From Random Walks to Levy Processes

 In Workshop reports

25 – 30 Jan 2014.

ANU Kioloa Campus, NSW south coast

The distinguished French probabilist Paul Lévy introduced Lévy processes in the 1930s as a kind of generalisation of Brownian motion and of random walks, and to this day vigorous theoretical development involving some of the most prominent mathematicians and probabilists has continued. Most recently, a need for modelling jumps, extremes and in general heavy-tailed behaviour of naturally occurring distributions has led to a redoubled effort in the theory of Lévy processes, and extensive development of practical applications has occurred. These efforts have been spread across a variety of fields including physics (turbulence, percolations, “Lévy flights”), geophysics, biology, meteorology, statistics, insurance (ruin and passage time problems), computer science, and finance (asset price modelling, options pricing).  The relative simplicity of Lévy processes and their great flexibility in modelling makes them an essential component of the modern probabilist’s and statistician’s armoury of techniques.

Australian researchers have already contributed significantly to the theory of Lévy processes and their applications in various areas and this conference provided a unique opportunity for Australian researchers, practitioners and students to hear, meet and mingle with a top echelon of the most prominent international and Australian researchers currently working in Lévy processes or closely related areas.  It was a great opportunity to enhance and promoted Australia’s contributions to this hugely important area.

All attendees agreed the conference brought together a great collection of national and international superstars in the area, and provided opportunities for close networking in the extremely pleasant and stimulating Kioloa environment.

 

“Thanks again for organising such a memorable, stimulating and fun event.”

– David Applebaum

Participant Summary

Attendees

NUMBER OF ATTENDEES

25

  • Academic

    64%

  • Postdocs

    0%

  • Post Graduates

    28%

  • Students

    8%

  • Industry

    0%

Gender

Gender Breakdown

State Breakdown
Victoria
12%
Australian Capital Territory
36%
New South Wales
12%
Queensland
0%
South Australia
0%
Western Australia
0%
Tasmania
0%
Northern Territory
0%
Citizenship Status
Domestic - 60%
60%
International - 40%
40%
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