During the last years the Chair of Probability Theory offered regularly a Research Seminar. See the last programs, 2018 and 2018-2019. Since the 2018-2019 winter term the chair of Mathematical Statistics joined the Chair of Probability Theory to offer a commun Research Seminar.  Dr. Pierre Houdebert and Dr. Sara Mazzonetto take care of the organisation. After each talk there is a culinary meeting prepared by one member of the groups. The next meetings of the present summer term 2019 can be found in the updated program for the Summer 2019 (click to get the program with and without abstracts) and are also announced below.

01.07.2019, 12:00  –  Golm Haus 9 Raum 0.13
Forschungsseminar Wahrscheinlichkeitstheorie

Precise asymptotics of rough stochastic volatility models

Paolo Pigato (WIAS Berlin)

I will review some empirical facts on implied volatility and how they recently led to the introduction of rough (fractional) stochastic volatility models in finance. I will recall some results in... 

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08.07.2019, 12:00  –  Golm, Haus 9, Raum 0.13
Forschungsseminar Wahrscheinlichkeitstheorie

Concentration of weakly dependent Banach-valued sums and applications to statistical learning methods.

Oleksandr Zadorozhnyi (Potsdam)

In the talk I present a Bernstein type inequality for Banach-valued random sums under weak-dependency assumption of general kind on the variables and smoothness assumption on the underlying Banach... 

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15.07.2019, 12:00  –  Golm Haus 9 Raum 0.13
Forschungsseminar Wahrscheinlichkeitstheorie

Continuum limits of tree-valued stochastic processes

Wolfgang Löhr (Universität Duisburg-Essen)

Markov chains on sets of (finite, graph-theoretic) trees arise in applications, e.g., as evolving genealogical trees in population models or in Markov chain Monte Carlo methods for the reconstruction... 

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