GRK 251:  Stochastic Processes and Probabilistic Analysis

• Subject Area: Mathematics
• Term: from 1996 to 2004
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 271265

The central theme of the research training group are stochastic processes, i.e. mathematical models for random temporally and/orspatially varying functions (like the value of shares or the temperature distribution on the earth's surface). Connections to statistical physics and biology are emphasized in the area stochastic models with interaction. The topic stochastic analysis provides - for example - the basis of mathematical finance, which is e.g. concerned with the valuation of financial derivatives like options and the term structure of interest rates. One of the aims of statistics of random processes and asymptotical decision theory is to find a most suitable model among a class of given stochastic models for some random process on the basis of observations.The program consists of courses, seminars and lectures by guestscientists. One of the aims of the program is to acquaint the studentswith analytic tools which are useful in solving problems in probability theory.

• DFG Programme: Research Training Groups
• Applicant Institution: Technische Universität Berlin
• Participating Institution: Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS); Leibniz-Institut im Forschungsverbund Berlin e. V.
• Spokesperson: Professor Dr. Michael Scheutzow
• Participating Researchers: Professor Dr. Anton Bovier; Professor Dr. Jean-Dominique Deuschel; Dr. Klaus Fleischmann; Professor Dr. Hans Föllmer; Professor Dr. Jürgen Gärtner; Professor Dr. Peter Imkeller; Professor Dr. Uwe Küchler; Professorin Dr. Sylvie Roelly; Professor Dr. Vladimir Spokoiny; Privatdozent Dr. Wolfgang Wagner