Titles and abstracts of plenary talks and tutorials can be found here.

The book of abstracts will be available soon, with all informations. We provide here a general idea of the provisional program (subject to changes).

Sunday, July, 1: tutorials

14h-15h30: Alexander Keller

15h30-16h: coffee break

16h-17h30: Gerardo Rubino

Monday, July, 2

8h20-8h30: Opening

8h30-9h30: Plenary talk, Christophe Andrieu

9h30-10h: Coffee break

10h-12h: Parallel sessions

12h-13h45: Lunch break (on your own)

13h45-14h45: Plenary talk, Christoph Schwab

14h45-15h45: Parallel sessions

15h45-16h15: Coffee break

16h15-17h45: Parallel sessions

18h30: Welcome reception (City Hall)

Tuesday, July, 3

8h30-9h30: Plenary talk, Barry Nelson

9h30-10h: Coffee break

10h-12h: Parallel sessions

12h-13h45: Lunch break (on your own)

13h45-14h45: Plenary talk, Pierre Henry Labordère

14h45-15h45: Parallel sessions

15h45-16h15: Coffee break

16h15-17h45: Parallel sessions

18h30: Wine & Cheese (expected)

Wednesday, July, 4

8h30-9h30: Plenary talk, Eric Moulines

9h30-10h: Coffee break

10h-12h: Parallel sessions

12h-13h45: Lunch break (on your own)

13h45-15h45: Parallel sessions

16h: Guided visit of Rennes

19h: Banquet at “Chateau d’Apigné

Thursday, July, 5

8h30-9h30: Plenary talk, Friedrich Pillichshammer 

9h30-10h: Coffee break

10h-12h: Parallel sessions

12h-13h45: Lunch break (on your own)

13h45-14h45: Plenary talk, Clémentine Prieur

14h45-15h45: Parallel sessions

15h45-16h15: Coffee break

16h15-17h45: Parallel sessions


Friday, July, 6

8h30-9h30: Plenary talk, Marvin Nakayama

9h30-10h: Coffee break

10h-12h: Parallel sessions

12h-13h45: Lunch break (on your own)

13h45-15h15: Parallel sessions

15h15:  Goodbye coffee


Sessions Description:

Numerical approximation of SDEs under non-standard assumptions (1)

  • Larisa Yaroslavtseva: On loss of regularity in the initial value for SDEs with non-globally Lipschitz continuous coefficients
  • Sotirios Sabanis: MCMC algorithms based on numerical approximations of SDEs with locally Lipschitz coefficients
  • Michaela Szölgyenyi: Euler-type schemes for SDEs with discontinuous drift
  • Holger Stroot: Strong Approximation of Stochastic Mechanical Systems with Nonlinear Holonomic Constraints

Numerical approximation of SDEs under non-standard assumptions (2)

  • Mario Hefter: Lower Error Bounds for Strong Approximation of Scalar SDEs with non-Lipschitzian Coefficients
  • Mike Giles: Multilevel Monte Carlo Method for Ergodic SDEs without Contractivity
  • Dai Taguchi: Semi-implicit Euler-Maruyama scheme for non-colliding particle systems
  • Diyora Salimova: Numerical approximations of nonlinear stochastic  differential equations

Non-Reversible Markov Chain Monte Carlo (1)

  • Alex Beskos: Geometric MCMC for Infinite-Dimensional Inverse Problems
  • Michela Ottobre: Sampling and irreversibility
  • Alain Durmus: On the convergence of Hamiltonian Monte Carlo
  • Arnak Dalalyan: User-friendly guarantees for the Langevin Monte Carlo

Non-Reversible Markov Chain Monte Carlo (2)

  • Christian Robert: Generalized Bouncy Particle Sampler
  • Pierre Monmarché: Geometric ergodicity for the Bouncy Particle Sampler
  • Chris Sherlock: Explicit, non-reversible, contour-hugging MCMC moves
  • Alex Thiery: Discrete-Time Bouncy Particle Samplers and Generalisations

Construction of QMC point sets and sequences

  • Frances Kuo: Discrete least squares approximation on multivariate polynomial spaces using lattice points
  • Kosuke Suzuki: Lattice Rules in Non-periodic Subspaces of Sobolev Spaces
  • Ralph Kritzinger: Haar Analysis of Digital Nets and Sequences
  • Dirk Nuyens: Lattice rules with random number of points and near $O(n^{-\alpha-1/2})$ convergence

