Stochastic reflection

Workshop theme

Reflecting random walks, or diffusions, are a fundamental class of constrained (or controlled/confined) stochastic processes that have been studied over many decades. Motivation comes from stochastic networks (heavy traffic), including biological and communication networks, interacting particle systems, gas dynamics, and financial models. Computational and statistical applications of reflecting processes include numerical solutions of boundary-value problems or set estimation. The workshop will cover a broad range of topics in this area.

This workshop will take place in the Jock Colville Hall at Churchill College, Cambridge, which is a short walk from the Isaac Newton Institute.

Venue Address:
Churchill College
Storey’s Way
Cambridge
CB3 0DS

Call for posters
The organisers would like to encourage those applying to submit a poster to present at the workshop. If you wish to do so, please indicate this on the relevant section of the application form and provide a title and abstract. Kindly note this is for physical participants only, we are unable to accommodate virtual posters.

Poster acceptance will be determined by the workshop organisers. The deadline for submissions is the 7th April 2024. Notifications of acceptance will be sent shortly thereafter.

Call for contributed talks

The organisers welcome submissions for contributed talks to present at the workshop. If you wish to do so, please indicate this on the relevant section of the application form and provide a title and abstract. Preference will be given to physical attendees.

Contributed talks will be determined by the workshop organisers. The deadline for submissions is the 7th April 2024. Notifications of acceptance will be sent shortly thereafter.

Applications for this workshop are now closed

Fees

Registration Only

Registration Package: £413
Student Registration Package: £363

The Registration Package includes admission to all seminars, lunches and refreshments on the days that lectures take place (Monday - Friday), wine reception and formal dinner, but does not include other meals or accommodation.

Virtual Registration

Virtual Registration Package: £0

Virtual registration is free, and includes virtual admission to all seminars and does not include physical attendance, meals or accommodation.

Formal Dinner Only

Formal Dinner: £60

Participants on the Accommodation Package or Registration Package, including organisers and speakers, are automatically included in this event. For all remaining participants who would like to attend, such as programme participants, the above charge will apply.

Accommodation

Unfortunately, we do not have any accommodation to offer so all successful applicants will need to source their own accommodation.

Limited funding support for accommodation may be available. To request this, please select the "accommodation package" in your application.

Local hotels and accommodation services:

The Institute accepts no responsibility for these services.

Meals

Lunch

Lunch will be served at Churchill College. Timings will be confirmed with the timetable.

Evening Meal

Participants are free to make their own arrangements for dinner.

Formal Dinner

The Formal Dinner will be held at Selwyn College on Wednesday 7th August at 19:30.

Selwyn College was founded in 1882, and boasts beautiful landscaped gardens. The event is a tradition for INI participants and gives you a chance to socialise with your colleagues on a more personal level. It is not one to miss!

Participants on the Accommodation Package or Registration Package, including organisers and speakers, are automatically included in this event.

The Institute kindly requests that any papers published as a result of this programme’s activities are credited as such. Please acknowledge the support of the Institute in your paper using the following text:

The author(s) would like to thank the Isaac Newton Institute for Mathematical Sciences, Cambridge, for support and hospitality during the programme Stochastic reflection, where work on this paper was undertaken. This work was supported by EPSRC grant EP/R014604/1.

Timetable

Monday 5th August 2024
09:00 to 09:45	Registration and morning coffee at Churchill College	External
09:45 to 10:00	Milla Kibble Aalborg Universitet Director and organiser welcome at Churchill College	External
10:00 to 11:00	Rami Atar Technion - Israel Institute of Technology Chair: Ruth Williams On convergence to obliquely reflected Brownian motion in the quarter plane	External
11:00 to 11:30	Morning Coffee	External
11:30 to 12:30	Maria Vlasiou Universiteit Twente Chair: Ruth Williams Brownian Fork-Join Queues	External
12:30 to 14:00	Lunch at Churchill College	External
14:00 to 15:00	Chair: Sergei Fedotov Lightning Session	External
15:00 to 16:00	Afternoon Tea and Poster Session	External
16:00 to 16:30	Guodong Pang Rice University Chair: Sergei Fedotov SPDE for stochastic epidemic models with infection-age dependent infectivity	External
16:30 to 17:30	Welcome Wine Reception and Poster Session at Churchill College	External

