Upcoming Events
Many events are currently organized online. Information on how to access these events can be found by clicking “more” below the respective entry.
- Tuesday, 06.06.2023, 15:00 (WIAS-405-406)
- Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics
Simon Breneis, WIAS Berlin:
American options under rough Heston (hybrid talk)
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Raum: 405/406
Abstract
The rough Heston model is a popular option pricing model in mathematical finance. However, due to the non-semimartingale and non-Markovian characteristics of its volatility process, simulations can be prohibitively expensive in practice. Building on previous works, we approximate the volatility process with an N-dimensional diffusion, yielding a Markovian approximation of the rough Heston model. Then, we introduce a weak discretization scheme to simulate paths of these Markovian approximations. Our numerical experiments show that these approximations converge at a second-order rate as the number of time steps approaches infinity. We leverage these approximations to price American options under the rough Heston model.
Further Informations
Dieser Vortrag findet bei Zoom statt: https://zoom.us/j/492088715
Host
WIAS Berlin
- Wednesday, 07.06.2023, 11:30 (WIAS-405-406)
- Seminar Interacting Random Systems
Günter Last, Karlsruher Institut für Technologie:
A Palm approach to tail processes and tail measures
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Raum: 405/406
Abstract
Tail processes and tail measures are important concepts in the theory of regularly varying (heavy tailed) time series. In this talk we will show that these concepts are intimately related to Palm theory of stationary random measures. To motivate the topic, we start with providing some background on regularly varying time series. Then we shall introduce tail fields in an intrinsic way, namely as spectrally decomposable random fields satisfying a certain space shift formula. The index set is allowed to be a general locally compact Hausdorff Abelian group. The field may take its values in an Euclidean space or even in an arbitrary measurable cone, equipped with a pseudo norm. We characterize mass-stationarity of the exceedance random measure in terms of a suitable version of the classical Mecke equation. As a rule, the associated stationary measure is not finite. We shall show that it is homogeneous, that is a tail measure. Finally we will establish a spectral representation of stationary tail measures. The talk is based on our recent work arXiv:2112.15380.
Further Informations
Seminar Interacting Random Systems (Hybrid Event)
Host
WIAS Berlin
- Wednesday, 14.06.2023, 15:15 (WIAS-ESH)
- Berliner Oberseminar „Nichtlineare partielle Differentialgleichungen” (Langenbach-Seminar)
Ass. Prof. Dr. Ana Leonor Silvestre, University of Lisbon, Portugal:
Optimal boundary control for the steady Navier--Stokes equations with directional do-nothing boundary conditions (hybrid talk)
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Abstract
We consider the steady Navier--Stokes equations with mixed boundary conditions, where, instead of the classical do-nothing (CDN) outflow condition, a directional do-nothing (DDN) or a regularized directional do-nothing (RDDN) condition are imposed. An auxiliary reference flow, which will also work as a lifting of the inhomogeneous Dirichlet boundary values, is used to define the DDN and RDDN conditions. Our aim is the minimization of a cost functional of velocity tracking type by means of a control localized on the boundary. We prove the existence of a solution for this optimal control problem and, in the case of the RDDN condition, obtain the adjoint system and derive the corresponding first order optimality conditions. All results are obtained under appropriate assumptions on the size of the data and the controls, which, however, are less restrictive when compared with the case of a CDN outflow condition. This is a joint work with Pedro Nogueira and Jorge Tiago (IST, U Lisboa)
Further Informations
Oberseminar “Nichtlineare partielle Differentialgleichungen” (Langenbach-Seminar)
Host
Humboldt-Universität zu Berlin
WIAS Berlin
- Wednesday, 21.06.2023, 11:30 (WIAS-405-406)
- Seminar Interacting Random Systems
Sanjoy Jhawar, WIAS Berlin:
tba
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Raum: 405/406
Further Informations
Seminar Interacting Random Systems (Hybrid Event)
Host
WIAS Berlin
- Wednesday, 28.06.2023, 11:30 (WIAS-405-406)
- Seminar Interacting Random Systems
Céline Kerriou, Universität zu Köln:
tba
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Raum: 405/406
Further Informations
Seminar Interacting Random Systems (Hybrid Event)
Host
WIAS Berlin