QMC and applications

  • Ian Sloan: On the generation of random fields
  • Roswitha Hofer: Kronecker–Halton sequences in ${\mathbb F}_p((X^{-1}))$
  • Mario Neumueller: Asymptotic Behaviour of the Sudler Product of Sines for Quadratic Irrationals

Stochastic Computation and Complexity (1)

  • Thomas Mueller-Gronbach: On sub-polynomial lower error bounds for strong approximation of SDEs
  • Andreas Roessler: Algorithms for the Approximation of Iterated Stochastic Integrals in Infinite Dimensions
  • Timo Welti: Deep optimal stopping: Solving high-dimensional optimal stopping problems with deep learning
  • Monika Eisenmann: A Randomized Time-Stepping Method for Differential Equations with Time-Irregular Coefficients

Stochastic Computation and Complexity (2)

  • Steffen Dereich: Central limit theorems for multilevel stochastic approximation algorithms
  • Raphael Kruse: On two quadrature rules for stochastic integrals with fractional Sobolev regularity
  • Sonja Cox: Stochastic integration in quasi-Banach spaces: what Besov regularity does the stochastic heat equation posess?
  • Mihaly Kovacz: Weak and strong approximation of fractional order elliptic equations with spatial white noise

Stochastic Computation and Complexity (3)

  • Lukas Szpruch:
  • Martin Redmann: Solving parabolic rough partial differential equations using regression
  • Yue Wu: Randomized Numerical Schemes for SDE/SPDEs
  • Stefan Heinrich: Lower bounds for stochastic integration in fractional Sobolev classes

Forward and inverse UQ with hierarchical models (1)

  • Benjamin Peherstorfer: Multifidelity Monte Carlo estimation with adaptive low-fidelity  models
  • Ahmed Kebaier: Adaptive Importance Sampling for Multilevel Monte Carlo Euler method
  • Sebastian Krumsheid: Multilevel Monte Carlo Approximation of Functions
  • Abdul-Lateef Haji-Ali: Multilevel Nested Simulation for Efficient Risk Estimation

Forward and inverse UQ with hierarchical models (2)

  • Jonas Latz: Multilevel Sequential${}^2$ Monte Carlo for Bayesian Inverse Problems
  • Hakon Hoel: Multilevel ensemble Kalman filtering for spatio-temporal processes
  • Joakim Beck: Hierarchical sampling methods for Bayesian experimental design
  • Kody Law: Inference using Multilevel Monte Carlo

Forward and inverse UQ with hierarchical models (3)

  • Matteo Croci: Efficient white noise sampling and coupling for multilevel Monte Carlo
  • Lukas Mayer: Multilevel Monte Carlo for the Quadrature of SDEs Based on Random Bits
  • Soeren Wolfers: Multilevel weighted least squares polynomial approximation
  • Andreas Stein: An adaptive Multilevel Monte Carlo algorithm for advection-diffusion PDEs with random discontinuous coefficients

New applications of QMC in physics, energy and environment (1)

  • Karl Jansen: Lattice Field Theory: a physics case for high dimensional integration
  • Hernan Leovey: Tensor Products, Classical Weighted Sobolev Spaces, Quasi-Monte Carlo and Energy Management

New applications of QMC in physics, energy and environment (2)

  • Werner Roemisch: Randomized QMC methods for two-stage stochastic optimization problems: Recent progress
  • Julia Volmer: Improving Monte Carlo integration by symmetrization

Points on the Sphere and Other Manifolds: New Frontiers and Recent Progress (1)

  • Johann Brauchart: Overview/Hyperuniformity in the Compact Setting: Deterministic and Random Aspects
  • Dmitriy Bilyk: Discrepancy and Energy on the Sphere: Stolarsky Principle

Points on the Sphere and Other Manifolds: New Frontiers and Recent Progress (2)

  • Damir Ferizovicn: Bounds for the Green Energy on SO(3)
  • Maria De Ujue Etayo: t-Designs on Manifolds: an Asymptotic Bound on the Number of Points

Points on the Sphere and Other Manifolds: New Frontiers and Recent Progress (3)

  • Peter D. Dragnev: Universal Bounds on Energy of Codes and Designs in Various Settings
  • Tetiana Stepaniuk: Estimates for numerical integration errors on unit spheres of arbitrary dimension
  • Jordi Marzo: Determinantal Point Processes and Optimality

Practice of QMC methods (1)

  • Adrian Ebert:     Efficient usage and construction of QMC methods
  • Michael_Gnewuch: Probabilistic discrepancy bounds for Latin hypercube sampling with and without padding

