P R O G R A M

Wednesday, October 17, 2001
Thursday, October 18, 2001
Friday, October 19, 2001
Saturday, October 20, 2001

Wednesday, October 17, 2001

5:00 p.m.
Reception
International Programs, 300 Strong Hall

7:00 p.m.
Dinner
Free State Brewing Co., 636 Massachusetts

Thursday, October 18, 2001

8:00 a.m. - 12:00 p.m.
Registration
Snow Hall, Third Floor Lobby
Breakfast (Compliments of Math Department), 406 Snow Hall

8:45 am. - 9:15 a.m.
Welcome and Introductions
120 Snow Hall

Jack Porter, Chair, Department of Mathematics, University of Kansas
Robert Barnhill, Vice Chancellor, Research & Public Service, University of Kansas

Session I
9:15 a.m. - 11:20 a.m.
120 Snow Hall
Chair:  Bozenna Pasik-Duncan, University of Kansas

9:15 a.m. - 10:00 a.m.
Guaranteed Optimization of Dynamical Systems,
F. Kirillova, National Academy of Science of Belarus

Chair:  Tyrone Duncan, University of Kansas
10:00 a.m. - 10:20 a.m.
Stochastic Lagrangian Adaptive LQG Control,
Peter Caines, McGill University and David Levanony, Ben Gurion University

10:20 a.m. - 10:40 a.m.
Bayesian Adaptive Control of Partially Observed Markov Processes,
Lukasz Stettner, Polish Academy of Sciences

10:40 a.m. - 11:00 a.m.
Approximate Solutions of Perturbed SDEs,
Jordan Stoyanov, University of New Castle, UK

11:00 a.m. - 11:20 a.m.
Coffee/Tea Break, 406 Snow

Session II
11:20 a.m. - 12:40 p.m.
120 Snow Hall
Chair:  Robert Elliott, University of Calgary

11:20 a.m. - 11:40 a.m.
A Numerical Method for Optimal Stopping Using Linear and Non-Linear Programming
Kurt Helmes, Humboldt University of Berlin, Germany

11:40 a.m. - 12:00 p.m.
A New Martingale Approach for Stochastic Regression Models,
Bernard Bercu, University of Paris-Sud

12:00 p.m. - 12:20 p.m.
Randomization Methods in Optimization and Stochastic Adaptive Control,
Laszlo Gerencser, Zs. Vago and H. Hjalmarsson, MTA SZTAKI

12:20 p.m. - 12:40 p.m.
QoS Measures in Wireless Networks via Stochastic Optimal Control,
Charalambos Charalambous, University of Ottawa

12:40 p.m. - 2:00 p.m.
Lunch (Provided by Math Department), 406 Snow Hall

Session III
2:00 - 4:00 p.m.
120 Snow Hall
Chair:  Lukasz Stettner, Polish Academy of Sciences

2:00 p.m. - 2:20 p.m.
Numerical Approximation for an Investment Problem,
Daniel Hernandez-Hernandez, Centro de Investigacion en Matematica

2:20 p.m. - 2:40 p.m.
Small Noise Asymptotics in Partially Observed Nonlinear Systems and Applications to Statistics,
Francois LeGland and Bo Wang, IRISA

2:40 p.m. - 3:00 p.m.
A Risk-Sensitive Generalization of Maximum A Posterior Probability (MAP) Estimation for Hidden Markov Models,
Steven Marcus and Vahid Ramezani, University of Maryland

3:00 p.m. - 3:20 p.m.
Portfolio Optimization with Jump-Diffusions and Quasi-Deterministic Processes,
Floyd Hanson, University of Illinois at Chicago

3:20 p.m. - 3:40 p.m.
Parametric Selection to Minimize Effect of Worst Case Bounded Model Uncertainty of Disturbance Noise,
E. Bruce Lee, University of Minnesota

3:40 p.m. - 4:00 p.m.
Coffee/Tea Break, 406 Snow

Session IV
4:00 - 5:40 p.m.
120 Snow Hall
Chair:  Kurt Helmes, Humboldt University of Berlin

