chair: Holger Kösters Philipp Harms (Zürich, Switzerland) 11:30 Gaussian random fields with local pinning 12:00 CARMA-Processes with Lévy Autoregressive Coefficients Invited Talk Erwin Bolthausen (Zürich, Switzerland) Dirk-Philip Brandes (Ulm, Germany) 12:30 Large deviations for spectral measures and sum rules 12:30 Selfdecomposable fields Jan Nagel (München, Germany) Orimar Sauri (Aarhus, ) Section 4 – Finance, Insurance, Risk: Modeling HZO Room 70 Section 7 – Time Series Room NA 02/99 Chair: Mitja Stadje Chair: Holger Drees 11:30 Systemic risk in inhomogeneous financial networks 11:30 Short order patterns in long time series Nils Detering (München, Germany) Christoph Bandt (, Germany) 12:00 Ruin probabilities in an insurance market with bipartite graph structure 12:00 Permutation entropies in time series analysis Anita Behme (Garching, Germany) Karsten Keller (Lübeck, Germany) 12:30 Conditional risk measures in a bipartite market structure 12:30 Detecting changes in the dependence structure between time series Oliver Kley (München, Germany) Alexander Schnurr (Dortmund, Germany)

16 17 2016 March 1 – 4 | Bochum, Germany

11:30 am – 01:00 pm 02:30 pm – 04:30 pm Section 7 – Time Series Room NA 01/99 Section 1 – Stochastic Analysis HZO Room 50 Chair: Olimjon Sh. Sharipov Chair: Felix Lindner 11:30 On random recurrence equations in the plane 2:30 Invariance of closed convex cones for stochastic partial differential equations Martin Drapatz (Ulm, Germany) Stefan Tappe (Hannover, Germany) Tuesday 12:00 Estimation of sparse high dimensional spectral density matrices 3:00 A unified approach to spdes driven by random fields Thomas Miera (Bochum, Germany) Tahirivonizaka Rahantamialisoa (Hannover, Germany) 12:30 A new probabilistic fuzzy inference system for time series forecasting 3:30 Stefan-type stochastic moving boundary problems Erol Egrioglu (Giresun, ) Marvin Mueller (, Germany) Section 9 – Nonparametric and Asymptotic Statistics Room NA 2/99 4:00 Parabolic Equations with Multiplicative Dirichlet Boundary Noise Chair: Natalie Neumeyer Nick Lindemulder (Delft, Netherlands) 11:30 Local polynomial estimation in nonparametric regression with strongly mixing Section 3 – Limit Theorems, Large Deviations, Extremes HZO Room 60 errors Chair: Jan Nagel Juliane Geller (, Germany) 2:30 Edge Statistics for Particle Systems with Repulsive Interaction 12:00 Simultaneous confidence bands for the trend function Martin Venker (, Germany) Nadine Müller (Jena, Germany) 3:00 Limiting spectral distribution for non-hermitian random matrices with a variance Section 12 – Finance, Insurance, Risk: Statistics Room NA 3/99 profile Chair: Imma Curato Jamal Najim (Marne La Vallée, France) 11:30 Singular inverse Wishart distribution and its application to portfolio theory 3:30 Spectral distributions of products of random matrices Stepan Mazur (Lund, Sweden) Holger Kösters (Bielefeld, Germany) 12:00 A group of transformations on copulas and a nice subgroup 4:00 Spectral analysis of the Moore-Penrose inverse of a large dimensional sample Sebastian Fuchs (Dresden, Germany) covariance matrix Nestor Parolya (Hannover, Germany) 02:30 pm – 04:30 pm Section 4 – Finance, Insurance, Risk: Modeling Room NA 3/99 Section 1 – Stochastic Analysis HZO Room 40 Chair: Stefan Thonhauser Chair: Barbara Rüdiger 2:30 Unrestricted deterministic consumption under an Ornstein-Uhlenbeck Process 2:30 A general result on existence, uniqueness and robustness of backward as a discount rate ­stochastic differential equations with jumps Julia Eisenberg (Vienna, Austria) Alexandros Saplaouras (Berlin, Germany) 3:00 Optimal risk and liquidity management with costly refinancing opportunities and 3:00 A limit theorem for the moments in space of Browian local time increments in a stochastic interest-rate setting Simon Campese (Roma, Italy) Andrea Barth (, Germany) 3:30 The chaotic representation property of compensated-covariation stable families Section 4 – Finance, Insurance, Risk: Modeling HZO Room 80 of martingales Chair: Uwe Schmock Paolo Di Tella (Dresden, Germany) 2:30 Between first and second-order stochastic dominance 4:00 Martingality in terms of semimartingale problems Alfred Müller (, Germany) David Criens (Garching, Germany) 3:00 Multivariate shortfall risk allocation and systemic risk Antonis Papapantoleon (Berlin, Germany) 3:30 Model uncertainty, Fréchet Bounds and applications in option pricing Thibaut Lux (Berlin, Germany)

18 19 2016 March 1 – 4 | Bochum, Germany

02:30 pm – 04:30 pm 02:30 pm – 04:30 pm Section 6 – Stochastic Processes HZO Room 90 Section 8 – Data Analysis and Computational Statistics Room NA 01/99 Chair: Christian Palmes Chair: Claudia Czado 2:30 Cost optimal control of piecewise deterministic markov processes under partial 2:30 Fluctuation analysis of electric power loads in Europe: Correlation multi­ observation fractality vs. distribution function multifractality Tuesday Dirk Lange (Karlsruhe, Germany) Hynek Lavicka (Prague, Czech Republic) 3:00 Markov process models for integrated production-inventory systems 3:00 Probabilistic forecasting of medium-term electricity demand: A comparison of Sonja Otten (, Germany) time series models Kevin Berk (Siegen, Germany) 3:30 An optimal stopping problem with expectation cost constraints Maike Klein (Jena, Germany) 3:30 Modeling forecasting errors for scenario generation in hydrothermal systems Esteban Gil (Valparaíso, Chile) 4:00 Finite system scheme for mutually catalytic branching with infinite branching rate Achim Klenke (, Germany) 4:00 Probabilistic forecasting and comparative model assessment based on MCMC Section 7 – Time Series HZO Room 100 output Sebastian Lerch (, Germany) Chair: Martin Wagner Room NA 2/99 2:30 Locating gas emission sources by using the gas concentration in the air Section 9 – Nonparametric and Asymptotic Statistics Silke Weber (Karlsruhe, Germany) Chair: Katharina Proksch 3:00 IM-OLS estimation for seasonally cointegrating regressions 2:30 On the robustness of regularized pairwise learning methods based on kernels Rafael Kawka (Dortmund, Germany) Andreas Christmann (, Germany) 3:30 „Linear“ fully modified OLS estimation of cointegrating polynomial regressions 3:00 Statistical properties of localized support vector machines Peter Grabarczyk (Dortmund, Germany) Florian Dumpert (Bayreuth, Germany) Section 7 – Time Series Room NA 02/99 3:30 On properties of Support Vector Machines for non-i.i.d. observations Katharina Strohriegl (Bayreuth, Germany) Chair: Christian H. Weiß 4:00 Consequences of an axiomatic approach to hierarchical clustering of measures 2:30 Robust change point detection in panel data Philipp Thomann (Stuttgart, Germany) Alexander Dürre (Dortmund, Germany) HZO Room 70 3:00 Change-point detection in a nonparametric time series regression model Section 12 – Finance, Insurance, Risk: Statistics Maria Mohr (Hamburg, Germany) Chair: Robert Stelzer 2:30 Optimally thresholded realized power variations for 3:30 A Wilcoxon-Based testing procedure for distinguishing between long-range Invited Talk dependence and short-range dependence with a change in mean stochastic volatility models with jumps Carina Gerstenberger (Bochum, Germany) Jose Figueroa-Lopez (St. Louis, United States) 4:00 The detection of multiple structural breaks using MOSUM statistics based on 3:30 Statistical inference for expectiles-based risk measures Henryk Zähle (Saarbrücken, Germany) estimating functions Kerstin Reckrühm (, Germany) 4:00 Extremal inference for multivariate regularly varying time series Anja Janssen (Copenhagen, Denmark)

05:00 pm – 06:30 pm Plenary Talk 2: Ising Lecture Audimax Opening Sigismund Kobe (Dresden, Germany) Local laws for eigenvalues of random matrices Plenary Talk Laszlo Erdös (Klosterneuburg, Austria) Chair: Sabine Jansen

20 21 2016 March 1 – 4 | Bochum, Germany

06:30 pm – 09:00 pm Welcome Reception and Poster Exhibition Audimax Foyer sponsored by Elsevier

Poster-ID Postersession Tuesday P-1 System mixture reliability and risk functions with variable mixture weights P-15 On the application of geostatistical methods to the modelling of correlated Hamza Erol (Adana, Turkey) credit spreads P-2 Vibrational zeke photoelectron spectroscopy of chlorobenzene cation Amelie Hüttner (Garching, Germany) Sara Seumers (Hamburg, Germany) P-16 Estimation of structural breaks in short panels P-3 Estimating Moments of a Selected Pareto Population under Asymmetric Torgovitski Leonid (Köln, Germany) Scale Invariant Loss Function P-17 On the estimate the covariance function of homogeneous and isotropic Riyadh Rustam Al-Mosawi (Nassiriyah, ) vector-valued random field on the sphere P-4 Imprecise vector: the case of subnormality Gayrat Rakhimov (Tashkent, Uzbekistan) Dhruba Das (Assam, India) P-18 The approach for estimation of clustering robustness P-5 Application of Gaussian process regression (GPR) in National and Aleksejs Lozkins (Petergof, Saint-Petersburg, Russian Federation) Sub-national Burden of Diseases, Injuries, and Risk Factors (NASBOD) P-19 Type 1 Fuzzy Function Approach Based on Ridge Regression for Parinaz Mehdipour (Tehran, Iran) Fore­casting of Time Series P-6 Backward stochastic Volterra integral equations in UMD-Banach spaces Eren Bas (Giresun, Turkey) Mahdi Azimi (, Germany) P-20 Relation between the Wright-Fisher diffusion with seed bank and the two P-7 A functional limit theorem for the number of occupied boxes in the island diffusion model ­Bernoulli sieve Eugenio Buzzoni (Berlin, Germany) Alexander Marynych (Münster, Germany) P-21 Mild solutions of evolution equations driven by rough noise P-8 Bootstrap-based bandwidth selection for conditional density estimation for Robert Hesse (Jena, Germany) mixed categorical and functional data P-22 A Weibull Generated Class of Distribution Lena Reichmann (Bayreuth, Germany) Muhammad Bilal Bhutta (Lahore, Pakistan) P-9 One-Dimensional Advection-Diffusion Equation with Boundary Lévy Noise P-23 Discrete-time portfolio optimization under dynamic risk constraints Lena-Susanne Boltz (Jena, Germany) Imke Höfers (, Germany) P-10 Splitting integrators for the stochastic Jansen and Rit neural mass model P-24 Comparison of Estimation Methods for Parameters of Gibbs Point Processes Markus Ableidinger (Linz, Austria) Henning Höllwarth (Göttingen, Germany) P-11 On Buehler confidence regions P-25 Nonparametric record statistics of cumulative sums of sample values Todor Dinev (, Germany) Damien Challet (Châtenay-Malabry, France) P-12 Robust methods to compare means under violation of normality with outliers P-26 A functional central limit theorem for weighted sums of Lipschitz- Mustafa Cavus (Eskisehir, Turkey) continuous functions P-13 Random Dynamical Systems on Fractals Carina Beering (Braunschweig, Germany) Markus Böhm (Jena, Germany) P-27 A new proof for the central limit theorem in total variation P-14 Optimal Order Execution across Multi-platform Matthias Eulert (Marburg, Germany) Amirhossein Sadoghi ( am Main, Germany)