Practice of QMC methods (2)

  • Yuya Suzuki: Rank-1 lattices and higher-order exponential splitting for the multi-dimensional time-dependent Schrodinger equation
  • Domingo Gomez Perez: Generation of True Random Numbers using quasi-Monte carlo Methods

Acceleration of MCMC (1)

  • Jordan Franks: A Peskun type ordering for importance sampling and an asymptotic variance comparison with pseudomarginal and delayed acceptance MCMC
  • Thomas Catanach: Sequential Tempered Markov Chain Monte Carlo for Bayesian Inference

Acceleration of MCMC (2)

  • Manon Michel: Irreversible Markov-chain Monte Carlo: Accelerations by symmetries and factorization
  • Maksym Byshkin: Fast Maximum Likelihood estimation via Equilibrium Expectation for large network data


  • Arnaud Lionnet: The Numerical Approximation Of Polynomial-Growth Backward Stochastic Differential Equations
  • Marie BILLAUD FRIESS: Stochastic methods for solving partial differential equations in high dimension

Rare event simulation

  • Pierre Nyquist: Rare-event simulation in machine learning: Infinite swapping and restricted Boltzmann machines
  • Art Owen: ALOE importance sampler for the union of rare events
  • Chang-Han Rhee: Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

Simulation in finance and operation management

  • Lihua Sun: A Nonprametric Method for Pricing and Hedging American Options
  • Jun Luo: Speeding Up Ranking and Selection Procedures for Large Scale Problems Using Cloud Computing
  • Guangxin Jiang: Constructing Surface for Derivative Pricing and Sensitivity Analysis

Markov Chain QMC

  • Shin Harase : An Implementation of Short-Period Tausworthe Generators for Markov Chain quasi-Monte Carlo Method
  • Tobias Schwedes: Adaptive Importance Sampling for Markov Chain Quasi-Monte Carlo
  • Rémi El Haddad: Sudoku Sampling For Markov Chains Simulation

MCMC and large size

  • Paulo Orenstein: Scalable MCMC for Bayes Shrinkage Priors
  • James Johndrow: Scaling MCMC to Large Problem Sizes
  • Jack Baker: Stochastic Sampling from the Probability Simplex and Dirichlet Processes

Algorithms for High-Dimensional Approximation (and Integration) Problems

  • Yuhan Ding: An Optimal Automatic Algorithm Employing Continuous Linear Functionals
  • Aicke Hinrichs: How good is random information? – Approximation in the Hilbert space setting
  • Klaus Ritter: Integration and $L_2$-Approximation on Hermite Spaces of Functions of Infinitely-Many Variables
  • Henryk Wozniakowski: Tractability of Multivariate Approximation over Weighted Standard Sobolev Spaces

Uncertainty Quantification and Sensitivity Analysis in Computational Finance

  • Sergei Kucherenko: Application of QMC and Global Sensitivity Analysis to Option Pricing and Greeks
  • Emanouil Atanassov: Sensitivity Analysis of Quasi-Monte Carlo methods for the Heston Model
  • Giray Okten: Sensitivity and Robustness of Financial Models
  • Alexender Kreinin: Sensitivities of Exotic Portfolios

MC in Finance

  • Daniel Roth: Monte Carlo pathwise sensitivities for barrier options
  • Warren Volk-Makarewicz: Detecting the Presence of Jumps in Option Prices

Design and testing of random number generators

  • Sebastiano Vigna: xoshiro/xoroshiro: new families of high-quality, high-speed PRNGs
  • Hiroshi Haramoto: Testing the Reliability of Statistical Tests for Pseudorandom Number Generators
  • Pierre L’Ecuyer: On the Lattice Structure of MIXMAX Random Number Generators

Computational challenges in finance

  • Christian Bayer: Smoothing the payoff for computation of basket options
  • Jean-François Chassagneux: Cubature method to solve BSDEs: error expansion and complexity control
  • Gilles Pagès: The Parareal Algorithm for American Options

Rare events

  • Jere Koskela: Sequential Monte Carlo for efficient sampling of rare trajectories in reverse time
  • Harsha Honnappa: Large Deviations of Gaussian Block Extrema
  • Ad Ridder: Monte Carlo Methods for Insurance Risk Computation