Tuesday 6th August 2024
09:00 to 10:00	Sandro Franceschi Institut polytechnique de Paris Chair: Ioannis Karatzas Degenerate systems of three Brownian particles with asymmetric collisions: invariant measure of gaps and differential properties	External
10:00 to 11:00	Nian Si Hong Kong University of Science and Technology; Hong Kong University of Science and Technology Chair: Ioannis Karatzas Numerically Solving Diffusion Control and Queueing Control Problems Based on Neural Networks	External
11:00 to 11:30	Morning Coffee	External
11:30 to 12:30	Chair: Krzysztof Burdzy Open Problem Session	External
12:30 to 14:00	Lunch at Churchill College	External
14:00 to 15:00	Sara Mazzonetto Université de Lorraine; INRIA Nancy - Grand Est Chair: Philip Ernst The number of crossings statistics in local time estimation for Sticky-threshold diffusions	External
15:00 to 15:30	Group photo and afternoon tea	External
15:30 to 16:00	Vadim Shcherbakov Royal Holloway, University of London Chair: Philip Ernst A diffusion limit for a model of interacting spins/queues with log-linear interaction	External
16:00 to 16:30	Rama Cont University of Oxford Chair: Philip Ernst Stochastic dynamics of limit order books: a journey across time scales	External

Wednesday 7th August 2024
09:00 to 10:00	Pierre Yves Gaudreau Lamarre Syracuse University Chair: Bruno Toaldo From Critical Signal Detection to Reflected Brownian Motions	External
10:00 to 11:00	Cristina Costantini Università degli Studi di Chieti-Pescara Chair: Bruno Toaldo Semimartingale obliquely reflecting diffusions in curved nonsmooth domains	External
11:00 to 11:30	Morning Coffee	External
11:30 to 12:30	Chair: Krzysztof Burdzy Open Problem Session	External
12:30 to 14:00	Lunch at Churchill College	External
14:00 to 18:30	Free Afternoon	External
19:30 to 22:00	Formal Dinner at Selwyn College	External

Thursday 8th August 2024
09:00 to 10:00	Helene Guerin UQAM - Université du Québec à Montréal Chair: Kavita Ramanan A growth model for fish competing through their ranks	External
10:00 to 11:00	Gregory Schehr CNRS (Centre national de la recherche scientifique); Sorbonne Université Chair: Kavita Ramanan Universal distribution of the number of minima for random walks and Lévy flights	External
11:00 to 11:30	Morning Coffee	External
11:30 to 12:30	Krzysztof Burdzy University of Washington Chair: Kavita Ramanan PATHWISE NON-UNIQUENESS FOR BROWNIAN MOTION IN A QUADRANT WITH OBLIQUE REFLECTION	External
12:30 to 14:30	Lunch at Churchill College	External
14:30 to 15:00	Miha Bresar University of Warwick Chair: Jacek Malecki Rates of convergence to stationarity with multiplicative noise: from stochastic reflection to denoising diffusions in generative modelling.	External
15:00 to 15:30	Afternoon Tea	External
15:30 to 16:30	Mathav Murugan University of British Columbia Chair: Jacek Malecki Heat kernel for reflected diffusion and extension property on uniform domains	External

Friday 9th August 2024
09:00 to 10:00	Tomoyuki Ichiba University of California, Santa Barbara Chair: Kilian Raschel Directed chain stochastic differential equation with reflection	External
10:00 to 11:00	Andrey Pilipenko National Academy of Sciences of Ukraine Chair: Kilian Raschel Flows generated by stochastic differential equations with reflection	External
11:00 to 11:30	Morning Coffee	External
11:30 to 12:30	Chair: Krzysztof Burdzy Open Problem Session	External
12:30 to 14:00	Lunch at Churchill College	External
14:00 to 15:00	Kavita Ramanan Brown University Chair: Aleks Mijatovic Reflecting on Reflecting Diffusions	External
15:00 to 15:30	Afternoon Tea	External