22 23 2016 March 1 – 4 | Bochum, Germany PROGRAMME | WEDNESDAY MARCH 2, 2016

09:00 am – 10:00 am 10:30 am – 12:30 pm Plenary Talk 3 Audimax Section 2 – Spatial Stochastics HZO Room 60 Chair: Angelika Rohde Chair: Christoph Thäle 9:00 Identification of novel cell types in the brain using 10:30 Nonparametric estimation of entropy in Poisson marked point processes Plenary Talk single-cell transcriptome sequencing Patricia Alonso-Ruiz (Ulm, Germany) Sandrine Dudoit (Berkeley, United States) 11:00 On the „Minkowski content“-based estimator of the mean density of lower 10:30 am – 12:30 pm dimensional random closed sets Federico Camerlenghi (Pavia, Italy) Section 1 – Stochastic Analysis HZO Room 40 Chair: Wilfried Grecksch 11:30 Local digital algorithms applied to Boolean models Julia Hörrmann (Bochum, Germany) 10:30 An overview of balancing related model order reduction for systems with Lévy Wednesday noise 12:00 Stochastic modeling of engineering materials for prediction of spatial Martin Redmann (Magdeburg, Germany) mechanical characteristics Katharina Losch (Kaiserslautern, Germany) 11:00 Stochastic PDEs driven by Lévy noise: theory and simulation Carsten Chong (Garching, Germany) Section 3 – Limit Theorems, Large Deviations, Extremes HZO Room 70 Chair: Alexander Marynych 11:30 Weak convergence for semi-linear SPDEs Sonja Cox (Amsterdam, Netherlands) 10:30 On the accuracy of the normal approximation for the binomial random sums Irina Shevtsova (Moscow, Russian Federation) 12:00 Stochastic integration with respect to volatility modulated Lévy driven Volterra processes 11:00 An optimal Berry-Esseen type theorem for expectations of smooth functions Benedykt Szozda (Dortmund, Germany) Lutz Mattner (Trier, Germany) Section 1 – Stochastic Analysis Room NA 02/99 11:30 Refined total variation bounds in the multivariate and compound Poisson Chair: Christel Geiss approximation Bero Roos (Trier, Germany) 10:30 Injection techniques for infinite-dimensional non-metric spaces and applications to Lévy processes 12:00 The optimal Berry-Esseen constant in the binomial case Jona Schulz (Trier, Germany) Florian Baumgartner (Innsbruck, Austria) 11:00 Permutation Invariant Functionals of Lévy Processes and applications Section 4 – Finance, Insurance, Risk: Modeling HZO Room 90 Stefan Geiss (Jyväskylä, Finland) Chair: Jörn Saß 11:30 Stochastic evolution equations with noise 10:30 Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Tijana Levajkovic (Innsbruck, Austria) Returns with Gaussian Drift Dorothee Westphal (Kaiserslautern, Germany) 12:00 Malliavin calculus for stochastic PDEs with Lévy noise Felix Lindner (Kaiserslautern, Germany) 11:00 Optimal liquidation in a multiplicative limit order book Peter Frentrup (Berlin, Germany) 11:30 The Stigler-Luckock model for the evolution of an order book Jan Swart (Prague, Czech Republic) 12:00 Expert opinions and maximizing power utility in a market with Gaussian drift Ralf Wunderlich (Cottbus, Germany)

24 25 2016 March 1 – 4 | Bochum, Germany

10:30 am – 12:30 pm 10:30 am – 12:30 pm Section 4 – Finance, Insurance, Risk: Modeling Room NA 2/99 Section 7 – Time Series Room NA 01/99 Chair: Christoph Belak Chair: Martin Wendler 10:30 Hedging under good-deal bounds and model uncertainty 10:30 Quantile Spectral Analysis for Locally Stationary Time Series Klebert Kentia (Berlin, Germany) Stefan Birr (Bochum, Germany) 11:00 Duality for increasing convex functionals with countably many marginal 11:00 Empirical characteristic functions-based estimation and distance correlation for ­constraints locally stationary processes Daniel Bartl (Konstanz, Germany) Carsten Jentsch (Mannheim, Germany) 11:30 Hedging with transient price impact 11:30 Localized Fully Modified OLS Estimation of Cointegrating Relationships in an Moritz Voß (Berlin, Germany) Integrated Locally Stationary Framework Martin Wagner (Dortmund, Germany) 12:00 Pricing contingent claims in the presence of jump uncertainty Olaf Menkens (Dublin, Ireland) 12:00 Predictive model choice in time series analysis under stationarity and Wednesday Section 5 – Stochastics in Physics and Biology HZO Room 100 non-­stationarity Tobias Kley (London, United Kingdom) Chair: Reinhard Hoepfner HZO Room 80 10:30 Subdiffusivity of a random walk among moving Poisson traps, and thin points Section 8 – Data Analysis and Computational Statistics Chair: Thomas Hotz of random walks Alexander Drewitz (Köln, Germany) 11:00 High dimensional dependency analysis using vine copulas Claudia Czado (Garching, Germany) 11:00 Random walks in dynamic random environments and ancestry under local population regulation 11:30 Quantifying the uncertainty of contour maps Invited Talk Andrej Depperschmidt (Freiburg, Germany) Finn Lindgren (Bath, United Kingdom) 11:30 Martingales related to the vertex-reinforced jump process Section 9 – Nonparametric and Asymptotic Statistics Room NA 3/99 Silke Rolles (Garching, Germany) Chair: Anne Leucht 12:00 Complex random energy models: Phase diagrams, complex zeros and 10:30 Nonparametric estimation of time-dependent quantiles in a simulation model ­fluctuations Lisa Kristl (, Germany) Anton Klimovsky (, Germany) 11:00 Estimation of quantiles from data with additional measurement errors Section 6 – Stochastic Processes HZO Room 50 Matthias Hansmann (Darmstadt, Germany) Chair: Hans Daduna 11:30 Nonparametric quantile estimation using surrogate models and importance 10:30 A simple probabilistic model for interfaces in a Martensitic sampling Invited Talk phase transition Reinhard Tent (Darmstadt, Germany) Ben Hambly (Oxford, United Kingdom) 12:00 Three simple multivariate Kolmogorov-Smirnov type goodness of fit tests 11:30 Convergence of BS∆Es driven by random walks to BSDEs: The case of (in) based on lattice-valued quantiles finite activity jumps with general driver Georg Schollmeyer (München, Germany) Mitja Stadje (Ulm, Germany) 02:00 pm – 03:00 pm 12:00 Solutions to complex smoothing equations Matthias Meiners (Darmstadt, Germany) Stochastics at School HZO Room 40 2:00 Reale Daten im Stochastikunterricht der Sekundarstufen Lehrer Tag I und II Katja Krüger (Paderborn, Germany)

26 27 2016 March 1 – 4 | Bochum, Germany

02:00 pm – 04:00 pm 02:00 pm – 04:00 pm Section 1 – Stochastic Analysis Room NA 02/99 Section 4 – Finance, Insurance, Risk: Modeling Room NA 2/99 Chair: Stefan Geiss Chair: Mitja Stadje 2:00 Boundedness properties of Lévy driven BSDEs derived by its Malliavin derivative 2:00 A Variant of Strassen‘s Theorem with an Application to the Consistency of Christel Geiss (Jyväskylä, Finland) Option Prices Ismail Cetin Gülüm (Vienna, Austria) 2:30 On an extended chain rule for the Malliavin derivative Alexander Steinicke (Innsbruck, Austria) 2:30 Asymptotic arbitrage in the large fractional binary market Lavinia Perez-Ostafe (Vienna, Austria) 3:00 Directional and Malliavin derivative of Path-Dependent functions Jana Bielagk (Berlin, Germany) 3:00 Reflected BSDEs when the obstacle is not right-continuous Miryana Grigorova (Berlin, Germany) 3:30 On the optimality of Malliavin-Stein bound for normal approximation on the Poisson space 3:30 Kolmogorov type and general extension results for nonlinear expectations Ehsan Azmoodeh (Vaasa, Finland) Max Nendel (Konstanz, Germany) Wednesday Section 2 – Spatial Stochastics HZO Room 60 Section 5 – Stochastics in Physics and Biology HZO Room 90 Chair: Lothar Heinrich Chair: Markus Heydenreich 2:00 Spatial mixing properties of random tessellations 2:00 Towards a realistic model of a 3D turbulent flow Invited Talk Werner Nagel (Jena, Germany) Christophe Garban (Lyon, France) 2:30 Asymptotics for U-statistics of Gibbs facet processes 3:00 From critical scalings to shock fluctuations in TASEP and last passage ­percolation Viktor Benes (Praha, Czech Republic) Peter Nejjar (Paris, France) 3:00 Normal approximation of stabilizing functionals in stochastic geometry 3:30 An individual-based model for the Lenski experiment, and the deceleration of Matthias Schulte (Karlsruhe, Germany) the relative fitness Noemi Kurt (Berlin, Germany) 3:30 Central limit theorem for the number of cells induced by randomly dilated hyperplanes Section 6 – Stochastic Processes HZO Room 100 Christian Bräu (, Germany) Chair: Anja Sturm Section 3 – Limit Theorems, Large Deviations, Extremes HZO Room 70 2:00 Quantitative contraction rates for Markov chains on continuous state spaces Chair: Marco Oesting Andreas Eberle (, Germany) 2:00 Conditional independence among max-stable laws 2:30 Hitting probabilities for the Greenwood model and relations to near constancy Kirstin Strokorb (Mannheim, Germany) oscillation Martin Möhle (Tübingen, Germany) 2:30 Conditionally Max-stable Random Fields Martin Dirrler (Mannheim, Germany) 3:00 Capacitary inequalities in discrete setting and application to metastable Markov 3:00 f-Implicit extreme value theory - A different approach To classical extreme value chains André Schlichting (Bonn, Germany) theory Johannes Goldbach (Siegen, Germany) 3:30 Persistence exponents of Markov chains Frank Aurzada (Darmstadt, Germany) 3:30 Weak convergence of partial maxima processes Danijel Krizmanic (Rijeka, ) Section 7 – Time Series HZO Room 50 Chair: Henryk Zähle 2:00 Improved estimation of tail processes Holger Drees (Hamburg, Germany) 2:30 Detecting breaks in the dependence of multivariate extreme-value distributions Axel Bücher (Dortmund, Germany) 3:00 Change point detection in functional models for yield curves Invited Talk Piotr Kokoszka (Fort Collins, United States)