Approximating Markov chain Monte Carlo

  • Krzysztof Latuszynski: Barkerâ??s algorithm for Bayesian inference with intractable likelihoods
  • Blazej Miasojedow: On a new approach of the Unadjusted Langevin Algorithm via convex optimization
  • Nikolaus Schweizer: Approximation of geometrically ergodic Metropolis-Hastings algorithms
  • Matti Vihola: Importance Sampling Type Estimators based on Approximate Marginal MCMC

Importance Splitting for Rare Event Simulation

  • Charles-Edouard Brehier: New results concerning Adaptive Multilevel Splitting algorithms
  • Gregoire Ferre: Numerical analysis and long time stability of Feynman-Kac dynamics
  • Nicolas Champagnat: Convergence of Fleming-Viot particle systems to the mininal quasi-stationary distribution
  • Henri Louvin: Application of an importance splitting method to radiation shielding simulations

Dispersion and Applications

  • Mario Ullrich: The inverse of the dispersion depends logarithmically on the dimension
  • David Krieg: On the Dispersion of Sparse Grids
  • Daniel Rudolf: Recovery algorithms for high-dimensional rank one tensors
  • Jan Vybiral: On further aspects of dispersion

When to stop a simulation

  • Fred Hickernell: Fast Adaptive Bayesian Cubature Using Low Discrepancy Sampling
  • Mark Huber: Improved Light Tailed Sample Averages for Robust Estimation of the Mean
  • Wojciech Niemiro: Estimation of Poisson Intensity with Fixed Relative Precision
  • Robert Kunsch: Solvable Integration Problems and Optimal Sample Size Selection

Recent advances in particle filtering

  • Mathieu Gerber: Interacting Particles for Online Inference on Static Parameters Using Streaming Data
  • Anna Wigren: Improving the particle filter for high–dimensional problems using artificial process noise
  • Pierre Del Moral: On the stability and the uniform propagation of chaos properties of ensemble Kalman–Bucy filters
  • Nicolas Chopin: Convergence of resampling algorithms

Nuclear applications

  • Bert Mortier: Study of Source Term Estimators in Coupled Finite-Volume/Monte-Carlo Methods for Plasma Edge Simulations in Nuclear Fusion
  • Dmitry Savin: Monte Carlo simulation of multiple particle spectra with energy and momentum conservation
  • Zhicheng Ji: A Batch on Patch Parallel Scheme in Monte Carlo Particle Transport Program
  • Gang Li: High Precision Shielding Calculation For Qinshan-I Reactor Model With Monte Carlo Particle Transport Code JMC

Non-uniform Random Variate Generation (1)

  • Josef Leydold: Optimal Importance Sampling Density 1: Approximation Methods
  • Wolfgang Hormann: Optimal Importance Sampling Density 2: Evaluating CDF and PDF of the Sum of Lognormals
  • Luca Martino: Parsimonious Adaptive Rejection Sampling Schemes
  • Efraim Shmerling: Acceptance Tail Sampling Method

Non-uniform Random Variate Generation (2)

  • Moran Peri: A Table Method for Sampling from Multivariate Distrbutions with Unbounded Support
  • Yael Hagbi: Generation of Waiting Time in a Markovian Trial Sequence

Low discrepancy sequences and point sets – devoted to the 80th birthday of Henri Faure (1)

  • Christiane Lemieux: Counting Points in Boxes with Henri Faure: From Discrepancy Bounds to Dependence Structures
  • Peter Kritzer: Discrepancy Bounds for Nets and Sequences
  • Takashi Goda: Quasi-Monte Carlo integration over a triangle
  • Florian Pausinger: On the intriguing search for good permutations

Low discrepancy sequences and point sets – devoted to the 80th birthday of Henri Faure (2)

  • Gerhard Larcher: On discrepancy and pair correlation of sequences in the unit interval
  • Josef Dick: Richardson Extrapolation of Polynomial Lattice Rules

Simulation of mean-field stochastic differential equations

  • Mireille Bossy: Particle algorithm for McKean SDE: rate of convergence  for some non-smooth drift interaction  kernel
  • Denis Belomestny: Variance reduction for mean-field stochastic differential equations
  • Lukasz Szpruch:
  • Alexandre Zhou: Numerical Analysis of a Particle Calibration Procedure for Local and Stochastic Volatility Models

Analysis of low-discrepancy sequences

  • Lisa Kaltenböck: On Bounded Remainder Sets for Sequences $(\{a_n\alpha\})_{n\geq 1}$ with $(a_n)_{n \geq 1}$ a Lacunary Integer Sequence
  • Hiroki Kajiura: Characterization of Matrices B such that (I,B,B^2) Generates a Digital Net with t-value Zero
  • Raffaelo Seri : The Asymptotic Distribution of Riesz’ Energy

