Project Details
Projekt
GRK 1339: Stochastic Models of Complex Processes and their Applications (SMCP)
Subject Area
Mathematics
Term
from 2006 to 2011
Project identifier
Deutsche Forschungsgemeinschaft (DFG) - Project number 19472777
The International Research Training Group aims at providing PhD students with a broad fundamental knowledge in probability theory together with a specialised training in the fields of modern applied probability, which are strongly represented both in Berlin/Potsdam and Zurich. Its objective is to train students in mathematical techniques and their applications to problems from areas such as physics, finance or climatology. The emphasis is on an integral approach, ranging from mathematical modelling and theoretical model analysis to numerical analysis and statistical regression.
The International Research Training Group is offering a wide range of graduate courses that is integrated into the programme of the Berlin Mathematical School. As such, it targets students already in the early stages of graduate studies. Specialised courses are supplemented by mini-courses and lecture series by leading international experts. Interaction between graduate students is of high priority and is fostered through regular seminars and working groups. An important aspect is the early integration of students in the international research environment, in particular through longer-term visits at the partner institutions in Zurich.
The main research topics are financial mathematics, stochastic analysis, statistical mechanics and processes in random environments, as well as stochastic models from population genetics.
Stochastic modelling usually starts by describing real world objects on different spatial and temporal scales. A key aspect is to link microscopic modelling (interacting systems of agents or particles) to mesoscopic modelling (stochastic differential equations, stochastic dynamics) through limit theorems. For example, to study liquidity risk in financial markets, one will want to model a market in terms of many interacting agents, derive an effective continuous time stochastic process for the large scale dynamics, and finally develop hedging and investment strategies on the basis of such models.
The International Research Training Group is offering a wide range of graduate courses that is integrated into the programme of the Berlin Mathematical School. As such, it targets students already in the early stages of graduate studies. Specialised courses are supplemented by mini-courses and lecture series by leading international experts. Interaction between graduate students is of high priority and is fostered through regular seminars and working groups. An important aspect is the early integration of students in the international research environment, in particular through longer-term visits at the partner institutions in Zurich.
The main research topics are financial mathematics, stochastic analysis, statistical mechanics and processes in random environments, as well as stochastic models from population genetics.
Stochastic modelling usually starts by describing real world objects on different spatial and temporal scales. A key aspect is to link microscopic modelling (interacting systems of agents or particles) to mesoscopic modelling (stochastic differential equations, stochastic dynamics) through limit theorems. For example, to study liquidity risk in financial markets, one will want to model a market in terms of many interacting agents, derive an effective continuous time stochastic process for the large scale dynamics, and finally develop hedging and investment strategies on the basis of such models.
DFG Programme
International Research Training Groups
International Connection
Switzerland
Applicant Institution
Technische Universität Berlin
Participating Institution
Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
Leibniz-Institut im Forschungsverbund Berlin e. V.
Leibniz-Institut im Forschungsverbund Berlin e. V.
Co-Applicant Institution
Humboldt-Universität zu Berlin; Universität Potsdam
IRTG-Partner Institution
ETH Zürich; Universität Zürich
Participating Researchers
Professor Dr. Hans Föllmer; Professorin Dr. Barbara Gentz; Professor Dr. Jürgen Gärtner; Professor Dr. Peter Imkeller; Professor Dr. Uwe Küchler; Professorin Dr. Sylvie Roelly; Professor Dr. Michael Scheutzow; Professor Dr. Alexander Schied
Cooperation Partners
Professor Dr. Erwin Bolthausen; Professor Dr. Freddy Delbaen; Professor Dr. Paul Embrechts; Professor Dr. Martin Schweizer; Professor Dr. Alain-Sol Sznitman
Spokesperson
Professor Dr. Jean-Dominique Deuschel
