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Tuesday, 30.06.2015, 10.15 Uhr (WIAS-406)
Seminar Nichtlineare Optimierung und Inverse Probleme
M. Marschall, TU Berlin:
Sparse-grid Bayesian inversion
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

Host
WIAS Berlin
Tuesday, 30.06.2015, 15.00 Uhr (WIAS-405-406)
Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics
M. Maurelli, WIAS Berlin:
A large deviation principle for mean field interacting particle SDEs, via rough paths
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Raum: 405/406

Host
WIAS Berlin
Wednesday, 01.07.2015, 10.00 Uhr (WIAS-ESH)
Forschungsseminar Mathematische Statistik
M. Trabs, Université Paris-Dauphine:
Low-rank volatility estimation for high-dimensional Lvy processes and low frequency observations
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Abstract
Whenever the modelling of random processes in biology, finance or physics requires to incorporate jumps, Levy processes are one of the building blocks under consideration. Consequently, their statistical analysis attracted much attention in the last decades. We first review some results on the nowa- days well understood nonparametric estimation of the characteristic triplet of a univariate Levy process based on low frequent observations. The underlying inverse problem is ill-posed, where the degree of illposedness is determined by the characteristic triplet itself. This strong interplay can be decoupled if we either observe a time-changed Levy process at equidistant time points or, similarly, if we observe the Levy process at random sampling times. Indeed, in the latter two observation schemes faster rates can be achieved, especially allowing for polynomial convergence rates for the volatility. With this knowledge at hand we study the estimation problem for multi- and high-dimensional (time-changed) Levy processes, focusing on the estimation of the volatility matrix. To overcome the curse of dimensionality, a low-rank condition is imposed. Applying a spectral approach, we construct a weighted leastsquares estimator with `1-penalisation. For this estimator, oracle inequalities are proven which allow for separating the high-dimensional estimation problem from the ill-posed inverse problem. For the volatility matrix estimator we moreover derive convergence rates. These reect surprising phenomena which do not occur in the one dimensional setting. The convergence rates are optimal in the minimax sense (at least in some settings). This talk is based on an ongoing joint work with Denis Belomestny.

Host
Humboldt-Universität zu Berlin
WIAS Berlin
Tuesday, 07.07.2015, 15.00 Uhr (WIAS-406)
Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics
Dr. J. Schoenmakers, WIAS Berlin:
Uniform approximation of the CIR process via exact simulation at random times
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

Host
WIAS Berlin
Wednesday, 08.07.2015, 10.00 Uhr (WIAS-ESH)
Forschungsseminar Mathematische Statistik
Prof. Ch. Breunig, Humboldt-Universtät zu Berlin:
Testing the specification in random coefficient models
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Abstract
In this paper, we suggest and analyze a new class of speci cation tests for random coecient models. They allow to assess the validity of central structural features of the model, in particular linearity in coecients, generalizations of this notion like a known nonlinear functional relationship, or degeneracy of the distribution of a random coecient, i.e., whether a coecient is xed or random, including whether an associated variable can be omitted altogether. Our tests are nonparametric in nature, and use sieve estimators of the characteristic function. We analyze both their power against global, as well as against local alternatives, theoretically. Moreover, we perform a Monte Carlo simulation study, and apply the tests to analyze the degree of nonlinearity in a heterogeneous random coecients consumer demand model.

Further Informations
Forschungsseminar ``Mathematische Statistik''

Host
WIAS Berlin
Humboldt-Universität zu Berlin
Universität Potsdam
Wednesday, 08.07.2015, 15.15 Uhr (WIAS-ESH)
BERLINER OBERSEMINAR Nichtlineare partielle Differentialgleichungen (Langenbach-Seminar)
Dr. M. Heida, WIAS Berlin:
Stochastic homogenization of Prandtl--Reuss plasticity
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Abstract
hier

Further Informations
Berliner Oberseminar ``Nichtlineare Partielle Differentialgleichungen'' (Langenbach Seminar)