28 29 2016 March 1 – 4 | Bochum, Germany

02:00 pm – 04:00 pm 04:30 pm – 06:30 pm Section 8 – Data Analysis and Computational Statistics Room NA 01/99 Section 1 – Stochastic Analysis HZO Room 40 Chair: Nicolai Bissantz Chair: Martin Hutzenthaler 2:00 Mixture EMOS model for calibrating ensemble forecasts of wind speed 4:30 Numerical approximation of irregular SDEs via Skorokhod embeddings Sándor Baran (Debrecen, Hungary) Thomas Kruse (Essen, Germany) 2:30 Spatially adaptive Bayesian estimation for probabilistic temperature forecasts 5:00 Approximating exit times for irregular SDEs Annette Möller (Göttingen, Germany) Mikhail Urusov (Essen, Germany) 3:00 Gamma distribution based on EMOS model for precipitation forecasting 5:30 Numerics for controlled processes Dóra Nemoda (Miskolc, Hungary) Michaela Szölgyenyi (Vienna, Austria) Section 9 – Nonparametric and Asymptotic Statistics HZO Room 80 6:00 A numerical method for SDEs with discontinuous drift along a hypersurface Chair: Jan Johannes Gunther Leobacher (Linz, Austria) Wednesday 2:00 Optimal adaptation for early stopping in statistical inverse problems Section 2 – Spatial Stochastics Room NA 02/99 Markus Reiß (Berlin, Germany) Chair: Viktor Benes 2:30 Simultaneous inference for the non-parametric Berkson errors-in-variables 4:30 Moments of volumes of random simplices regression model Benjamin Reichenwallner (Salzburg, Austria) Katharina Proksch (Göttingen, Germany) 5:00 Concentration and moderate deviations for Poisson polytopes 3:00 Anti-Proportional bandwidth selection for smoothing sparse and Non-Sparse Julian Grote (Bochum, Germany) functional data with covariate adjustments 5:30 Cells with many facets in a Poisson hyperplane mosaic Dominik Liebl (Bonn, Germany) Gilles Bonnet (Osnabrück, Germany) 3:30 Conditional Density estimation in a functional binary choice model 6:00 On Kendall‘s problem in spherical space Melanie Birke (Bayreuth, Germany) Daniel Hug (Karlsruhe, Germany) Section 10 – Statistics of Stochastic Processes Room NA 3/99 Section 3 – Limit Theorems, Large Deviations, Extremes HZO Room 60 Chair: Jeannette Woerner Chair: Kirstin Strokorb 2:00 Nonparametric estimation of the kernel function of symmetric stable moving 4:30 Exact simulation of max-stable processes average processes Marco Oesting (Siegen, Germany) Jürgen Kampf (Ulm, Germany) 5:00 Estimation and assessment of anisotropic Brown-Resnick space-time models 2:30 Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy Sven Buhl (Garching, Germany) processes Mathias Trabs (Paris, France) 5:30 Max-linear models on directed acyclic graphs Nadine Gissibl (München, Germany) 3:00 Limit Theory for Lévy Semistationary Processes Claudio Heinrich (Aarhus, Denmark) 6:00 The limit distribution of the largest interpoint distance for distributions supported by a d-dimensional ellipsoid 3:30 Nonparametric tests for detecting breaks in the jump behaviour of a time-cont- Michael Schrempp (Karlsruhe, Germany) inuous process Michael Hoffmann (Bochum, Germany)

30 31 2016 March 1 – 4 | Bochum, Germany

04:30 pm – 06:30 pm 04:30 pm – 06:30 pm Section 4 – Finance, Insurance, Risk: Modeling HZO Room 70 Section 7 – Time Series HZO Room 100 Chair: Hanspeter Schmidli Chair: Piotr Kokoszka 4:30 Portfolio Optimization with Recursive Utility under Small Transaction Costs 4:30 Prediction of functional moving average models Yaroslav Melnyk (Lausanne, Switzerland) Johannes Klepsch (Garching, Germany) 5:00 Zero-sum Risk-Sensitive stochastic games 5:00 Asymptotic behaviour of functional linear processes with long memory Nicole Bäuerle (Karlsruhe, Germany) Vaidotas Characiejus (Bochum, Germany) 5:30 Equilibrium models with small transaction costs 5:30 Optimal eigen expansions and uniform bounds Martin Herdegen (Zürich, Switzerland) Moritz Jirak (Berlin, Germany) 6:00 Backward nonlinear expectation equations and recursive utility under nonlinear 6:00 Testing for changes in Hilbert-space data based on „simultaneous“ and expectations ­„change-aligned“ projections Christoph Belak (Trier, Germany) Leonid Torgovitski (Köln, Germany) Wednesday Section 5 – Stochastics in Physics and Biology Room NA 2/99 Section 8 – Data Analysis and Computational Statistics HZO Room 50 Chair: Mareike Fischer Chair: Annette Möller 4:30 Biodiversity indices - Same, same, but different? 4:30 Detecting time-dependency and separation of objects in live cell-imaging Mareike Fischer (Greifswald, Germany) Nicolai Bissantz (Bochum, Germany) 5:00 The distribution of the common ancestor’s type 5:00 Shape analysis of curves in SO(3) with applications to Gait analysis Ute Lenz (Frankfurt am Main, Germany) Fabian Telschow (Göttingen, Germany) 5:30 The final partition of the seed-bank coalescent with mutation 5:30 Statistical Inference with Wasserstein Distances Mathias Rafler (Berlin, Germany) Max Sommerfeld (Göttingen, Germany) 6:00 Pruning the ancestral selection graph: the Moran model and its deterministic Section 9 – Nonparametric and Asymptotic Statistics Room NA 01/99 limit Chair: Martin Wendler Fernando Cordero (Bielefeld, Germany) 4:30 Locally adaptive confidence bands Section 6 – Stochastic Processes HZO Room 90 Tim Patschkowski (Bochum, Germany) Chair: Frank Aurzada 5:00 Nonparametric regression estimates on the sphere 4:30 The Doob-Martin compactification of the records chain Claudio Durastanti (Bochum, Germany) Klaas Hagemann (Hannover, Germany) 5:30 Adaptive Bayesian estimation in indirect Gaussian sequence space models 5:00 Bounded truncation error for long-run averages in infinite Markov chains Jan Johannes (Heidelberg, Germany) Hendrik Baumann (Hamburg, Germany) 6:00 Adaptive nonparametric instrumental regression in the presence of dependence 5:30 On the stability of a dynamical system arising in a telecommunication network Nicolas Asin (Louvain-la-Neuve, Belgium) Maite Wilke Berenguer (Berlin, Germany) 6:00 On monotone and additive Markov process duality Anja Sturm (Göttingen, Germany)

32 33 2016 PROGRAMM March 1 – 4 | Bochum, Germany LEHRERNACHMITTAG

04:30 pm – 06:30 pm 14:00 – 15:00 Uhr Section 10 – Statistics of Stochastic Processes HZO Room 80 Vortrag Katja Krüger HZO-40 Chair: Mathias Vetter Reale Daten im Stochastikunterricht der Sekundarstufe I und II 4:30 The microscopic foundations of volatility statistical Invited Talk ­properties 15:15 – 17:30 Uhr Mathieu Rosenbaum (Paris, France) Erster Teil der Workshops 5:30 Statistical inference for fractional Lévy processes NA 2/24 Jeannette Woerner (Dortmund, Germany) Workshop 1 – Simulation und Visualisierung von Zufalls­ experimenten mit dem GTR als durchgängiges didaktisches 6:00 Statistical inference for fractional Lévy processes and related models Prinzip für den Stochastikunterricht in der gymnasialen Vladimir Panov (Moscow, Russian Federation)

Oberstufe Wednesday Section 12 – Finance, Insurance, Risk: Statistics Room NA 3/99 Dr. Hauke Friedrich, Ralf Nieszporek, Prof. Dr. Rolf Biehler Chair: Michael Kupper Workshop 2 – Daten, die uns etwas angehen – Analyse amtli- NA 3/64 4:30 Oscillating Ornstein-Uhlenbeck processes and modelling of electricity prices cher Statistiken mit einem Tabellenkalkulationsprogramm Daniel Kobe (Dortmund, Germany) Prof. Dr. Katja Krüger, Anna Schäfer 5:00 Modeling electricity spot prices by a stable CARMA Process – a Bayesian Workshop 3 – Einstieg in die Normalverteilung mit realen NA 2/24 Approach Daten und Glücksrad Armin Seibert (Augsburg, Germany) StD Reimund Vehling 5:30 Electricity price modeling with stochastic time change ab 19:00 Uhr Maren Schmeck (Köln, Germany) 6:00 Calibration to American options: Numerical investigation of the Konferenzdinner ­De-Americanization method Mirco Mahlstedt (München, Germany)

