Mini-Workshop on Statistics of Stochastic Processes

Probability & Statistics Group Heidelberg-Mannheim

Workshop “Nonparametric Statistics meets Stochastic Control”

Aims and scope

One of the fundamental assumptions in stochastic control of continuous time processes is that the dynamics of the underlying stochastic process is known. The aim of this workshop is to discuss how to weaken this assumption in the most fundamental way by considering a fully nonparametric setting. To tackle the resulting problem of finding optimal purely data-driven strategies, methods from both statistics for stochastic processes and stochastic control are needed. The aim of this workshop is to first give an overview on relevant techniques from both fields and to discuss possible solutions for problems in different areas in small groups.

Speakers

  • Randolf Altmeyer (Humboldt-Universität Berlin)
  • Luis Alvarez Esteban (University of Turku)
  • Sören Christensen (Universität Hamburg)
  • Sebastian Jobjörnsson (University of Gothenburg)
  • Kristofer Lindensjö (Stockholm University)
  • Moritz Schauer (Leiden University)

Practical Information

The workshop “Nonparametric Statistics meets Stochastic Control” will be held on Wednesday, July 18, and Thursday, July 19, 2018 at IWH (International Academic Forum Heidelberg), Hauptstraße 242, Heidelberg.
The Workshop is organized by the Research Training Group “Statistical Modeling of Complex
Systems and Processes”, Heidelberg/Mannheim.

There is no participation fee. Please announce your participation by email to Sanja Juric
(juric(at)uni-mannheim.de) but please note that the number of participants is limited and registration is on a first come first serve basis.

Organizers

  • Cathrine Aeckerle (Mannheim)
  • Sören Christensen (Hamburg)
  • Claudia Strauch (Mannheim)