GRK 1845:  Stochastic Analysis with Applications in Biology, Finance and Physics

• Subject Area: Mathematics
• Term: from 2012 to 2017
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 208415830

The Research Training Group provides PhD students with a broad training in probability theory and stochastic processes, embedded in an excellent environment for high level research in the main fields of modern probability. The areas of activity are stochastic finance, stochastic analysis and statistical inference for stochastic dynamics and stochastic processes in biology and physics. The unifying theme of our research is the development and use of methods from stochastic analysis. They are key to many problems in physics, biology or finance. We will develop new tools and techniques in stochastic analysis, for instance in the fast developing theory of rough paths, or the dynamics of stochastic partial differential equations. Applications of our research range from stochastic processes in random environments for instance in statistical physics to models of illiquidly traded financial assets, from the dynamics of populations in biological systems to equilibria in incomplete markets encountered in economics models, from climate dynamics to statistical inference for jump processes. The rich scientific scope of our research fields allows us to offer our students a wide array of basic and advanced courses on a regular basis, integrated into the programme of the Berlin-wide graduate school of the mathematics BMS. They will be accompanied by specialised mini courses, joint colloquia and research seminars. The Research Training Group will take on the momentum created by our former International Research Training Group, reflected in the strong and sustained ambiance with self-organised working and discussion groups, focus seminars and an active social life. Our training programme offers our students the opportunity of a research stay abroad, typically for a period of two to six months. Our supervisory concept, therefore, includes - besides the supervision by two members of the Research Training Group faculty - a mentoring programme and the possibility of co-supervision by one of our international partners. The international visibility of our research groups allows our students to establish working contacts with researchers at top level institutions worldwide.

• DFG Programme: Research Training Groups
• Applicant Institution: Humboldt-Universität zu Berlin
• Co-Applicant Institution: Technische Universität Berlin; Universität Potsdam
• Participating Institution: Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS); Leibniz-Institut im Forschungsverbund Berlin e. V.
• Spokesperson: Professor Dr. Peter Imkeller
• Participating Researchers: Professor Dr. Peter Bank; Professor Dr. Dirk Becherer; Professor Dr. Jochen Blath; Professor Dr. Jean-Dominique Deuschel; Professor Dr. Peter Karl Friz; Professor Dr. Ulrich Horst; Professorin Dr. Noemi Kurt; Professor Dr. Wolfgang König; Professor Dr. Nicolas Perkowski; Professor Dr. Markus Reiß; Professorin Dr. Sylvie Roelly; Professor Dr. Michael Scheutzow; Professor Dr. Wilhelm Stannat