4:00 p.m. - 4:20 p.m.
Degenerate Variance Ergodic Control,
Daniel Ocone, Rutgers University

4:20 p.m. - 4:40 p.m.
Boundaries of Open Orbits,
David Elliott, University of Maryland

4:40 p.m. - 5:00 p.m.
Nonlinear Stochastic Stability Study of Radar Range Tracker Behavior,
Eyad Abed, University of Maryland

5:00 p.m. - 5:20 p.m.
Classification of Maximal Rank of Finite Dimensional Estimation Algebras in Nonlinear Filtering,
Stephen S.-T. Yau, University of Illinois at Chicago

5:20 p.m. - 5:40 p.m.
A Partially-observed Model for Micro-movement of Stock Prices with Bayes Estimation via Filtering Equation,
Yong Zeng, University of Missouri at Kansas City

6:30 p.m. - 8:30 p.m.
Dinner
Alvamar Country Club (Provided by Math Department)

Friday, October 19, 2001

8:00 - 9:00 a.m.
Registration
Snow Hall, Third Floor Lobby
Breakfast (Compliments of Math Department)
406 Snow Hall

Session I
9:00 - 11:00 a.m.
120 Snow Hall
Chair:  Peter Caines, McGill University

9:00 a.m. - 9:45 a.m.
The Variational Approach to Nonlinear Filtering and Stochastic Hamiltonian Systems,
Sanjoy Mitter, Massachusetts Institute of Technology

9:45 a.m. - 10:30 a.m.
Scaling Laws for Wireless Networks: How Much Traffic Can They Carry?
P.R. Kumar, University of Illinois

10:30 a.m. - 11:00 a.m.
Coffee/Tea Break, 406 Snow Hall

Session II
11:00 a.m. - 12:30 p.m.
120 Snow Hall
Chair:  George Yin, Wayne State University

11:00 a.m. - 11:45 a.m.
Max-plus Stochastic Processes and Control,
Wendell Fleming, Brown University

11:45 a.m. - 12:30 p.m.
Kalman-type Filter for Nonparametrical On-line Estimation,
Rafail Khasminskii, Wayne State University

12:30 p.m. - 2:00 p.m.
Lunch (Provided by Math Department), 406 Snow Hall

Session III
2:00 - 4:00 p.m.
120 Snow Hall
Chair:  William McEneany, University of California at San Diego

2:00 p.m. - 2:30 p.m.
Stochastic Dynamic Models for TCP, Extensions and Marking: Control Perspective,
John Baras, University of Maryland

2:30 p.m. - 3:00 p.m.
Regime Switching and American Options,
Robert Elliott, University of Calgary, and John Buffington, University of Adelaide

3:00 p.m. - 4:00 p.m.
Discussion and Coffee/Tea Break, 406 Snow Hall

Session IV
4:00 - 5:30 p.m.
120 Snow Hall
Chair:  Steven Marcus, University of Maryland

4:00 p.m. - 4:30 p.m.
Estimation and Filtering in Hidden Markov Models with Applications to Adaptive Control,
Tze Leung Lai, Stanford University

4:30 p.m. - 5:00 p.m.
Particle Filters and Navigation,
P.S. Krishnaprasad, University of Maryland

5:00 p.m. - 5:30 p.m.
Information Based Control Theory,
John Baillieul, Boston University

6:30 p.m. - 8:30 p.m.
Dinner in honor of Tyrone Duncan (Provided by Math Dept.)
Spencer Museum of Art, KU campus
(within walking distance but a shuttle will be available)

Speakers:
Robert Barnhill, University of Kansas,
John Baillieul, Boston University,
Charles Himmelberg, University of Kansas, and
Sanjoy Mitter, Massachusetts Institute of Technology

