Probability & Statistics Group Heidelberg-Mannheim

Mannheim Probability and Statistics Seminar

The seminar is jointly organized by the groups of Leif Döring (probability theory), Andreas Neuenkirch (computational stochastics), Claudia Schillings (mathematical optimization), Claudia Strauch (mathematical statistics), and Klaus D. Schmidt (actuarial science) at the University of Mannheim. Wednesday, 12.00-12.45, Digital

Fall 2021

09.12.2021 Simon Weissmann (Heidelberg) A multilevel subset simulation for estimating rare events via shaking transformations

Spring 2021

24.02.2021 Clément Foucart (Paris) Ancestral lineages of continuous-state branching population
03.03.2021 Gabriel Berzunza (Liverpool) Fragmentation Process derived from alpha-stable Galton-Watson trees
10.03.2021 Stefan Richter (Heidelberg) Forecasting time series with neural networks
17.03.2021 Quan Shi (Mannheim) Interval-partition evolutions as limits of random walks on compositions, and their applications
24.03.2021 Phillipp Gut (Mannheim) One-shot optimization using neural network surrogates in forward and inverse UQ
14.04.2021 Matyas Barczy (Szeged) Asymptotic behaviour of critical decomposable 2-type Galton-Watson processes with immigration
21.04.2021 Christian Hirsch (Groningen) Quenched invariance principle for random walks on dynamically averaging random conductances
28.04.2021 Jean-Jil Duchamps (Besançon) Nested coalescent and fragmentation processes
05.05.2021 Wenpin Tang (Columbia University) Mallows ranking (permutation) -- Old and New

Spring 2020

26.02.2020 Ari-Pekka Perkkiö (München) Dynamic programming and duality in convex stochastic optimization
11.03.2020 Nicole Bäuerle (KIT) Portfolio optimization in fractional and rough Heston models
25.03.2020 No seminar GPSD in Dresden
01.04.2020 Julien Berestycki (Oxford)  
22.04.2020 Sam Baguley (Mannheim)  
29.04.2020 Xiaolin Zeng (Strassbourg)  
13.05.2020 Andrew Allan (ETH Zurich)  
20.05.2020 Igor Kortchemski (Paris)  
27.05.2020 Matyas Barczy (Debrecen)  

Fall 2019

04.09.2019 Peter Mörters (Köln) Metastability of the contact process on evolving scale-free networks
11.09.2019 Martin Möhle (Tübingen) On the block counting process and the fixation line of the Bolthausen-Sznitman coalescent
19.09.2019 Michael Neumann (Jena) A central limit theorem for weakly dependent random variables
25.09.2019 Robert Denk (Konstanz) A semigroup approach to nonlinear Lévy processes
25.09.2019 Rasmus Waagepetersen (Aalborg) Multinomial logistic regression for multivariate point processes
02.10.2019 Lisa Hartung (Mainz) High points of a random model of the Riemann-Zeta function and Gaussian multiplicative chaos
09.10.2019 UQ-talks, Philipp Wacker (Erlangen) Wavelet-based priors for Bayesian inference with an application to hydraulic tomography
16.10.2019 Oleg Butkowskiy (Berlin) Regularization by noise for SDEs and related systems: a tale of two approaches
23.10.2019 Masoumeh Dashti (Sussex) Posterior consistency in Bayesian inference with exponential priors
23.10.2019 Vesa Kaarnioja (UNSW Sidney) Higher order quasi-Monte Carlo rules for uncertainty quantification using periodic random variables
30.10.2019 Matti Kiiski (Mannheim) Martingale Optimal Transport Duality
06.11.2019 Kirstin Strokorb (Cardiff) Geometry of extreme values and max-stable processes
13.11.2019 Günter Last (Karlsruhe) Lace Expansion and Mean-Field Behavior for the Random Connection Model
27.11.2019 Michael Kupper (Konstanz) Homogeneous martingale optimal transport
11.12.2019 Matyas Barczy (Szeged)  

Spring 2019

Date Speaker Title
20.02.2019 Peter Parczewski (Mannheim)  
27.02.2019 Christian Hirsch (Mannheim) Random Networks in Topological Data Analysis & Materials Science
27.03.2019 Helmut Pitters (Mannheim) Number of blocks in large random non-crossing partitions
03.04.2019 Markus Heydenreich (München) The Random Connection Model at Criticality
08.05.2019 Jonas Krampe (Mannheim) Bootstrap Based Inference for Sparse High-Dimensional Time Series Models
15.05.2019 Matthias Schulte (Bern) Component counts in the random connection model
22.05.2019 Philip Weißmann (Mannheim) Completely asymmetric stable processes conditioned to avoid an interval
29.05.2019 Alex Drewitz (Köln) The maximum particle of branching random walk in spatially random branching environment