07:00 pm 7:00 Gala Dinner Mensa

34 35 2016 March 1 – 4 | Bochum, Germany PROGRAMME | THURSDAY MARCH 3, 2016

09:00 am – 10:00 am 10:30 am – 12:30 pm Plenary Talk 4 Audimax Section 4 – Finance, Insurance, Risk: Modeling Room NA 01/99 Chair: Evgeny Spodarev Chair: Kathrin Glau 9:00 Duality methods in portfolio optimization under trans­ 10:30 Asian malliavin monte carlo greeks for general jump diffusions Plenary Talk action costs Anselm Hudde (Essen, Germany) Walter Schachermayer (Vienna, Austria) 11:00 Derivative pricing using a reduced basis method for parameter functions 10:30 am – 12:30 pm Antonia Mayerhofer (Ulm, Germany) 11:30 Chebyshev interpolation for parametric option pricing Section 1 – Stochastic Analysis HZO Room 40 Maximilian Gaß (Garching, Germany) Chair: Mikhail Urusov 12:00 Magic points in finance and stochastics: Empirical interpolation and 10:30 Adaptive approximation of the minimum of brownian motion ­applications André Herzwurm (Kaiserslautern, Germany) Kathrin Glau (Garching, Germany) 11:00 Optimal strong approximation of the one-dimensional squared bessel process HZO Room 80 Mario Hefter (Kaiserslautern, Germany) Section 5 – Stochastics in Physics and Biology Chair: Alexander Drewitz 11:30 On very hard approximation problems for stochastic differential equations 10:30 The first-passage time of the Brownian motion to a curved boundary: Larisa Yaroslavtseva (Passau, Germany) Thursday An algorithmic approach Section 2 – Spatial Stochastics HZO Room 50 Samuel Herrmann (Dijon, France) Chair: Christian Hirsch 11:00 Limit theorems for sums of independent random variables and feynman integral 10:30 Disagreement percolation for point processes Nataliia Smorodina (St. Petersburg, Russian Federation) Christoph Hofer-Temmel (Den Helder, Netherlands) 11:30 On the Dynamic of Lévy driven SDEs 11:00 Enlargement of subgraphs of infinite graphs by Bernoulli percolation Kai Kümmel (Jena, Germany) Kazuki Okamura (Kyoto City, Japan) Section 6 – Stochastic Processes HZO Room 90 11:30 High dimensional lattice trees and animal Chair: Sylvie Roelly Robert Fitzner (Eindhoven, Netherlands) 10:30 Ends of branching random walks on planar hyperbolic Cayley graphs 12:00 Generalized relative neighborhood graphs - a powerful tool for investigating Lorenz Gilch (Graz, Austria) the microstructure influence on effective properties of advanced functional 11:00 Infinite excoursions router walks on regular trees materials Sebastian Mueller (Marseille, France) Matthias Neumann (Ulm, Germany) 11:30 Reflected random walk in one and more dimensions Section 3 – Limit Theorems, Large Deviations, Extremes Room NA 02/99 Judith Kloas (Graz, Austria) Chair: Sebastian Andres 12:00 Alternating birth-death processes in a random environment 10:30 A leader-election procedure using records Hans Daduna (Hamburg, Germany) Alexander Marynych (Münster, Germany) 11:00 Large excursions of recursive sequences generated by random matrices Sebastian Mentemeier (Dortmund, Germany) 11:30 The CLT analogue for cyclic urns Noela Müller (Frankfurt am Main, Germany) 12:00 The path length of digital search trees under the Markov Model Kevin Leckey (Melbourne, Australia)

36 37 2016 March 1 – 4 | Bochum, Germany

10:30 am – 12:30 pm 10:30 am – 12:30 pm Section 7 – Time Series HZO Room 100 Section 10 – Statistics of Stochastic Processes Room NA 3/99 Chair: Carsten Jentsch Chair: Reinhard Hoepfner 10:30 Moving average sieve bootstrap for stationary time series 10:30 Nonparametric change-point analysis of volatility Jonas Krampe (Braunschweig, Germany) Markus Bibinger (Mannheim, Germany) 11:00 On irregularly observed time series – asymptotics and the block bootstrap 11:00 „Change in space“-point estimation for diffusion processes Tobias Niebuhr (Hamburg, Germany) Marcel Brauer (Bochum, Germany) 11:30 Consistency of the sequential bootstrap for dependent Hilbert space-valued 11:30 Scale invariant volatility estimation in scalar diffusions random variables and its application to change point analysis Jakub Chorowski (Berlin, Germany) Olimjon Sharipov (Tashkent, Uzbekistan) 12:00 Adaptive invariant density estimation and testing in anisotropic diffusion 12:00 Change-Point Detection and Bootstrap for Hilbert Space valued random fields ­models: A functional inequalities approach Beatrice Bucchia (, Germany) Claudia Strauch (Heidelberg, Germany) Section 8 – Data Analysis and Computational Statistics Room NA 2/99 Section 11 – High Dimensional Inference HZO Room 70 Chair: Sándor Baran Chair: Thorsten Dickhaus 10:30 Performance control in sensory analysis by the functional principal component 10:30 Aspects of ultrahigh dimensional feature selection using non-local priors analysis of probability density functions Valen Johnson (College Station, United States)

Smail Yousfi (Bejaia, Algeria) Thursday 11:30 Non-asymptotic upper bounds for the reconstruction error of PCA 11:00 Mixture model clustering using variable data segmentation Martin Wahl (Berlin, Germany) Hamza Erol (Adana, Turkey) 02:00 pm – 04:00 pm 11:30 A new method of robust statistics Wolfgang Stummer (, Germany) Section 1 – Stochastic Analysis HZO Room 40 Chair: Sonja Cox 12:00 Reversible Markov chain estimation Benjamin Trendelkamp-Schroer (Berlin, Germany) 2:00 Local cylindrical continuous martingales and stochastic partial differential equations HZO Room 60 Section 9 – Nonparametric and Asymptotic Statistics Ivan Yaroslavtsev (Delft, Netherlands) Chair: Melanie Birke 2:30 Pattern size in Gaussian fields from spinodal decomposition 10:30 Subsampling: Validity under Long-Range dependence and application to a Luigi Amedeo Bianchi (Augsburg, Germany) self-normalized change-point test Annika Betken (Bochum, Germany) 3:00 Modulation Equation for SPDEs in unbounded domains with space-time white noise 11:00 Structural break detection using Fourier methods Dirk Blömker (Augsburg, Germany) Max Wornowizki (Dortmund, Germany) 3:30 On a scaling limit of the parabolic Anderson model with exclusion interaction 11:30 Additive time-dependent Hazard model with randomly double-truncated data Dirk Erhard (Coventry, United Kingdom) Gordon Frank (, Germany) Section 2 – Spatial Stochastics HZO Room 50 Chair: Dominic Schuhmacher 2:00 Parametric estimation of intensity and conditional intensi- Invited Talk ty of spatial point processes: overview, recent advances and new problems Jean-François Coeurjolly (Grenoble, France)

38 39 2016 March 1 – 4 | Bochum, Germany

02:00 pm – 04:00 pm 02:00 pm – 04:00 pm Section 3 – Limit Theorems, Large Deviations, Extremes Room NA 02/99 Section 6 – Stochastic Processes HZO Room 90 Chair: Lutz Mattner Chair: Ilya Molchanov 2:00 On the Breiman conjecture 2:00 On the approximate Hölder index for trajectories of stable processes Peter Kevei (Garching, Germany) Vitalii Senin (Berlin, Germany) 2:30 Generalized strong law of large numbers for intermediately trimmed sums 2:30 Transition probabilities for Feller processes: Parametrix construction Tanja Schindler (, Germany) Franziska Kühn (Dresden, Germany) 3:00 A second order Poincaré inequality for Rademacher functionals 3:00 Harris‘ theorem for diffusions without minorization condition Kai Krokowski (Bochum, Germany) Raphael Zimmer (Bonn, Germany) 3:30 Hankel determinants of random moment sequences 3:30 An inverse problem in the theory of Lévy random fields Dominik Tomecki (Bochum, Germany) Stefan Roth (Ulm, Germany) Section 4 – Finance, Insurance, Risk: Modeling Room NA 01/99 Section 7 – Time Series HZO Room 100 Chair: Ralf Wunderlich Chair: Moritz Jirak 2:00 Risk-Sensitive Stopping Problems for CTMC 2:00 Locally stationary processes in continuous time Anton Popp (Karlsruhe, Germany) Annemarie Bitter (Ulm, Germany) 2:30 Explicit optimal portfolio policies under partial information and convex constraints 2:30 Robust estimation of continuous-time ARMA processes Thursday Christian Vonwirth (Kaiserslautern, Germany) Sebastian Kimmig (Karlsruhe, Germany) 3:00 Dynamic portfolio optimization under a shortfall risk constraint 3:00 Nonparametric identification and maximum likelihood estimation for hidden Oliver Janke (Berlin, Germany) Markov models 3:30 Optimized expected utility risk measures: properties and ratings by implied risk Anna Leister (Marburg, Germany) aversion 3:30 Specification testing in nonparametric AR-ARCH models Jörn Sass (Kaiserslautern, Germany) Leonie Selk (Hamburg, Germany) Section 5 – Stochastics in Physics and Biology HZO Room 80 Section 9 – Nonparametric and Asymptotic Statistics Room NA 2/99 Chair: Noemi Kurt Chair: Carsten Jentsch 2:00 Distances between Lévy measures and noise sensitivity of Lévy driven SDE 2:00 A test for independence based on the probability weighted empirical character­ with applications istic function Tetiana Kosenkova (, Germany) Anne Leucht (Braunschweig, Germany) 2:30 Dynamics of Non-densely defined stochastic evolution equations 2:30 Testing hypotheses about mixture distributions using not identically distributed Alexandra Neamtu (Jena, Germany) data 3:00 A control theory approach to the Schrödinger equation Daniel Gaigall (Düsseldorf, Germany) Jeanette Köppe (Halle (Saale), Germany) 3:00 The limit distribution of weighted L²-Goodness-of-Fit statistics under fixed 3:30 A randomized weighted p-Laplacian evolution equation with Neumann alternatives, with applications Boundary conditions Norbert Henze (Karlsruhe, Germany) Alexander Nerlich (Ulm, Germany) 3:30 Weighted Kolmogorov-Smirnov tests in one- and two-sample problems Veronika Gontscharuk (Düsseldorf, Germany)

