Statistical Modeling of Complex Systems and Processes

Mannheim Probability and Statistics Seminar

The seminar is jointly organized by the groups of DöringNeuenkirch, Schillings, Schlather, Strauch at the University of Mannheim. Wednesday, 12.15-13.00, A5 C116.

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

Spring 2015