Fall 2018

Date Speaker Title
26.09.2018 Philip Weißmann (Mannheim) Lévy processes conditioned to avoid and hit intervals
10.10.2018 Samuel Baguley (Mannheim) Existence and uniqueness of stable SDEs
17.10.2018, 15:30, A5 C116 Cyril Labbé (Paris) Localisation of the continuous Anderson hamiltonian in 1d
17.10.2018, 15:30, A5 C116 Clement Foucard (Paris) Continuous-state branching processes with competition: duality and reflection at infinity
07.11.2018 Sebastian Fuchs (Dortmund) Extreme Negative Dependence and Kendall's Tau
21.11.2018 Caroline Geiersbach (Wien) Stochastic Approximation for Shape Optimization
28.11.2018 Matthias Löffler (Cambridge) Spectral Thresholding for the estimation of Markov chain transition operators
05.12.2018 Volker Betz (Darmstadt) Cycle structure in random permutations without long cycles
05.12.2018 Kolyan Ray (London) Nonparametric statistical inference for drift vector fields of multidimensional diffusions
11.12.2018 Maite Wilke Berenguer (Bochum) Simultaneous migration in the seed bank coalescent

Spring 2018

Date Speaker Title
21.02.2018 Philip Weißmann (Mannheim) Lévy processes conditioned to avoid an interval
28.02.2018 *** Stochastic days Freiburg ***  
07.03.2018 Simon Weißmann (Mannheim) Analysis of the ensamble Kalman inversion
14.03.2018 Leif Döring (Mannheim) Entrance and Exit from Infinity for Stable SDEs
10.04.2018 Johannes Schmidt-Hieber (Leiden) Statistical theory for deep neural networks with ReLU activation function
25.04.2018 Marco Meyer (Hamburg) A Frequency Domain Hybrid Bootstrap for Spectral Means and General Stationary Processes
09.05.2018 Moritz Schauer (Leiden) Continuous-discrete smoothing of diffusions
23.05.2018, 12.15-13.00 Claudia Strauch (Mannheim) Sup-norm adaptive estimation of the charcteristics of scalar ergodic diffusions
23.05.2018, 13.00-13.45 Markus Bibinger (Marburg) Volatility estimation for stochastic PDEs using high-frequency observations
23.05.2018, 14.30-15.15 Mathias Vetter (Kiel) A universal approach to estimate the conditional variance in semimartingale limit theorems
23.05.201, 15.15-16.00 Mathias Trabs (Hamburg) Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
30.05.2018, 11.30-12.00 Aretha Teckentrup (Edinburgh) Surrogate Models in Large-Scale Bayesian Inverse Problems
30.05.2018, 12.00-12.30 Ingmar Schuster (Berlin) Markov chain importance sampling: efficient estimators for Metropolis Hastings and discretized Langevin
30.05.2018, 12.30-13.00 Simon Weißmann (Mannheim) Continuous time limit of the Ensemble Kalman filter for inverse problems

Fall 2017

Date Speaker Title
13.09.2017 Sören Christensen (Hamburg) Are American Options European after all?
20.09.2017 Christian Mönch (Mannheim)  
25.10.2017 Kirstin Strokorb (Cardiff) Local variance reduction for intrinsically stationary Gaussian random fields and its use for the simulation of Brown-Resnick processes
08.11.2017 Dirk Blömker (Augsburg) A strongly convergent numerical scheme from EnKF continuum analysis
22.11.2017, 11.00-12.00 Kweku Abraham und Sven Wang (Cambridge) An introduction to Bayesian contraction rates, The LAN expansion for discretely observed diffusions
22.11.2017 Jonas Latz (München) Multilevel Sequential² Monte Carlo for Bayesian Inverse Problems
29.11.2017 Alex Watson (Manchester) A probabilistic approach to spectral analysis of growth-fragmentation equations
06.12.2017 Stavros Vakeroudis (Samos) Windings of Planar Processes

Spring 2017

Date Speaker Title
01.03.2017 Daria Khromenkova (Mannheim, economics) Restless Strategic Experimentation
05.04.2017 Lorenzo Taggi (Darmstadt) Ensembles of self-avoiding polygons
26.04.2017 Sam Baguley (Mannheim) Maximum Likelihood for stable processes via Overshoots
03.05.2017 Matthias Krause (Mannheim, computer science) Über Flusschiffren mit beweisbarer "Beyond the Birthday Bound" -Sicherheit gegenüber generischen Angriffen
10.05.2017 Konrad Kolesko (Darmstadt) Convergence of complex Biggins martingales on the phase boundary
17.05.2017 Daniel Heck (Mannheim, psychology) Quantifying Uncertainty in Transdimensional Markov Chain Monte Carlo
24.05.2017 Philip Weißmann (Mannheim) Stochastic potential theory and applications to Lévy processes

