GRK 2544:  Stochastic Analysis in Interaction

• Subject Area: Mathematics
• Term: since 2020
• Website: Homepage
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 410208580

A golden age has dawned for stochastic analysis in recent years, in which it has been able to considerably expand its mathematical depth and naturally evolve from its diverse fields of application. The Fields Medals for Wendelin Werner (2006), Stanislav Smirnov (2010), Martin Hairer (2014) and most recently Hugo Duminil-Copin (2022) have opened up extraordinarily rich subject areas of intrinsic mathematical interest for young researchers in the field of Stochastics. The possibilities of stochastic analysis for modelling and analysing complex random phenomena have made it indispensable in physics and biology, in finance as well as in engineering, and also in the machine-based handling of data. Indeed, progress in these fields today often relies heavily on the development of mathematically rigorous new tools of stochastic analysis. The researchers from Berlin and Oxford behind the International Research Training Group "Stochastic Analysis in Interaction" share the vision of training a new generation of young researchers who are not only able to master and further develop the necessary mathematical foundations of stochastic analysis, but are also familiar with the diversity of its application areas in order to fully develop its potential for further outstanding contributions both inside and outside academia. The research groups in Stochastic Analysis from Berlin and Oxford have an excellent international reputation for first-class research with outstanding doctoral students. The relationships between the groups have been further broadened and deepened in the first years of the joint Research Training Group, with joint summer schools, reading groups and also with longer research stays on the other side of the channel. These stays in particular have already led to several joint publications by doctoral students from Berlin and Oxford with their cooperation partners from the partner group. These contributions by our young researchers, for example on local times of fractional Brownian motions, on optimal adaptive controls, on modelling signals in high-frequency trading or on algorithms for rough differential equations, are the result of the combined expertise from Berlin and Oxford, which we also want to use for further cohorts of internationally recruited top talents in stochastic analysis.

• DFG Programme: International Research Training Groups
• International Connection: United Kingdom
• Applicant Institution: Technische Universität Berlin
• Co-Applicant Institution: Freie Universität Berlin; Humboldt-Universität zu Berlin
• Participating Institution: Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS); Leibniz-Institut im Forschungsverbund Berlin e. V.
• IRTG-Partner Institution: University of Oxford
• Spokesperson: Professor Dr. Peter Bank
• IRTG-Partner: Spokesperson: Professor Terry Lyons, Ph.D.
• Participating Researchers: Privatdozent Dr. Christian Bayer; Professor Dr. Dirk Becherer; Professor Dr. Christoph Belak; Professorin Dr. Ana Djurdjevac; Professor Dr. Peter Karl Friz; Professor Dr. Ulrich Horst; Professorin Dr. Dörte Kreher; Professor Dr. Wolfgang König; Professor Dr. Nicolas Perkowski; Professor Dr. Markus Reiß; Professor Dr. Wilhelm Stannat; Professorin Dr. Maite Wilke-Berenguer