Cello:  Ed Laut, Professor of Music & Dance, University of Kansas

Saturday, October 20, 2001

8:00 a.m. - 10:00 a.m.
Registration
Snow Hall, Third Floor Lobby
Breakfast (Compliments of Math Department)
406 Snow Hall

Session I
9:00 - 11:00 a.m.
120 Snow Hall
Chair:  David Levanony, Ben Gurion University

9:00 a.m. - 9:20 a.m.
Some Recent Results on Adaptive Filtering and Applications,
George Yin, Wayne State University

9:20 a.m. - 9:40 a.m.
Nonlinear Filtering: A Hybrid Approximation Scheme,
Qing Zhang, University of Georgia

9:40 a.m. - 10:00 a.m.
Error Analysis of a Max-plus algorithm for a First-Order HJB Equation,
William McEneaney, University of California at San Diego

10:00 a.m. - 10:20 a.m.
Analysis of Dependent Defaults via Intensity Based Approach with Applications to Valuation of Basket Credit Derivatives,
Tomasz Bielecki, Northeastern Illinois University

10:20 a.m. - 11:00 a.m.
Coffee/Tea Break

Session II
11:00 a.m. - 12:30 p.m.
120 Snow Hall
Chair:  Floyd Hanson, University of Illinois at Chicago

11:00 a.m. - 11:20 a.m.
Cost Cumulant Control for Protection of Civil Structures,
Michael Sain, University of Notre Dame

11:20 a.m. - 11:40 a.m.
Portfolio Optimization in Markets having Stochastic Rates,
Richard Stockbridge, University of Wisconsin at Milwaukee

11:40 a.m. - 12:00 p.m.
Probabilistic Compartment Model for Cancer Subject to Chemotherapy,
John Westman, University of California at Los Angeles

12:00 p.m. - 12:30 .p.m.
Adaption of Real-Time Seizure Detection Algorithm,
Ivan Osorio, University of Kansas Medical Center and Flint Hills Scientific, L.L.C., Mark Frei, Flint Hills Scientific, L. L. C., and Shane Haas, Massachusetts Institute of Technology and Flint Hills Scientific, L. L. C.

12:30 p.m. - 2:00 p.m.
Lunch
(Participants on their own. See Hospitality Guide for restaurants.)

Session III
2:00 - 3:40 p.m.
120 Snow Hall
Chair:  Xun Yu Zhou, The Chinese University of Hong Kong

2:00 p.m. - 2:20 p.m.
Singularly Perturbed Markov Chair and Applications to Control Problems,
Grazyna Badowski, University of Maryland

2:20 p.m. - 2:40 p.m.
Operator Self-Similar Processes,
Mihaela Matache, University of Nebraska at Omaha

2:40 p.m. - 3:00 p.m.
LQ Control of Backward Stochastic Differential Equations,
Andrew Lim, Columbia University

3:00 p.m. - 3:20 p.m.
The L-Transform in Poisson Noise Calculus,
Allanus Tsoi, University of Missouri

3:20 p.m. - 3:40 p.m.
Coffee/Tea Break

Session IV
3:40 - 5:00 p.m.
120 Snow Hall
Chair:  Jordan Stoyanov, University of New Castle, United Kingdom

3:40 p.m. - 4:00 p.m.
Numerical Approximation of a Coupled Stochastic Partial Differential Equation Model for Simulation of Neurons,
Peter Zimmer, West Chester University

4:00 p.m. - 4:20 p.m.
The ODE Method and Spectral Theory of Markov Operators,
Jianyi Huang, University of Illinois at Chicago

4:20 p.m. - 4:40 p.m.
Chaos Expansion of Local Time of Fractional Brownian Motions,
Yaozhong Hu, University of Kansas

4:40 p.m. - 5:00 p.m.
Capacity of the Multiple-Input, Multiple-Output Poisson Channel,
Shane Haas, Massachusetts Institute of Technology

5:00 p.m.
Closing Remarks
Bozenna Pasik-Duncan

6:30 p.m.
Dinner
Duncan's House, 1208 Schwarz