29 May – 2 June, 2023
Workshop on modeling with Hawkes processes: Theory, Statistics and Applications
University of Warsaw and Institute of Mathematics of the Polish Academy of Sciences
The workshop is meant to account for recent advances in research devoted to various aspects of Hawkes processes. Modeling with Hawkes processes has been intensively studied and applied since the advent of the theory of Hawkes process in early 1970-ties, especially in the recent years. Numerous areas of applications of Hawkes processes include seismology, epidemiology, finance, genetics and insurance. The workshop will encompass recent progress in
- theoretical developments, including asymptotic analysis of Hawkes processes, graph-based methods for modeling structure of excitations, and study of consistency and dependence in Hawkes structures;
- applications, including applications in cyber-insurance, epidemiology and finance;
- computational aspects;
- statistical methods for estimation of Hawkes kernels.
The workshop will take place in the Institute of Mathematics of the Polish Academy of Sciences, Warsaw, Poland. The workshop is organized with the support from the Thematic Research Programs (IDUB) sponsored by the University of Warsaw, and it will take place during an accompanying event - Simons Semester on Stochastic Modeling and Control.
Emmanuel Bacry (CEREMADE, University Paris-Dauphine)
Samuel Cohen (University of Oxford)
Angelos Dassios (London School of Economics & Political Science)
Donatien Hainaut (Université catholique de Louvain)
Caroline Hillairet (ENSAE-Paris, CREST)
Matthias Kirchner (PH NMS Bern)
Eva Löcherbach (Université Paris 1)
Anatoliy Swishchuk (University of Calgary)
Giovanni Luca Torrisi (IAC Consiglio Nazionale delle Ricerche)
Wei Xu (Humboldt-Universität zu Berlin)
The workshop will accommodate a selection of 30 min contributed talks.
Titles and abstracts of proposed contributed talks to be considered for presentation at the workshop must be submitted by 18 March, 2023.
Acceptance decision will be communicated to the contributors by 25 March, 2023.
Organizing and Scientific Committee
Tomasz R. Bielecki (Illinois Tech)
Jacek Jakubowski (University of Warsaw)
Mariusz Nięwęgłowski (Warsaw University of Technology)
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