Stochastic analysis with applications in biology, finance and physics
The proposed RTG will provide 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 will be
- stochastic finance
- stochastic analysis and statistical inference for stochastic dynamics
- stochastic processes in biology and physics.
The Berlin-Potsdam group in stochastics has a proven record of successful collaboration in and across these strongly interconnected areas reflected in our research and teaching programme.
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 random media to models of illiquidly traded financial assets, from population dynamics to equilibria in incomplete markets, from climate dynamics to statistical inference for jump processes. The RTG faculty has documented its expertise in each of these fields by a strong record of recent publications.
Financer
DFG Research Training Group
Duration of project
Start date: 10/2012
End date: 03/2017