40 41 2016 March 1 – 4 | Bochum, Germany

02:00 pm – 04:00 pm 04:30 pm – 06:30 pm Section 9 – Nonparametric and Asymptotic Statistics HZO Room 60 Section 1 – Stochastic Analysis HZO Room 40 Chair: Dominik Liebl Chair: Stefan Tappe 2:00 Multi-Scale testing for monotonicity and modality in multivariate density 4:30 Higher order variance reduction for discretised diffusions via regression ­estimation Stefan Häfner (Essen, Germany) Konstantin Eckle (Bochum, Germany) 5:00 An importance sampling technique in Monte Carlo methods for SDEs with a.s. 2:30 Inference for monotone functions under short and long range dependence stable and p-th moment unstable equilibrium Pramita Bagchi (Bochum, Germany) Andreas Thalhammer (Linz, Austria) 3:00 Nonparametric estimation of isotonic conditional mean functions 5:30 Rough differential equations on Besov spaces Michael H. Neumann (Jena, Germany) David Prömel (Zürich, Switzerland) 3:30 Lower bounds for the rates of convergence in estimation under multi-index 6:00 Invariant measures for rough differential equations constraint Sebastian Riedel (Berlin, Germany) Nora Serdyukova (Concepcion, Chile) Section 1 – Stochastic Analysis HZO Room 50 Section 11 – High Dimensional Inference Room NA 3/99 Chair: Jonas Tölle Chair: Thorsten Dickhaus 4:30 Noise-induced stabilzation of explosive ODEs 2:00 Divergence based Inference for High-dimensional regression problems: Matti Leimbach (Berlin, Germany) Uncertainty assessment, robustness and efficiency 5:00 Path-by-path uniqueness of solutions of stochastic heat equation with a drift Thursday Anand Vidyashankar (Fairfax, United States) Oleg Butkovsky (Haifa, Israel) 2:30 Automatic model selection with MBO: A bridge between high-dimensional 5:30 Asymptotic expansions for SDE‘s with small multiplicative noise ­survival analysis end efficient model optimization Boubaker Smii (Dhahran, Saudi Arabia) Jörg Rahnenführer (Dortmund, Germany) 6:00 The Enskog Process 3:00 On comparison of lasso and ridge Barbara Rüdiger (, Germany) Silvelyn Zwanzig (Uppsala, Sweden) Section 2 – Spatial Stochastics Room NA 02/99 3:30 Spectral analysis of High-Dimensional sample covariance matrices with Chair: Werner Nagel ­missing observations Kamil Jurczak (Bochum, Germany) 4:30 Discrete Malliavin-Stein method and random graphs Anselm Reichenbachs (Bochum, Germany) Section 12 – Finance, Insurance, Risk: Statistics HZO Room 70 Chair: Vicky Fasen 5:00 Subgraph and cluster counting in the random connection model Guenter Last (Karlsruhe, Germany) 2:00 In-sample forecasting with application to non-life insurance Munir Hiabu (London, United Kingdom) 5:30 Large deviations in relay-augmented wireless networks Christian Hirsch (Berlin, Germany) 2:30 Generalized pareto processes and liquidity Sascha Desmettre (Kaiserslautern, Germany) 6:00 Some remarks on a Procrustes-based procedure for random tomography Christian Rau (Shantou, China) 3:00 CPPI strategies and the problem of long-term guarantees Yi-Ting Tsai (, Germany) Section 3 – Limit Theorems, Large Deviations, Extremes Room NA 01/99 Chair: Bero Roos 4:30 Local limit theorem with rates for sums of partial quotients of continued fractions Lothar Heinrich (Augsburg, Germany) 5:00 A quantitative version of de Jong‘s CLT for generalized multilinear forms Christian Döbler (Luxembourg, Luxembourg) 5:30 On the time-dependent convergence rate of the binomial tree scheme Antti Luoto (Jyväskylä, Finland) 6:00 Conditional limit laws for homothetic distributions and their generalizations Miriam Isabel Seifert (Hamburg, Germany)

42 43 2016 March 1 – 4 | Bochum, Germany

04:30 pm – 06:30 pm 04:30 pm – 06:30 pm Section 4 – Finance, Insurance, Risk: Modeling HZO Room 80 Section 9 – Nonparametric and Asymptotic Statistics HZO Room 60 Chair: Stefan Thonhauser Chair: Ingo Steinwart 4:30 Solvency and market consistent valuation in life and 4:30 Nonparametric density estimation for multivariate bounded data using two Invited Talk pension insurance Non-Negative multiplicative bias correction methods Thomas Møller (Copenhagen, Denmark) Benedikt Funke (Dortmund, Germany) 5:30 On capital injections and dividends with tax 5:00 Evading the curse of dimensionality in nonparametric density estimation with Hanspeter Schmidli (Köln, Germany) simplified vines Thomas Nagler (Garching, Germany) 6:00 Modeling capital gains taxes in continuous time Christoph Kühn (Frankfurt, Germany) 5:30 Statistical Inference for Density Trees Invited Talk Alessandro Rinaldo (Pittsburgh, United States) Section 5 – Stochastics in Physics and Biology HZO Room 90 Chair: Thomas Richthammer Section 11 – High Dimensional Inference Room NA 3/99 Chair: Silvelyn Zwanzig 4:30 Harris recurrence for strongly degenerate stochastic systems, with application to stochastic Hodgkin-Huxley models 4:30 Permuting Longitudinal Data despite all the dependencies Reinhard Hoepfner (Mainz, Germany) Sarah Friedrich (Ulm, Germany) 5:00 Efficient structure-preserving numerical scheme applied to nonlinear stochastic 5:00 Exact Post-Model selection inference: Uniformly valid confidence regions

filtering of a neural mass model based on the Lasso Thursday Harald Hinterleitner (Linz, Austria) Ulrike Schneider (Vienna, Austria) 5:30 A stochastic model for lotka-volterra cross-diffusion system 5:30 The power of tests for signal detection in high-dimensional data Yana Belopolskaya (St.Petersburg, Russian Federation) Marc Ditzhaus (Düsseldorf, Germany) 6:00 Deterministic approximation of feedback-controlled Markov jump processes 6:00 Martingale approach for multiple testing and FDR control and its application to the chemical master equation Arnold Janssen (Düsseldorf, Germany) Carsten Hartmann (Berlin, Germany) 6:30 Control of Expected Number of False Rejections and False Discovery Rate Section 6 – Stochastic Processes HZO Room 100 under Martingale Dependence Chair: Leif Döring Julia Benditkis (Düsseldorf, Germany) 4:30 Critical density for Activated Random Walks on general graphs Section 12 – Finance, Insurance, Risk: Statistics HZO Room 70 Lorenzo Taggi (Darmstadt, Germany) Chair: Henryk Zähle 5:00 Attractor properties for irreversible and reversible interacting particle systems 4:30 Risk contagion under regular variation and asymptotic independence: Benedikt Jahnel (Berlin, Germany) mean excess and expected shortfall Vicky Fasen (Karlsruhe, Germany) 5:30 Path-dependent infinite-dimensional SDE with non-regular drift: An entropy approach Sylvie Roelly (Potsdam, Germany) 5:00 Higher order elicitability: Expected shortfall is jointly elicitable with value at risk 6:00 Metastability of the Ising model on random regular graphs at zero temperature – Implications for backtesting Sander Dommers (Bochum, Germany) Tobias Fissler (Bern, Switzerland) Section 7 – Time Series Room NA 2/99 5:30 Nonparametric estimation of risk measures of collective risks Alexandra Lauer (Saarbrücken, Germany) Chair: Axel Bücher 6:00 (Optimally-)Robust risk estimation 4:30 Resampling for U-statistics – a new and fast method Peter Ruckdeschel (Oldenburg, Germany) Martin Wendler (Greifswald, Germany) 5:00 Robust sequential Change-Point procedures based on U-Statistics 07:00 pm Christina Stöhr (Magdeburg, Germany) 7:00 General Assembly of the Fachgruppe Stochastik HZO Room 40 5:30 Limit Distribution of Robust Estimators for EGARCH Processes using U-statistics (Members only) Svenja Fischer (Bochum, Germany) 6:00 Depth based estimators and tests for growth models Christoph Kustosz (Dortmund, Germany) 44 45 2016 March 1 – 4 | Bochum, Germany PROGRAMME | FRIDAY MARCH 4, 2016

09:00 am – 11:00 am 09:00 am – 11:00 am Section 1 – Stochastic Analysis HZO Room 40 Section 3 – Limit Theorems, Large Deviations, Extremes HZO Room 70 Chair: Martin Keller-Ressel Chair: Sebastian Mentemeier 9:00 On the stochastic heat equation 9:00 Compactness, large deviations, and the polaron problem Invited Talk Davar Khoshnevisan (Salt Lake City, United States) Chiranjib Mukherjee (New , United States) 10:00 A Stochastic Nonlinear Complex Equation of Ginzberg-Landau Type 9:30 Quenched invariance principle for the Random Conductance Model in a Wilfried Grecksch (Halle (Saale), Germany) degenerate dynamic environment Sebastian Andres (Bonn, Germany) 10:30 Ergodicity an local limits for stochastic local and nonlocal p-Laplace equations Jonas Tölle (Hamburg, Germany) 10:00 Pathwise LDPs for chemical reaction networks Robert Patterson (Berlin, Germany) Section 2 – Spatial Stochastics HZO Room 50 Chair: Günter Last 10:30 Heavy-traffic approximations of queues with a finite number of customers Gianmarco Bet (Eindhoven, Netherlands) 9:00 Characterization of anisotropic Gaussian random fields by Minkowski tensors Michael Andreas Klatt (Karlsruhe, Germany) Section 4 – Finance, Insurance, Risk: Modeling HZO Room 80 Chair: Alfred Müller 9:30 Geometrical Properties of Random Spherical Laplace Eigenfunctions Valentina Cammarota (Rome, Italy) 9:00 Mass at zero and Small-Strike implied volatility expansion in the SABR model Blanka Horvath (Zürich, Switzerland) 10:00 Swap-invariant random sequences and measures Felix Nagel (Bern, Switzerland) 9:30 Affine processes with stochastic discontinuities Robert Wardenga (Dresden, Germany) 10:30 Strong law of large numbers for renewal sets constructed from multiparameter random walks 10:00 Modelling Electricity Prices using Processes with Time-Varying Parameters Oleg Klesov (Kiev, ) Gernot Müller (Augsburg, Germany) Friday Section 3 – Limit Theorems, Large Deviations, Extremes HZO Room 60 10:30 Term structure of defaultable bonds, an approach with Jacobi processes Chair: Jannis Buchsteiner Uwe Schmock (Wien, Austria) 9:00 Limit distribution of the least squares estimator of a cusp Section 6 – Stochastic Processes HZO Room 90 Maik Döring (Stuttgart, Germany) Chair: Anita Winter 9:30 The multivariate sequential empirical process under long-range dependence 9:00 Occupation times of stochastic processes Jannis Buchsteiner (Bochum, Germany) Nicos Starreveld (Amsterdam, Netherlands) 10:00 Weak convergence of the empirical copula process with respect to weighted 9:30 Ornstein-Uhlenbeck type integral equations in space and time metrics Viet Son Pham (Garching, Germany) Betina Berghaus (Bochum, Germany) 10:00 Operator-Stable and Operator-Self-Similar Random Fields 10:30 The large deviations and exact Bahadur efficiency of the Baringhaus and Dustin Kremer (Siegen, Germany) Taherizadeh exponentiality test 10:30 Convex Hull of Lévy Processes Anna Tchirina (St. Petersburg, Russian Federation) Florian Wespi (Bern, Switzerland)