Jittered sampling

  • Benjamin Doerr: A Sharp Discrepancy Bound for Jittered Sampling
  • Matasake Hirao: On p-frame potential of random point configurations on the sphere

Improving MC and QMC integration

  • Florian Puchhammer: Density estimation by randomized quasi-Monte Carlo
  • Yuji Nakatsukasa: Variance reduction in Monte Carlo integration via function approximation

Variance reduction/estimator efficiency/rare-event probability

  • Nadhir Ben Rached: Variance Reduction Techniques for the Accurate Computation of the Distribution of the sum of Ordered Random Variables
  • Guo-Jhen Wu: Infinite swapping using iid samples
  • Thomas Taimre: Exploiting Asymptotics and Polar Coordinates for Rare Tail Estimation

Efficient Sampling

  • Benjamin Jourdain: Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems
  • Daniele Bigoni: Adaptive Construction of Transport Maps for Efficient Sampling
  • Andrés F. López-Lopera: Efficiently approximating Gaussian Process Emulators with Inequality Constraints using MC/MCMC

Stochastic Differential Equations

  • Przemyslaw Zielinski: Micro-macro acceleration method with relative entropy moment matching for scale-separated SDEs
  • Andreas Petersson: Rapid covariance based sampling of finite element approximations of linear SPDE in MLMC

Sequential methods and efficiency

  • Andrea Arnold: Sequential Monte Carlo Methods for Time-Varying Parameter Estimation
  • Chris Drovandi: New Insights into History Matching via Sequential Monte Carlo
  • Victor Elvira: Rethinking the Effective Sample Size in Importance Sampling

Monte Carlo in physics (1)

  • Matthias Baeten: Convergence Analysis of a Coupled Monte-Carlo/Pseudo-Timestepping Scheme Arising in Plasma Edge Simulation
  • DanHua ShangGuan: Efficient Strategy for Global Tallying in the Monte Carlo Criticality Calculation
  • Natalya Tracheva: Monte Carlo method projective estimators for angular and temporal characteristics evaluation of polarized radiation

Monte Carlo in physics (2)

  • Anna Korda Monte-Carlo methods for reconstructing the aerosol scattering matrix
  • Mariya Korotchenko: Some Applications of Dynamics Simulation for Multi-Particle Systems in the Kinetic Model Framework

Computer Graphics

Monte Carlo for rare events

  • Javiera Barrera: Sharp Bounds for the Reliability of a k-out-of-n System Under Dependent Failures Using Cutoff Phenomenon Techniques
  • Gerardo Rubino: The Multi-Level Creation Process in Flow Network Reliability Estimation
  • Hector Cancela: Studying Metabolic Networks Through Monte Carlo Simulations
  • Ajit Rai: Availability Estimation of Markovian Reliability Systems with Logistics via Cross-Entropy

QMC and quadrature strategies for integration

  • Pieterjan Robbe: A Multigrid Multilevel Quasi-Monte Carlo Method with Sample Reuse
  • Lutz Kammerer Combining Multiple Rank-1 Lattice Rules for Approximation
  • Mutsuo Saito: Experimental Comparison of Higher-Order Digital Nets for QMC
  • Matthias Sachs: Quadrature Points via Heat Kernel Repulsion

MCMC : Model selection and convergence

  • Faming Liang: Average (E)BIC-like Criteria for Bayesian Model Selection
  • Georgy Sofronov: Spatial Segmentation via the Generalized Gibbs Sampler
  • Dootika Vats: MCMC for Bayesian penalized regression
  • Marie Vialaret: On the convergence time of some non-reversible Markov chain Monte-Carlo methods

Handling Discontinuities in QMC with Applications to Computational Finance


SDE, solutions and convergence rate

  • Abir Ghannoum : Mean Reflected Stochastic Differential Equations with jumps : Simulation by using Particle System
  • Flavius Guias: High precision solvers for autonomous systems of differential equations based on Markov jump processes
  • Céline Labart : Approximation rate of BSDEs using random walk

Applications of MC

  • Lingbin Bian; Network structure change point detection using randomize-then-optimize
  • Julien Roussel: A Perturbative Approach to Control Variates in Molecular Dynamics
  • Chi-Ok Hwang: Laplace Surface Green’s Function on a Spherical Surface for Last-passage Monte Carlo Methods