Stochastic systems for anomalous diffusion

Organisers

Aleksandar Mijatovic University of Warwick; The Alan Turing Institute
Kavita Ramanan Brown University
Kilian Raschel CNRS (Centre national de la recherche scientifique); Université d'Angers
Ruth Williams University of California, San Diego

Speakers

Rami Atar Technion - Israel Institute of Technology
Miha Bresar University of Warwick
Krzysztof Burdzy University of Washington
Rama Cont University of Oxford
Cristina Costantini Università degli Studi di Chieti-Pescara
Sandro Franceschi Institut polytechnique de Paris
Pierre Yves Gaudreau Lamarre Syracuse University
Helene Guerin UQAM - Université du Québec à Montréal
Tomoyuki Ichiba University of California, Santa Barbara
Milla Kibble Aalborg Universitet
Sara Mazzonetto Université de Lorraine; INRIA Nancy - Grand Est
Mathav Murugan University of British Columbia
Guodong Pang Rice University
Andrey Pilipenko National Academy of Sciences of Ukraine
Kavita Ramanan Brown University
Gregory Schehr CNRS (Centre national de la recherche scientifique); Sorbonne Université
Vadim Shcherbakov Royal Holloway, University of London
Nian Si Hong Kong University of Science and Technology; Hong Kong University of Science and Technology
Maria Vlasiou Universiteit Twente

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Participants

Rami Atar Technion - Israel Institute of Technology
Miha Bresar University of Warwick
Krzysztof Burdzy University of Washington
Juan Pablo Chávez Ochoa University of Warwick
Rama Cont University of Oxford
Cristina Costantini Università degli Studi di Chieti-Pescara
Codina Cotar University College London
Wojciech Cygan University of Wroclaw
Conrado Da costa Durham University
Luke Davis University of Cambridge; University College London
Matthew Dickson University of British Columbia
Philip Ernst Imperial College London
Sergei Fedotov University of Manchester
Sandro Franceschi Institut polytechnique de Paris
Pierre Yves Gaudreau Lamarre Syracuse University
Luca Giuggioli University of Bristol
Helene Guerin UQAM - Université du Québec à Montréal
Xinrui hu University of Manchester
Tomoyuki Ichiba University of California, Santa Barbara
Weining Kang University of Maryland, Baltimore County
Ioannis Karatzas Columbia University
Samuel Livingstone University College London
Jacek Malecki Wroclaw University of Technology
Vlad Margarint University of North Carolina
Sara Mazzonetto Université de Lorraine; INRIA Nancy - Grand Est
Aleksandar Mijatovic University of Warwick; The Alan Turing Institute
Alexander Milovanov ENEA C.R. Frascati; Max-Planck-Institut für Physik komplexer Systeme, Dresden
Mathav Murugan University of British Columbia
Guodong Pang Rice University
Maxence Petit Sorbonne Université
Andrey Pilipenko National Academy of Sciences of Ukraine
Helmut Pitters Universität Mannheim
Igor Podlubny Technical University of Kosice
Kavita Ramanan Brown University
Kilian Raschel CNRS (Centre national de la recherche scientifique); Université d'Angers
Isao Sauzedde University of Warwick
Gregory Schehr CNRS (Centre national de la recherche scientifique); Sorbonne Université
Nian Si Hong Kong University of Science and Technology; Hong Kong University of Science and Technology
Terry Soo University College London
Perla Sousi University of Cambridge
Bruno Toaldo Università degli Studi di Torino
Maria Vlasiou Universiteit Twente
Vladislav Vysotskiy University of Sussex
Andrew Wade Durham University
Peter Wildemann University of Cambridge