46 47 2016 March 1 – 4 | Bochum, Germany

09:00 am – 11:00 am 09:00 am – 11:00 am Section 6 – Stochastic Processes HZO Room 100 Section 12 – Finance, Insurance, Risk: Statistics Room NA 2/99 Chair: Sebastian Müller Chair: Anja Janßen 9:00 Reciprocal classes of continuous time random walks on a graph 9:00 Estimation of cointegrated MCARMA processes Giovanni Conforti (Leipzig, Germany) Markus Scholz (Karlsruhe, Germany) 9:30 The age distribution in a linear birth and death process 9:30 Conditional distributions of fractional Lévy processes with application to Fabian Kück (Göttingen, Germany) financial time series and market modelling Holger Fink (München, Germany) 10:00 Growth-fragmentation processes and bifurcators Quan Shi (Zürich, Switzerland) 10:00 Regime-Switching Models and Filterbased Volatility Elisabeth Leoff (Kaiserslautern, Germany) 10:30 Collisions and covering by Brownian motions on trees Anita Winter (Essen, Germany) 11:30 am – 12:30 pm Section 7 – Time Series Room NA 02/99 Plenary Talk 5 Audimax Chair: Anne Leucht Chair: Holger Dette 9:00 Time Reversibility of INAR(1) Processes and Testing for Poisson Innovations 11:30 Likelihood ratios for eigenvalues in spiked multivariate Christian Weiß (Hamburg, Germany) Plenary Talk models 9:30 Fully Modified OLS Estimation of Spatially Correlated Cointegrated Systems Iain Johnstone (Stanford, United States) Leopold Sögner (Vienna, Austria) Closing Audimax 10:00 Cointegrating multivariate polynomial regressions: Fully modified OLS estimation and inference Oliver Stypka (Dortmund, Germany) Section 9 – Nonparametric and Asymptotic Statistics Room NA 01/99 Chair: Daniel Vogel Friday 9:00 Spatial sign correlation Daniel Vogel (Old Aberdeen, United Kingdom) 9:30 Skewness-kurtosis adjusted decisions Wolf-Dieter Richter (Rostock, Germany) 10:00 Goodness-of-fit tests for complete spatial randomness based on Minkowski functionals Bruno Ebner (Karlsruhe, Germany) 10:30 Weighted tests for distributional change in long-memory processes Johannes Tewes (Bochum, Germany)

48 49 2016 March 1 – 4 | Bochum, Germany PARTICIPANTS

Markus Ableidinger Carina Beering Melanie Birke Christian Buchta Johannes Kepler University Linz TU Braunschweig Universität Bayreuth Salzburg University Rauf Ahmad Anita Behme Matthias Birkner Micha Buck Uppsala University TU München Uni Mainz TU Darmstadt Patricia Alonso-Ruiz Christoph Belak Stefan Birr Evelyn Buckwar Ulm University University of Trier Ruhr-Universität Bochum Johannes Kepler Universität Linz Sebastian Andres Yana Belopolskaya Nicolai Bissantz Sven Buhl St.Petersburg University for Architecture Ruhr-Universität Bochum Technische Universität München and Civil Engineering Merdan Artykov Annemarie Bitter Oleg Butkovsky Technical University of Dortmund Julia Benditkis Ulm University Technion - Israel Institute of Technology Heinrich Heine University Nicolas Asin Ingrid Blaschzyk Eugenio Buzzoni Université catholique de Louvain Viktor Benes TU Berlin Charles University in Prague Frank Aurzada Dirk Blömker Federico Camerlenghi Technische Universität Darmstadt Viktor Bengs Universität Augsburg Università Bocconi Milan Philipps Universität Marburg Mahdi Azimi Tilman Johannes Bohl Valentina Cammarota Martin-Luther-Universität Halle-Wittenberg Betina Berghaus Alere Technologies GmbH Jena University of Rome Tor Vergata Ruhr-Universität Bochum Ehsan Azmoodeh Markus Böhm Simon Campese University of Vaasa Kevin Berk Friedrich-Schiller-Universität Jena Università di Roma Tor Vergata Ellen Baake Erwin Bolthausen Mustafa Çavuş David Beßlich Universität Zürich Anadolu University Technische Universität Berlin Achref Bachouch Lena-Susanne Boltz Jamil Chaker Humboldt Univesität zu Berlin Gianmarco Bet Friedrich-Schiller-Universität Jena Bielefeld University Eindhoven University of Technology Pramita Bagchi Gilles Bonnet Damien Challet Carina Betken University of Osnabrück CentraleSupélec Châtenay-Malabry Universität Osnabrück Christoph Bandt Anton Bovier Vaidotas Characiejus Universität Greifswald Annika Betken Rheinische Friedrich-Wilhelms Ruhr-Universität Bochum Ruhr-Universität Bochum Universität Bonn Sándor Baran Carsten Chong University of Debrecen Thorsten Bhatti Dirk-Philip Brandes Technische Universität München Heinrich-Heine Universität Düsseldorf Ulm University Andrea Barth Jakub Chorowski University of Stuttgart Muhammad Bilal Bhutta Christian Bräu Humboldt-Universität zu Berlin University of Veterinary and University of Augsburg Daniel Bartl Andreas Christmann Animal Sciences Lahore Pakistan Universität Konstanz Marcel Brauer University of Bayreuth Todor Bilarev Ruhr-Universität Bochum Eren Bas Jean-Francois Coeurjolly Humboldt-Universität zu Berlin Giresun University Beatrice Bucchia Laboratoire Jean Kuntzmann Grenoble Luigi Amedeo Bianchi Nicole Bäuerle Diana Conache Universität Augsburg Karlsruhe Institute of Technology (KIT) Axel Bücher TU München Markus Bibinger Ruhr-Universität Bochum Hendrik Baumann Giovanni Conforti Universität Hamburg Jannis Buchsteiner Universität Leipzig Jana Bielagk Ruhr-Universität Bochum Florian Baumgartner Fernando Cordero Humboldt-Universität zu Berlin Universität Innsbruck Universität Bielefeld

50 51 2016 March 1 – 4 | Bochum, Germany

Sonja Cox Sander Dommers Benjamin Eltzner Sarah Friedrich University of Amsterdam Ruhr-Universität Bochum Universität Göttingen Ulm University David Criens Maik Döring Laszlo Erdös Sebastian Fuchs Technische Universität München Institute of Science and Technology Austria Technische Universität Dresden Imma Valentina Curato Leif Döring Dirk Erhard Benedikt Funke Ulm University Uni Mannheim Warwick University TU Dortmund Claudia Czado Achim Dörre Hamza Erol Jozef Gábik Technische Universität München Çukurova University VUB, a.s. Bratislava Hans Daduna Martin Drapatz Gil Esteban Daniel Gaigall University Ulm Universidad Técnica Federico Santa María Heinrich-Heine-University Düsseldorf Zoubir Dahmani Holger Drees Matthias Eulert Nina Gantert Umab, Mostaganem University of Hamburg Technische Universität München Silvio Decarolis Alexander Drewitz Vicky Fasen Christophe Garban Tipico Co. Ltd. St. Julian's Universität zu Köln Karlsruhe Institute of Technology (KIT) Université Lyon Herold Dehling Sandrine Dudoit Michael Fiedler Maximilian Gaß Ruhr-University Bochum Berkeley School of Public Health Universität Hildesheim Technical University of Andrej Depperschmidt Florian Dumpert Johannes Fiedler Christel Geiss Uni Bayreuth Universität -Essen Universitiy of Jyväskylä Sascha Desmettre Claudio Durastanti Jose E. Figueroa Lopez Stefan Geiss University of Kaiserslautern Ruhr Universität Bochum Washington University in St. Louis University of Jyväskylä Nils Detering Alexander Dürre Holger Fink Juliane Geller University of Munich TU Dortmund Ludwig-Maximilians-Universität München FSU Jena Holger Dette Daniel Ebel Mareike Fischer Fabian Gerle Ruhr-Universität Bochum Universität Hamburg Ernst-Moritz-Arndt- University Duisburg-Essen Thorsten Dickhaus Andreas Eberle Svenja Fischer Julian Gerstenberg University of Bonn Ruhr-Universität Bochum Leibniz Universitität Hannover Gauthier Dierickx Bruno Ebner Tobias Fissler Carina Gerstenberger Vrije Universiteit Brussel Karlsruhe Institute of Technology (KIT) University of Bern Ruhr-Universität Bochum Todor Dinev Konstantin Eckle Robert Fitzner Fabian Gieringer Universität Trier Ruhr-Universität Bochum TU Eindhoven Karlsruhe Institute of Technology (KIT) Martin Dirrler Erol Egrioglu Gordon Frank Lorenz A. Gilch University of Mannheim Giresun University University of Rostock Technische Universität Graz Paolo Di Tella Peter Eichelsbacher Brice Franke Nadine Gissibl Technische Universität Dresden Ruhr University Bochum Université de Brest Technische Universität München Marc Ditzhaus Uwe Einmahl Uta Freiberg Kathrin Glau Heinrich-Heine-University of Duesseldorf Vrije Universiteit Brussel Universität Stuttgart Technische Universität München Christian Döbler Julia Eisenberg Peter Frentrup Maruf Gogebakan University of Luxembourg TU Vienna Humboldt-Universität zu Berlin Abdullah Gul University Markus Doktor Abdessamad Elrharras Roland Fried Johannes Goldbach TU Kaiserslautern University of Hassan II Casablanca TU Dortmund University University of Siegen

