Student Seminar – Stochastic Analysis in Interaction

25 Jan 23: Alexander Merkel (TU) – On the Interplay of Price Impact and Cointegration in Optimal Execution
23 Nov 22: Franziska Bielert (TU) – Rough Differential Equations and Martingales as Rough Paths
9 Nov 22: Thomas Wagenhofer (TU) – Weak error estimates for rough volatility models
26 Oct 22: Lukas Gräfner (FU) – Abstract Fock space methods for weak well-posedness of some critical and subcritical singular SPDEs
20 July 22: Toyomu Matsuda (FU) – What is the Stochastic Sewing Lemma?
22 June 22: Robert Denkert (HU) – Mean Field Control Problems with Singular Controls
15 June 22: Hannes Kern (TU) – On reconstruction in the square increment setting
8 June 22: Laura Körber (TU) – Merton’s optimal investment problem with jump signal
25 May 22: Marta Dai Pra (HU) – Population models with seed bank: construction, duality and tree properties
11 May 22: Ruhong Jin (U Oxford) – Fractional Itô Calculus
11 May 22: Jonathan Tam (U Oxford) – Markov decision processes with observation costs
27 Apr 22: Purba Das (U Oxford) – Rough volatility: fact or artefact?
16 Feb 22: Dave Jacobi (TU) – Reinforcement Learning. A brief Introduction
9 Feb 22: Sebastian Ertel (TU) – The Ensemble Kalman-Bucy Filter for correlated observation noise
26 Jan 22: Toyomu Matsuda (FU) – 2D anisotropic KPZ equation, introduction
12 Jan 22: Emanuel Rapsch (TU) – Introductory remarks about game theory in mathematical economics
1 Dec 21: Philipp Forstner (TU) – Introduction to Gauge and Yang-Mills Theories
1 Dec 21: Helena Kremp (FU) – Regularization by noise and solutions to singular Lévy SDEs
7 July 21: Robert Denkert (HU) – Large Deviations of Marked Hawkes Point Measures
30 June 21: Dave Jacobi (TU) – “Direct” construction of on/off Super-Brownian-Motion
23 June 21: Simon Breneis (WIAS) – Efficiently extracting specific information from the signature
16 June 21: Laura Körber (TU) – Merton’s optimal investment problem with jump signals
9 June 21: Sascha Gaudlitz (HU) – Statistical inference on the reaction term in semi-linear SPDEs
2 June 21: Konstantins Starovoitovs (HU) – Scaling Limits of the Limit Order Book Models
26 May 21: Alexander Merkel (TU) – The Merton Problem under restrictions on information
19 May 21: Sebastian Ertel (TU) – Analysis of the Kushner–Stratonovich equation and its representation via McKean–Vlasov SDEs
12 May 21: Weile Weng (TU) – Quenched CLT for random walks in random environments with bounded cycle representation
24 Feb 21: Yizheng Yuan (TU) – Refined regularity of SLE
17 Feb 21: Hannes Kern (TU) – An Overview over Sewing, Stochastic Sewing, Reconstruction and Stochastic Reconstruction
3 Feb 21: Philipp Forstner (TU) – Regularity Structures for SQG driven by Space-Time White Noise
27 Jan 21: Florian Nie (TU) – A voter model approximation for the stochastic FKPP Equation with seed bank
20 Jan 21: Likai Jiao (HU) – Stochastic Volterra equations of convolution type
13 Jan 21: Toyomu Matsuda (FU) – Anderson Hamiltonian with white noise potential
16 Dec 20: Emanuel Rapsch (TU) – Solving Multi-Agent Optimal Stopping Problems with an Application in Sustainable Finance
18 Nov 20: Alexandra Quitmann (TU) – Phase transitions in random loop models