XXIX Stochastic Processes and their Applications VII Brazilian School on Probability


Angra dos Reis, August 3 – 9, 2003

The 29th Conference on Stochastic Processes and their Applications is organized under the auspices of the Bernoulli Society
for Mathematical Statistics and Probability It will be held from 3 to 9 August, 2003 at the Hotel do Frade, Angra dos Reis,
Rio de Janeiro, Brazil. The program consists of fifty-minute lectures delivered by invited speakers, twenty-minute contributed
talks and posters.


  • Scientific Committee

E. Bothausen ( Zurique)
C. Burzdy (Seattle)
P. Ferrari (São Paulo)
M. Keane (Amsterdan)
M. Ledoux (Toulouse)
S. Olla (Paris)
S. R. S. Varadhan (Nova Iorque)
O. Zeitouni (Haifa)


  • Organizing Committee

C. Landim (IMPA, Rio)
A. Simonis (USP, São Paulo)
S. Volchan (PUC-Rio)


  • Invited Speakers

Anton Bovier, WIAS, Berlin – From spin glasses to continuous state branching 

Thomas Mountford, (Ecole Pol. Fed. De Lausanne) – Local convergence for finite range exclusion processes

Krzysztof Burdzy, University of Washington, USA – Trap domains for reflected Brownian motion 

Pablo Ferrari, IME-USP, Brazil – Harness Processes and Gaussian fields 

Frank den Hollander, Eurandom, Netherlands – Metastability under stochastic dynamics (Levy Lecture) 

James Norris, Univ. of Cambridge, UK – Coagulation of Brownian particles 

Dmitry Ioffe, Technion, Haifa, Israel  Joint work with Thierry Bodineau – Stability of Interfaces and Relaxation of Stochastic Dynamics in the Regime of Partial Wetting 


  • Short Communications

A decentralized algorithm for constructing fault-tolerant random overlay networks – A. J. Ganesh, L. Massoulié and A.-M. Kermarrec, Microsoft Research, United Kingdom

Amber L. Puha (California State University San Marcos), Alexander L. Stolyar (Lucent Technologies) and  Ruth J. Williams (University of California San Diego) – The fluid limit of an overloaded processor sharing queue 

Anatoli Iambartsev, Universidade de São Paulo – Random walks in two-dimensional complexes of strings of characters 

André Toom, Federal University of Pernambuco – 1-D particle processes with variable length 

A. P. Zwart, Eindhoven University of Technology – Subexponential asymptotics of hybrid fluid and ruin problems 

Bernardo N. B. de Lima, Universidade Federal de Minas Gerais – Dependent Bernoulli Percolation in Z2 

Byron Schmuland and Wei Sun, University of Alberta – A cocycle proof that reversible Fleming-Viot processes have uniform mutation 

Dietmar P. J. Leisen, McGill University – Mixed lognormal distributions for option pricing and portfolio management 
Edson Alberto Coayla-Teran (Universidade Federal da Bahia) and Paulo Marcelo Dias de Magalhães (Universidade Federal de Ouro Preto) – Stochastic FitzHugh-Nagumo equations in a time dependent domain
Eduardo Jordão Esteves, Department of Statistics IME-USP – Mathematical analysis if interacting gene expression systems

Emilio De Santis and Mauro Piccioni, Universitá di Roma La Sapienza – Ergodicity and perfect simulation for unilateral fields 

Ekaterini Panopoulou and Nikitas Pittis, University of Piraeus – A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a highly persistent cointegration error 

Erhan Bayraktar, Li Chen and H. Vincent Poor, Princeton University – Projection of the forward rate curve onto exponential-polynomial families 

F. Machado, L. R. Fontes and A. Sarkar, University of São Paulo – pc (G) for the frog model is not a monotonic function of G 

Glauco Valle, IMPA – Evolution of the interfaces in a two dimensional Potts model 
H. Christian Gromoll (EURANDOM) and Lukasz Kruk (Maria Curie-Sklodowska University) – Heavy traffic analysis of a real-time processor sharing queue
Hervé Guiol and Thomas Mountford, EPFL – The motion of a second class TASEP particle

Juan Antonio Cuesta-Albertos (Universidad de Cantabria) and Ricardo Fraiman (Universidad de la República, Uruguay) – How many one-dimensional projections suffice to distinguish between two infinite
dimensional probability measures? 
Janusz Kawczak and Stanislav Molchanov, University of North Carolina at Charlotte – On a nilpotent Markov chain – spectrum of the covariance operator

Jason Schweinsberg and Rick Durrett, Cornell University – Random partitions approximating the effect of beneficial mutations 

João M. E. Guerra and David Nualart, Universitat de Barcelona – The 1/H-varitation of the divergence integral with respect to the fractional Brownian motion
for H>1/2 and fractional Bessel processes 

K. Ravishankar (SUNY – College at New Paltz), L. R. G. Fontes (Universidade de São Paulo), M. Isopi (Universita di Bari) and C. M. Newman (New York University) – The Brownian web 

Lawrence L. Hope, The Jackson Laboratory – Decision analysis and simulation for phenotyping studies 

Luiz Renato Fontes, Universidade de São Paulo – A limiting dynamics for Bouchaud’s model at very long times 

Mariela Sued, IMPA – Hydrodynamic limit of assymmetric exclusion processes under diffusive scaling in d >= 3 

Marina Vachkovskaia, University of Campinas – On a harness process interacting with a rarefied wall 

Milton David Jara Valenzuela, IMPA – Finite Aproximation of the Diffusion Coeficient in Simple Exclusion Process 
Pedro J. Méndez-Hernández (University of Utah) and Rodrigo Bañuelos (Purdue University) – Space-time Brownian motion and singular integrals of even kernels

Robert C. Dalang and Violetta Bernyk, École Polytechnique Fédérale – How to win at “Who wants to be a millionaire?” 