52 53 2016 March 1 – 4 | Bochum, Germany

Veronika Gontscharuk Norbert Henze Thomas Hotz Kamil Jurczak German Diabetes Center Düsseldorf Karlsruhe Institute of Technology (KIT) TU Ilmenau Ruhr-Universität Bochum Peter Grabarczyk Martin Herdegen Stephan Huckemann Zakhar Kabluchko TU Dortmund ETH Zürich Universität Göttingen University of Münster Wilfried Grecksch Samuel Herrmann Anselm Hudde Jürgen Kampf Martin-Luther-University Halle-Wittenberg Université de Bourgogne Universität Duisburg-Essen Miryana Grigorova André Herzwurm Daniel Hug Edgar Kaufmann Humboldt University-Berlin TU Kaiserslautern Karlsruhe Institute of Technology (KIT) Universität Siegen Julian Grote Klaus Th. Hess Sebastian Hummel Rafael Kawka Ruhr-University Bochum Universität Rostock Bielefeld University TU Dortmund Rudolf Grübel Robert Hesse Amelie Hüttner Karsten Keller Leibniz Universität Hannover Friedrich-Schiller-Universität Jena Technische Universität München Universität zu Lübeck I. Cetin Gülüm Benjamin Heuer Riikka Huusari Martin Keller-Ressel UT Vienna Georg-August-Universität Göttingen University of Helsinki TU Dresden Stefan Häfner Markus Heydenreich Peter Imkeller Klebert Kentia Tonleu University of Duisburg-Essen LMU München Humboldt-Universität zu Berlin Goethe-Universität Frankfurt Klaas Hagemann Munir Hiabu Toshiya Iwashita Peter Kern Leibniz Universität Hannover City University London Tokyo University of Science Heinrich-Heine-University Düsseldorf Martin Hairer Harald Hinterleitner Benedikt Jahnel Patrick Kern The University of Warwick Johannes Kepler University Linz Weierstrass Institute for Applied Analysis Universität des Saarlandes and Stochastics Berlin Ben Hambly Christian Hirsch Marvin Kettner University of Oxford Weierstrass Institute for Applied Analysis Oliver Janke TU Darmstadt and Stochastics Berlin Humboldt-Universität zu Berlin Minna Hannula Peter Kevei University of Helsinki Imke Höfers Sabine Jansen Technische Universität München Brandenburgische Technische Universität Ruhr-Universität Bochum Matthias Hansmann Davar Khoshnevisan Cottbus-Senftenberg Technische Universität Darmstadt Arnold Janssen University of Utah Christoph Hofer-Temmel Heinrich-Heine Universität Düsseldorf Wolfgang Härdle Fridolin Kielisch Nederlandse Defensie Academie Humboldt-Universität zu Berlin Anja Janßen Universität Mainz Den Helder University of Copenhagen Philipp Harms Choongrak Kim Michael Hoffmann ETH Zurich Uwe Jensen Pusan National University Ruhr-Universität Bochum University of Hohenheim Carsten Hartmann Sebastian Kimmig Henning Höllwarth Freie Universität Berlin Carsten Jentsch Karlsruhe Institute of Technology (KIT) Georg-August-Universität Göttingen Universität Mannheim Oliver Hauke Paul Kinsvater Hajo Holzmann Universität Trier Moritz Jirak TU Dortmund Philipps-Universität Marburg Humboldt-Universität zu Berlin Mario Hefter Sascha Kissel Reinhard Höpfner TU Kaiserslautern Jan Johannes Ruhr-Universität Bochum Johannes Gutenberg Ruprecht-Karls-Universität Heidelberg Claudio Heinrich Bernhard Klar Julia Hörrmann Aarhus University Valen Johnson Karlsruher Institut für Technologie (KIT) Ruhr-University Bochum Texas University Lothar Heinrich Michael Klatt Blanka Horvath University of Augsburg Iain Johnstone Karlsruhe Institute of Technology (KIT) ETH Zürich / Imperial College London Stanford University

54 55 2016 March 1 – 4 | Bochum, Germany

Maike Klein Holger Kösters Alexandra Lauer Katharina Losch Friedrich-Schiller-Universität Jena Bielefeld University Technische Universität Kaiserslautern Frederik Klement Jonas Krampe Hana Laurincová Aleksejs Lozkins Johannes Gutenberg-Universität Mainz TU Braunschweig VUB, a.s. Bratislava Saint Petersburg State University Achim Klenke Jens-Peter Kreiß Hynek Lavička Jan-Erik Lübbers Universität Mainz TU Braunschweig Faculty of Nuclear Sciences and Technische Universität Darmstadt Physical Engineering Prague Johannes Klepsch Dustin Kremer Antti Luoto TU München University of Siegen Kevin Leckey University of Jyväskylä Monash University Clayton Oleg Klesov Lisa Kristl Thibaut Lux National Technical University of Ukraine "KPI" Technische Universität Darmstadt Matti Leimbach Technical University Berlin TU Berlin Oliver Kley Danijel Krizmanic Tibor Mach Ludwig-Maximilians-Universität University of Rijeka Anna Leister Georg-August-Universität Göttingen Philipps Universität Marburg Tobias Kley Kai Krokowski Mehmet Madensoy London School of Economics Ruhr-Universität Bochum Ute Lenz University of Mannheim Goethe University Frankfurt Anton Klimovsky Katja Krüger Mirco Mahlstedt Universität Duisburg-Essen Universität Paderborn Gunther Leobacher Technical University of Munich Johannes Kepler University Linz (JKU) Judith Kloas Paul Krühner Mateusz Majka Graz University of Technology TU Vienna Elisabeth Leoff University of Bonn Fraunhofer ITWM Kaiserslautern Claudia Klüppelberg Thomas Kruse Daiki Maki Technische Universität München University of Duisburg-Essen Sebastian Lerch Ryukoku University Karlsruhe Institute of Technology (KIT) Lukas Knichel Fabian Kück Jörg Martin Ruhr-Universität Bochum University of Göttingen Anne Leucht Technische Universität HU Berlin Braunschweig Daniel Kobe Christof Külske Alexander Marynych TU Dortmund Ruhr-Universität Bochum Tijana Levajkovic Taras Shevchenko National University University of Innsbruck of Kyiv Satoru Koda Franziska Kühn Kyushu University Technische Universität Dresden Dominik Liebl Lutz Mattner University Bonn Universität Trier Piotr Kokoszka Christoph Kühn Colorado State University Goethe University Frankfurt Friedrich Liese Antonia Mayerhofer Rostock Ulm University Hakam Kondakji Kai Kümmel BTU Cottbus - Senftenberg Friedrich-Schiller-Universität Jena Nick Lindemulder Stepan Mazur Delft University of Technology Lund University Wolfgang König Michael Kupper Weierstraß-Institut Berlin Finn Lindgren Parinaz Mehdipour University of Bath Non-Communicable Diseases Research Philipp König Noemi Kurt Center Tehran Universität Hildesheim TU Berlin Felix Lindner TU Kaiserslautern Alexander Meier Maria Konstantinou Christoph Kustosz Otto-von-Guericke-Universität Magdeburg Ruhr-Universität Bochum TU Dortmund Robert Link Universität Duisburg-Essen Matthias Meiners Jeanette Köppe Dirk Lange Technische Universität Darmstadt Martin-Luther-Universität Halle-Wittenberg Karlsruhe Institute of Technology (KIT) Jingjia Liu Ludwig-Maximilians-Universität München Yaroslav Melnyk Tetiana Kosenkova Günter Last École polytechnique fédérale de Lausanne Potsdam University Karlsruhe Institute of Technology

56 57 2016 March 1 – 4 | Bochum, Germany

Olaf Menkens Christine Müller Kiheiji Nishida David Prömel Dublin City University (DCU) TU Dortmund University Hyogo University Of Health Sciences ETH Zürich Sebastian Mentemeier Thomas Müller-Gronbach Marco Oesting Mathias Rafler TU Dortmund Universität Siegen TU Berlin Thomas Miera Kevin Musielak Kazuki Okamura Tahirivonizaka Rahantamialisoa Ruhr-Universität Bochum Universität Siegen Kyoto University Leibniz Universität Hannover Fabian Mies Thomas Møller Sonja Otten Jörg Rahnenführer RWTH University of Copenhagen University of Hamburg TU Dortmund University Hartmut Milbrodt Werner Nagel Christian Palmes Gayrat Rakhimov University of Rostock Friedrich-Schiller-Universität Jena TU Dortmund Academic Lyceum Martin Möhle Jan Nagel Vladimir Panov Christian Rau University of Tübingen TU München Higher School of Economics Moscow Shantou University Maria Mohr Felix Nagel Antonis Papapantoleon Kerstin Reckrühm Universität Hamburg University of Bern TU Berlin Otto-von-Guericke-Universität Magdeburg Annette Möller Thomas Nagler Somar Nacy Martin Redmann University of Göttingen Technische Universität München University of Baghdad MPI Magdeburg Sebastian Mueller Jamal Najim Nestor Parolya Anselm Reichenbachs Aix-Marseille Université CNRS and Université Paris Est Leibniz University Hannover Ruhr University Bochum Marvin Mueller Alexandra Neamtu Tim Patschkowski Benjamin Reichenwallner TU Dresden Friedrich-Schiller University Jena Ruhr-Universität Bochum University of Salzburg Antje Mugler Peter Nejjar Robert Patterson Lena Reichmann University of Technology ENS Paris Weierstraß-Institut Berlin Universität Bayreuth Cottbus-Senftenberg Peter Nelson Ilya Pavlyukevich Markus Reiß Riyadh Rustam Muhsen Universität Mainz Friedrich Schiller University Jena Humboldt-Universität zu Berlin University of Thi-Qar Dóra Nemoda Lavinia Perez-Ostafe Matthias Reuber Chiranjib Mukherjee University of Miskolc University of Vienna Universität Siegen Courant Institute, New York University Max Nendel Andre Pessik Ehsan Rezaei-Darzi Gernot Müller University of Konstanz Technische Universität Dortmund Non-Communicable Diseases Universität Augsburg Research Center Tehran Alexander Nerlich Viet Son Pham Dennis Müller Ulm University Technische Universität München Wolf-Dieter Richter Karlsruher Institut für Technologie University of Rostock Franz Nestmann Arpad Pinter Alfred Müller Karlsruhe Institute of Technology (KIT) TU Wien Thomas Richthammer Universität Siegen Universität Hildesheim Matthias Neumann Mark Podolskij Noela Müller Ulm University Aarhus University Sebastian Riedel Goethe University Frankfurt a.M. TU Berlin Michael H. Neumann Anton Popp Nadine Müller Friedrich-Schiller-Universität Jena Karlsruhe Institute of Technology (KIT) Alessandro Rinaldo Friedrich-Schiller-Universität Jena Carnegie Mellon University Natalie Neumeyer Clemens Printz Christian Müller Universität Hamburg Universität Duisburg-Essen Michael Röckner Heinrich-Heine Universität Düsseldorf Universität Bielefeld Tobias Niebuhr Katharina Proksch Universität Hamburg University of Göttingen

