Stochastic Analysis has arguably entered a golden age in recent years, spectacularly expanding further its mathematical depth while breathing and growing strongly through its many applications in other areas. The field’s ability to model and analyse complex random effects make it indispensable in Physics, Biology, Quantitative Finance, Engineering and Data Science.
The Apollo programme putting a man on the moon was made possible by Kalman filters and stochastic calculus is now instrumental in hedging financial risk through millions of transactions every year. Novel challenges arise from investigations into the random evolutionary forces shaping the genetic variability of populations, decision making under uncertainty, understanding the intricate structure of interfaces or modelling and analysing data streams in engineering and the social sciences. These are all areas where transferable progress relies crucially on the development of rigorous and novel tools from Stochastic Analysis.
Our research projects in the Berlin-Oxford IRTG 2544 let Stochastic Analysis interact with its applications in the Natural Sciences, Statistics & Machine Learning and Mathematical Finance, but also with the mathematical areas of Numerical Analysis and Rough Path Theory. The common core for all our research projects is formed by the language, the concepts and the tools from Stochastic Analysis in which all the IRTG students will be trained and to which they will eventually contribute with their own ideas. So, Stochastic Analysis offers a remarkably coherent framework for the remarkably versatile selection of research projects jointly investigated by researchers from Berlin and Oxford.