Fall 2016

Date Speaker Title
21.09.2016 Antonis Papapantoleon (Mannheim) Fréchet-Hoeffding bounds and model-free finance
05.10.2016 Wim Schoutens (Leuven) Applied Conic Finance
12.10.2016 Elias Strehle (Mannheim) Order Anticipation Strategies in a Model of Transient Price Impact
19.10.2016 Lukas Gonon (Zürich) Skorokhod Embedding for Lévy Processes
26.10.2016 Claudia Strauch (Heidelberg) Martingale approximation, exponential inequalities and their statistical applications in Markov diffusion models
02.11.2016 Dominik Schuhmacher (Göttingen) Convergence rates for the degree distribution in a dynamic network model
09.11.2016, 10.45-11.45, A5 C015 Ilya Molchanov (Bern) Set-valued portfolios and set-valued risks
09.11.2016 Juri Hinz (UT Sydney) Solving Stochastic Switching Problems -- Novel Methods in Applications
15.11.2016 Hajo Holzmann (Marburg) Nonparametric Identification and Estimation in a Triangular Random Coefficient Regression Model
23.11.2016 Philipp Harms (Freiburg) Markovian representation of fractional Brownian motion and some applications in finance
30.11.2016   ***Mini Workshop on Statistics for Stochastic Processes***
07.12.2016 Damien Ackerer (Lausanne) The Jacobi stochastic volatility model and some variants
07.12.2016 Alexander Kalinin (Mannheim) Mild solutions to quasilinear parabolic path-dependent PDEs
14.12.2016 Mathieu Rosenbaum (Paris) About the rough Heston model

Spring 2016

Date Speaker Title
17.02.2016 Philip Weißmann (Mannheim) Composite Likelihood
24.02.2016 Martin Dirrler (Mannheim) Conditionally Max-stable Random Fields
02.03.2016 *** Stochastik Tage Bochum ***  
23.03.2016 *** Easter break ***  
30.03.2016 *** Easter break ***  
13.04.2016 Jerome Blauth (Mainz) Infinite rate mutually catalytic branching driven by alpha-stabler Lévy processes
20.04.2016 Mario Hefter (Kaiserslautern) Optimal Strong Approximation of the One-dimensional Squared Bessel Process
27.04.2016 Andreas Neuenkirch (Mannheim) Rough Paths in a nutshell
04.05.2016 Taras Shalaiko (Mannheim) Integral Representations for Fractional Brownian Motion
11.05.2016 Matthias Hammer (Berlin) A new look at the symbiotic branching model
25.05.2016 Matthias Schulte (Karsruhe) Malliavin-Stein method for Poisson functionals
01.06.2016 Andrea Kuntschik (Frankfurt) Balanced Irreducible 2x2 Pólya Urns: Rates of convergence

Fall 2015

Date Speaker Title
01.10.2015 Andreas Neuenkirch (Mannheim) Multi-Level Quadrature of Discontinuous Payoffs in the Heston Model
08.10.2015 Leif Döring (Mannheim) Perpetual Integrals for Lévy Processes
15.10.2015 Sebastian Riedel (Berlin) Random dynamical systems and rough paths
22.10.2015 Frank Aurzada (Darmstadt) Persistence probabilities
29.10.2015 Anita Behme (München) Invariant distributions of Ito-Lévy processes
05.11.2015 Peter Parczewski (Mannheim) Approximation of Skorohod integrals and the Poincaré lemma for Brownian motion
12.11.2015 Dimitri Schwab (Mannheim) Mosaic Random Fields on the Sphere
19.11.2015 Matti Leimbach (Berlin) Noise-induced Stochastic Stabilization
23.11.2015 Vicky Fasen (Karlsruhe) Risk contagion under multivariate regular variation and asymptotic tail independence
26.11.2015 *** Kolloquium Heidelberg ***  
03.12.2015 Lisa Beck (Augsburg) Regularization by Noise for the Stochastic Transport Equation
10.12.2015 Jürgen Potthoff (Mannheim) Brownian Motion on Metric Graphs I
17.12.2015 Florian Werner (Mannheim) Brownian Motion on Metric Graphs II