58 59 2016 March 1 – 4 | Bochum, Germany

Sylvie Roelly Michael Scheutzow Jona Schulz Alexander Steinicke Universität Potsdam TU Berlin Universität Trier University of Innsbruck Angelika Rohde Tanja Schindler Sebastian Schwinn Ingo Steinwart Ruhr-Universität Bochum Universität Bremen TU Darmstadt University of Stuttgart Gerónimo Rojas-Barragán André Schlichting Armin Seibert Robert Stelzer University Duisburg-Essen University of Bonn University of Augsburg Ulm University Silke Rolles Maren Schmeck Miriam Isabel Seifert Benjamin Stemper Technische Universität München Universität zu Köln Helmut Schmidt University Hamburg Technical University Berlin Bero Roos Hanspeter Schmidli Leonie Selk Christina Stöhr University of Trier Universität zu Köln Universität Hamburg Otto-von-Guericke-Universität Magdeburg Mathieu Rosenbaum Klaus D. Schmidt Vitalii Senin Claudia Strauch Université Pierre et Marie Curie Paris Technische Universität Dresden Technical University Berlin Universität Heidelberg Maurizia Rossi Daniel Schmithals Nora Serdyukova Katharina Strohriegl University of Luxembourg Karlsruhe Institute of Technology (KIT) Universidad de Concepción University of Bayreuth Stefan Roth Lars Schmitz Anton Shardin Kirstin Strokorb Ulm University Universität zu Köln BTU Cottbus-Senftenberg University of Mannheim Peter Ruckdeschel Uwe Schmock Olimjon Sharipov Wolfgang Stummer Universität Oldenburg Technische Universität Wien National University of Uzbekistan University of Erlangen-Nürnberg Barbara Rüdiger Ulrike Schneider Irina Shevtsova Anja Sturm Bergische Universität Wuppertal TU Wien Moscow State University Universität Göttingen Wioletta Ruszel Alexander Schnurr Quan Shi Oliver Stypka Technical University Delft Siegen University University of Zurich TU Dortmund Majid Salamat Philipp Schoenbauer Boubaker Smii Jan M. Swart Universität Bielefeld University of Warwick King Fahd University Dhahran Academy of Sciences of the Czech Republic Praha Renato Santos Georg Schollmeyer Nataliia Smorodina Weierstrass Institute Berlin Ludwig Maximilians Universität München PDMI RAS St. Petersburg Karol Szczypkowski Bielefeld University Alexandros Saplaouras Markus Scholz Leopold Sögner Technische Universität Berlin Karlsruhe Institute of Technology (KIT) Institute for Advanced Studies Vienna Michaela Szölgyenyi Vienna University of Economics Jörn Sass Kirsten Schorning Max Sommerfeld and Business University of Kaiserslautern Ruhr-Universität Bochum Universität Göttingen Benedykt Szozda Orimar Sauri Michael Schrempp Ercan Sönmez TU Dortmund Aarhus University Karlsruhe Institute of Technology (KIT) Heinrich-Heine-Universität Düsseldorf Lorenzo Taggi Walter Schachermayer Philipp Schriever Evgeny Spodarev TU-Darmstadt University of Vienna Ruhr-Universität Bochum Ulm University Massimiliano Tamborrino Anna Schäfer Kristina Schubert Mitja Stadje Johannes Kepler University Linz Universität Paderborn Universität Münster Institut für Versicherungswissenschaften Universität Ulm Stefan Tappe Helge Schäfer Dominic Schuhmacher Leibniz Universität Hannover Technische Universität Darmstadt Universität Göttingen Nicos Starreveld University of Amsterdam Anna Tchirina Peter Scheffler Matthias Schulte St Petersburg Electrotechnical University University of Siegen Karlsruher Institut für Technologie Josef G. Steinebach Universität zu Köln

60 61 2016 March 1 – 4 | Bochum, Germany

Fabian Telschow Reimund Vehling Heiko Werner Georg-August-Universität Göttingen Studienseminar für Gymnasien in Hannover Philipps-Universität Marburg Adeyemi Temitope Martin Venker Florian Wespi Abjigin Concept International Bielefeld University University of Bern Reinhard Tent Mathias Vetter Dorothee Westphal Technische Universität Darmstadt Christian-Albrechts-Universität zu TU Kaiserslautern Johannes Tewes Anna Vidotto Maite Wilke Berenguer Ruhr-Universität Bochum University of Luxembourg Technische Universität Berlin Christoph Thäle Anand Vidyashankar Anita Winter Ruhr University Bochum George Mason University Fairfax Universität Duisburg-Essen Andreas Thalhammer Jan Amos Visek Jeannette Woerner Johannes Kepler University Linz Faculty of Social Sciences, TU Dortmund Charles University in Prague Philipp Thomann Max Wornowizki University of Stuttgart Daniel Vogel TU Dortmund Universtity University of Aberdeen Stefan Thonhauser Ralf Wunderlich Technische Universität Graz Christian Vonwirth Brandenburgische Technische Universität Technische Universität Kaiserslautern Cottbus-Senftenberg Jonas Tölle Universität Hamburg Moritz Voß Lu Xu TU Berlin University of Tokyo Dominik Tomecki Ruhr-Universität Bochum Martin Wagner Kouji Yamamoto Technical University Dortmund Osaka University Leonid Torgovitski University of Cologne Martin Wahl Ivan Yaroslavtsev Humboldt-Universität zu Berlin Delft University of Technology Mathias Trabs Université Paris-Dauphine Anton Wakolbinger Larisa Yaroslavtseva Goethe-Universität Frankfurt University of Passau Benjamin Trendelkamp-Schroer FU Berlin Stefan Walter Juha Ylinen TU Darmstadt University of Jyväskylä Yi-Ting Tsai Carl von Ossietzky Universität Oldenburg Robert Wardenga Linglong Yuan TU Dresden Johannes-Gutenberg-Universität Mainz Irene Tubikanec JKU Linz Silke Weber Henryk Zähle Karlsruhe Institute of Technology (KIT) Universität des Saarlandes Nicola Turchi Rühr-Universität Bochum Jan Weis Raphael Zimmer Karlsruhe Institute of Technology (KIT) University of Bonn Maria Umlauft University of Ulm Christian Weiß Silvelyn Zwanzig Helmut Schmidt University Hamburg Uppsala University Mikhail Urusov University of Duisburg-Essen Philip Weißmann Tobias Zwingmann University of Mannheim Philipps-Universität Marburg Ria Van Hecke Ruhr-Universität Bochum Martin Wendler Ernst-Moritz-Arndt-Universität Greifswald Beate Vedder-Stute Fachhochschule Südwestfalen Meschede

62 63 2016 March 1 – 4 | Bochum, Germany SPONSORS HZO – ROOMS

We are grateful for financial support by the German Research Foundation (DFG), Ruhr-University Bochum, SFB 823, RTG 2131, and the DMV Fach­ Floor 1: Room H40 | H50 guppe Stochastik. Floor 2:  Room H60 | H70

Room H80 | H90 | H100 H80 H70 H10 H90 H60 H100 Entry South NA

H40 H30

H50

We are grateful for the support of our partner and sponsors.

Entry Audimax | Mensa / Dining Hall West NA – ROOMS

Floor 2: Room NA 2/99 Floor 1: Room NA 1/99 Floor 01: Room NA 01/99 Floor 02: Room NA 02/99

64 65 UNI CENTER i InternationalInternationales Guest Gästehaus House UFO CAMPUS MAP H Uni-Forum

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s Test Halls t D Versuchshallen IBN round t AkaFö D D e e G ICN P s IAN e f Sport Test P o . BMZ P port Workshopserkstätten DaF (for lodgers TZR) . ativ ZKFZent (rumCen trefür forKlini Clinicalsche resear Forschunch) g r t O aculty MZ i 7 minutes walk F and S M-Nordstr. CulKultur-e to the subway station S Cacafféé Lennershof U 35 dminis i i i A : SH SSC P MABF H U I-Nordstr. T * i update V Parking V M (temporaly not P P Z accessible) zog); Garage (non-public) (non-public) P West C A I I I I Her . R

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stätte and way to the Lottental Chinese Garden Chinese Garden w © internal MZ Arts Centre Comments: Walkway Information Desk Parking Garage U Subway Station i i Information P RZ Computer Centre GA, IA, MA, NA = Central Building of Subject Groups Stairs Bus Stop Venue Information Parking Area H SH Student Services Theme Colours: yellow shape = Humanities; red = ; i P blue = Engineering; green = Natural Sciences Street BMZR Centre for Biomedicine Ruhr SSC Student Service Center Playground (Uni-Zwerge e.V.) TZR Technology Centre Ruhr GAFO = Flat Area of the GA Buildinge (xample) P Women‘s Parking Area CASPO Campus Sports Ground HIA = Lecture Hall of the IA Building e(xample) Street beneath the Campus P UB University Library Handicap-accessible Lift CC Campus Center Explanation (example): NA 1/128: Building NA, Floor 1, Room 128 Visitor Parking FNO Forum Northeast UV University Administration Wall (outdoors) PB VC Vita Campus Remark: Floor 1 = 1st Floor; Floor 01 = 1st Floor downstairs Lecture Hall Centre Gate Central Parking Garage HZO VZ Convention Centre downstairs use lift or stairs to get to the print/copy office and Green Area (Access restricted) P (Underground parking MSZ Multimedia Support Centre i i and alsoH 320, 370, 377 T beneath the Campus) ZN Centre for Neuroinformatics *