- Wednesday, 28.06.2023, 14:00 (WIAS-ESH)
- Berliner Oberseminar „Nichtlineare partielle Differentialgleichungen” (Langenbach-Seminar)
Dr. Peter Gladbach, Universität Bonn:
Homogenization and mean-field limits of transport costs (hybrid talk)
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Abstract
We treat the limits, in terms of Gamma-convergence, of several discrete dynamic transport costs. The first concerns Wasserstein-type transport actions on stationary random graphs, for which we use stochastic homogenization and geometric measure theory to find a continuous limit functional. (joint work with Lorenzo Portinale and Jan Maas) The second treats interacting particles with different origins and destinations, which will develop coordinated oscillations in order to minimize a common functional. We show Gamma-convergence as the number of particles tends to infinity, and that minimizers converge to solutions of a Vlasov equation. (joint work with Bernhard Kepka)
Further Informations
Berliner Oberseminar “Nichtlineare partielle Differentialgleichungen” (Langenbach-Seminar)
Host
Humboldt-Universität zu Berlin
WIAS Berlin
- Wednesday, 28.06.2023, 15:15 (WIAS-ESH)
- Berliner Oberseminar „Nichtlineare partielle Differentialgleichungen” (Langenbach-Seminar)
Dr. Peter Lewintan, Universität Duisburg-Essen:
Optimal Korn--Maxwell--Sobolev inequalities (hybrid talk)
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Abstract
We present a complete picture of coercive Korn-type inequalities for generalised incompatible fields, and optimally extend and unify several previously known inequalities that are crucial to the existence theory for a variety of models in continuum mechanics.
Further Informations
Oberseminar “Nichtlineare partielle Differentialgleichungen” (Langenbach-Seminar)
Host
Humboldt-Universität zu Berlin
WIAS Berlin
- July 3 – 5, 2023 (WIAS-ESH)
- Workshop/Konferenz: Nonlinear Dynamics in Semiconductor Lasers 2023
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Host
Ferdinand-Braun-Institut, Leibniz-Institut für Höchstfrequenztechnik
WIAS Berlin
- Friday, 07.07.2023, 08:00 (Harnack-Haus)
- Workshop: Phase transitions in random point systems
Phase transitions in random point systems
more ... Location
Harnack-Haus -- Tagungsstätte der Max-Planck-Gesellschaft
Host
WIAS Berlin
DFG Schwerpunktprogramm 2265
- Wednesday, 12.07.2023, 11:30 (WIAS-405-406)
- Seminar Interacting Random Systems
Klippel, TU Darmstadt:
tba
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Raum: 405/406
Further Informations
Seminar Interacting Random Systems (Hybrid Event)
Host
WIAS Berlin
- Monday, 17.07.2023, 09:00 (Harnack-Haus)
- SPP2265 Summer School: Probability and geometry on configuration spaces
SPP2265 Summer School: Probability and geometry on configuration spaces
more ... Location
Harnack-Haus -- Tagungsstätte der Max-Planck-Gesellschaft
Host
WIAS Berlin
DFG Schwerpunktprogramm 2265
- August 30 – September 1, 2023 (WIAS-ESH)
- Workshop/Konferenz: Workshop on Biophysics-based modeling and data assimilation in medical imaging 2023
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Host
WIAS Berlin
Charité - Universitätsmedizin Berlin
- September 13 – 15, 2023 (WIAS-ESH)
- Workshop/Konferenz: Energetic Methods for Multi-Component Reactive Mixtures Modelling Stability and Asymptotic Analysis
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Abstract
The central theme of this workshop are mechanical models describing the transport of mass, momentum, and energy in multi-component mixtures, including diffusion, convection, and heat transfer. A consistent account of reactions is a further concern. EMRM 2023 focuses in particular on energetic and entropic tools for strongly coupled systems of hyperbolic--parabolic type, whose analysis is still underdeveloped and has received insufficient attention relative to their tremendous significance in real-world applications. Many complex physical processes not only involve mass transfer induced by random diffusion, but also reaction processes and directed transport including non-local drifts induced, for instance, by the interaction of electrically charged particles. The relative influence of these different processes will depend on the specific application. Developing a framework that asymptotically relates the different models is nowadays an active field of research in multi-component flow modelling. This workshop focuses on the analysis of multi-component mixtures using diffusion models and hydrodynamic models, on the analysis of complex evolutionary systems of hyperbolic--parabolic type, including multi-phase problems, as well as on the connections between these approaches by means of asymptotic analysis.
Host
WIAS Berlin
Technische Universität Wien