Host
WIAS Berlin
Humboldt-Universität zu Berlin
Thursday, 09.07.2015, 16.00 Uhr (WIAS-ESH)
Forschungsseminar Mathematische Modelle der Photonik
S. Pickartz, WIAS Berlin:
Reduced theory of interacting wave packets in nonlinear optical fibers
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Host
Humboldt-Universität zu Berlin
WIAS Berlin
Tuesday, 14.07.2015, 15.00 Uhr (WIAS-406)
Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics
M. Ladkau, Humboldt-Universtität zu Berlin:
Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

Further Informations
Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics

Host
WIAS Berlin
Wednesday, 15.07.2015, 15.15 Uhr (WIAS-ESH)
BERLINER OBERSEMINAR Nichtlineare partielle Differentialgleichungen (Langenbach-Seminar)
Dr. Th. N. Nguyen, Université Paris-Sud, France:
Large time behavior for a nonlocal ordinary differential equation --- Generation of interface for the mass conserved Allen-Cahn equation
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Further Informations
Berliner Oberseminar ``Nichtlineare Partielle Differentialgleichungen'' (Langenbach Seminar)

Host
WIAS Berlin
Humboldt-Universität zu Berlin
Thursday, 03.09.2015, 16.00 Uhr (WIAS-ESH)
Forschungsseminar Mathematische Modelle der Photonik
M. Kantner, WIAS Berlin:
Modeling and numerical simulation of electrically pumped single-photon emitters
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Host
Humboldt-Universität zu Berlin
WIAS Berlin
Thursday, 03.09.2015, 16.00 Uhr (WIAS-ESH)
Forschungsseminar Mathematische Modelle der Photonik
M. Kantner, WIAS Berlin:
Modeling and numerical simulation of electrically pumped single-photon emitters
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Further Informations
Forschungsseminar ``Mathematische Modelle der Photonik''

Host
WIAS Berlin
Humboldt-Universität zu Berlin
Friday, 11.09.2015, 14.00 Uhr (WIAS-ESH)
Seminar Numerische Mathematik
Dr. T. Benacchio, Met Office, UK:
Towards scalable numerical weather and climate prediction with mixed finite element discretizations
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Abstract
The nature of atmospheric processes presents a unique set of challenges to numerical modelling, as coupled nonlinear phenomena evolve on a wide range of spatial and temporal scales extending across several orders of magnitude.. Timely and reliable forecasts require accurate simulation of transport processes together with robust handling of waves and balanced regimes, with competitive and scalable performance a key requisite on increasingly parallel architectures. Features of the nonhydrostatic compressible dynamical core in operation at the Met Office will be outlined, with particular reference to the scalability bottleneck given by the currently employed latitude-longitude grid structure. The talk will then focus on theoretical and computational aspects and open challenges of the mixed finite element numerical scheme on quasi-uniform spherical grids underpinning the next generation dynamical core.

Host
WIAS Berlin
September 17 – 18, 2015 (WIAS-ESH)
Workshop/Konferenz: Workshop on Recent Developments in Inverse Problems
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Host
WIAS Berlin
October 12 – 14, 2015 (WIAS-ESH)
Workshop/Konferenz: Waves, Solitons and Turbulence in Optical Systems (WASTOS15)
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Host
WIAS Berlin
Thursday, 05.11.2015, 16.00 Uhr (WIAS-ESH)
Forschungsseminar Mathematische Modelle der Photonik
S. Pickartz, WIAS Berlin:
Reduced theory of interacting wave packets in nonlinear optical fibers
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Further Informations
Forschungsseminar ``Mathematische Modelle der Photonik''

Host
WIAS Berlin
Humboldt-Universität zu Berlin
November 30 – December 4, 2015 (WIAS-ESH)
Workshop/Konferenz: PDE2015
Theory and Applications of Partial Differential Equations

more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Host
WIAS Berlin
Universität Kassel
December 16 – 18, 2015 (WIAS-ESH)
Workshop/Konferenz: Stochastic Limit Analysis for Reacting Particle Systems
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Host
WIAS Berlin
February 22 – 26, 2016 (WIAS-ESH)
Workshop/Konferenz: ERC Workshop "Modeling Materials and Fluids using Variational Methods''
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Host
WIAS Berlin