Robert Griffiths (University of Oxford) and Maria De Iorio (Imperial College) – Importance sampling on coalescent histories 

R. W. R. Darling (U. S. Department of Defense) and J. R. Norris (St. Lab, Univ. of Cambridge) – Cores of random bipartite graphs via branching processes 

Serban Nacu, University of California – Fast coin simulation 

Serguei Popov, Universidade de São Paulo – Random walks of many particles in random environment 
Sergio Bianchi, University of Cassino – Testing self-similarity of stochastic processes

Stanislav Volkov (University of Bristol), Iain MacPhee (University of Durham), Mikhail Menshikov (University of Durham) and Serguei Popov (University of São Paulo) – The equivalence of behavior of a Markov polling system in a supercritical regime and the corresponding periodic dynamical system 

Tai Melcher, University of California – Malliavin calculus applications to hypoelliptic heat kernel inequalities

Theologos Pantelidis and Nikitas Pittis, University of Piraeus – Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroskedasticity 

Ton Dieker and Michel Mandjes, Center of Mathematics and Computer Science – On asymptotically efficient simulation of large deviation probabilities 

Valentin Sisko, Universidade de São Paulo – On a many-dimensional random walk in a rarefied random environment 

Vladimir A. Kazakov, Polytechnical Institute of Mexico – Application of the kinetic equation for non-markov processes in some statistical
analysis problems 

Vladimir Belitsky and Pablo A. Ferrari, Universidade de São Paulo – Invariant measures and convergence properties for cellular automaton 184 and related processes 

Zach Dietz and Sunder Sethuraman, Iowa State University – Large deviations for a class of non-homogeneous Markov chains 


  • Posters

• Poisson Limit and Cluster Validation
Adilson Simonis, Department of Statistics IME-USP

• Formation and propagation of shocks in the Katz-Lebowitz-Sphon process
Adriano F. Siqueira, Department of Statistics IME-USP

• Non monotonicity of the critical parameter in the frog model
Alexandre Ribeiro Leichsenring, Universidade de São Paulo

• An universal linear relation among acoustic correlates of rhythm
Antonio Galves, Universidade de São Paulo

• Statistical Methods in the analysis of microarray experiments
Elier Broche Cristo, Department of Statistics IME-USP

• Multiple market equilibria, bubbles and crashes explained by heterogeneity of fundamental value evaluations and social susceptibilities of interacting agents
Fernando Pigeard de Almeida Prado, Department of Statistics IME-USP

• Validation of procedures for measuring gene expression from cDNA Microarray images
Gustavo Henrique Esteves (Ludwig Institut for Cancer Research), Daniel Oliveira Dantas, Junior Barrera (Department of Statistics IME-USP), Luiz Fernando Lima Reis, Alex Fiorini de Carvalho (Ludwig Institut for Cancer Research)

• The Variance Function Of The Multivariate Natural Exponetial Families Generated By A Measure On P Points In Rn
Haydée Angela Cugno, Universidad Nacional de Córdoba

• A stochastic model for sonority
Jesús García (Universidade de Campinas), Marcio Cassandro (Universitá di Roma La Sapienza), Pierre Collet (CNRS and École Polytechnique), Denise Duarte (Universidade Federal de Goiás) and
Antonio Galves (Universidade de São Paulo)

• A simple proof of Akaike information criterion for Markov chain
Juan C. R. Soto, Universidade de São Paulo

• A Multiplicative Cascade Monte Carlo Solution to Linear Diffusion in Fourier Domain
Jorge M. Ramirez, Oregon State University

• Beta type II distribution and its multivariate generalization
Liliam Cardeño Acero, Universidade de São Paulo

• Piccolo – A tool for the automatic annotation of vocalic and consonantal intervals
Luiza Figueiredo Pagliari, Department of Statistics IME-USP

• Sinai´s theorem via t-stability
Marcelo Ventura Freire, Universidade de São Paulo

• Hysteresis in one-dimensional reaction-diffusion systems
Mathias Paessens, Attila Rákos, Gunter M. Schütz, Forschungszentrum Jülich

• An improved condition for ergodicity of continous one-dimensional loss network
Nevena Maric (Universidade de São Paulo) and Nancy Lopes Garcia (UNICAMP)

• The serial harness interacting with a wall
Pablo Ferrari, Luiz Renato Fontes, Beat Niederhauser (Universidade de São Paulo), Marina Vachkovskaia (UNICAMP)

• Integral representation with convex capacities that are squeeze of (additive) probability measures
Paulo Cesar Coimbra-Lisboa, Getúlio Vargas Foundation

• Comparison of Statistical Methods for Microarray Data Analysis
Silvio Rodrigues de Faria Junior, Eduardo Jordão Neves, Universidade de São Paulo

• Regeneration scheme and inference for hidden Markov chains
Suzy Camey, Universidade de São Paulo

• Optimum number of stochastic cluster
Thales S. Teixeira, Universidade de São Paulo