Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
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Session Overview |
| Date: Wednesday, 12/Mar/2025 | ||||||||||
| 9:00 am - 10:00 am |
Plenary II Location: POT 81 Floor plan Chair: Martin Keller-Ressel Statistics and calibration for rough volatility: misconceptions and optimal procedures' |
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| 10:00 am - 10:30 am |
Coffee Break Location: Foyer Potthoff Bau Floor plan |
Coffee Break Location: POT 168 Floor plan |
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| 10:30 am - 11:20 am |
S 5 (4): Stochastic modelling in life sciences Location: POT 13 Floor plan Chair: Matthias Birkner Conditioning the logistic continuous state branching process on non-extinction 10:55 am - 11:20 am Limit Theorems for Branching Processes with Thresholds |
S10 Keynote: Stochastic optimization and operation research Location: POT 81 Floor plan Chair: Nikolaus Schweizer Chair: Ralf Werner Bridging Data and Decisions: A Method for Optimization under Uncertainty using Regression Residuals |
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| 10:30 am - 12:10 pm |
S 1 (4): Machine Learning Location: POT 06 Floor plan Chair: Merle Behr Flow matching vs. kernel density estimation 10:55 am - 11:20 am Detecting the memorizing effect in generative AI 11:20 am - 11:45 am Fixed-points of the distributional Bellman operator 11:45 am - 12:10 pm Transport Dependency: Optimal Transport Based Dependency Measures |
S 2 (4): Spatial stochastics, disordered media, and complex networks Location: POT 251 Floor plan Chair: Chinmoy Bhattacharjee Chair: Benedikt Jahnel Random connection hypergraphs 10:55 am - 11:20 am Graph and Hypergraph limits 11:20 am - 11:45 am Multivariate normal approximation for stabilizing functionals with binomial input in the convex distance 11:45 am - 12:10 pm Maximal degree in a window for Beta-Delaunay and Beta-Prime-Delaunay Triangulations |
S 3 (2): Stochastic Analysis and S(P)DEs Location: POT 151 Floor plan Chair: Vitalii Konarovskyi Chair: Aleksandra Zimmermann Probabilistic approach to semi-linear elliptic equations with measure data 10:55 am - 11:20 am A nonlinear stochastic convection-diffusion equation with reflection 11:20 am - 11:45 am Functional and Cheeger-type inequalities for Brownian motion with sticky-reflecting boundary diffusion 11:45 am - 12:10 pm The quenched Edwards–Wilkinson equation with Gaussian disorder |
S 4 (3): Limit theorems, large deviations and extremes Location: ZEU 160 Floor plan Chair: Jan Nagel Chair: Marco Oesting Extreme values of permutation statistics and triangular arrays 10:55 am - 11:20 am Spatio-temporal statistical modeling of the occurrence of extreme events 11:20 am - 11:45 am Convergence of Extremal Processes in Spaces of Growing Dimension 11:45 am - 12:10 pm Bayesian Inference for Functional Extreme Events Defined via Partially Unobserved Processes |
S 6 (4): Stochastic modelling in natural sciences Location: POT 112 Floor plan Chair: Alexandra Blessing Chair: Anton Klimovsky Freezing limits of Calogero-Moser-Sutherland particle models 10:55 am - 11:20 am Simulation of Surface Defects using Voronoi Tessellations 11:20 am - 11:45 am A min-max random game on a graph that is not a tree 11:45 am - 12:10 pm Random eigenvalues of dual infinite $(p,q)$--nanotubes |
S 7 (6): Stochastic processes: theory, statistics and numerics Location: POT 51 Floor plan Chair: Andreas Neuenkirch Chair: Jakob Söhl Learning Stochastic Reduced Models from Data: A Nonintrusive Approach 10:55 am - 11:20 am On the mathematical theory of continuous time Ensemble Kalman Filters 11:20 am - 11:45 am Learning to steer with Brownian noise |
S 8 (4): Finance, insurance and risk: Modelling Location: POT 361 Floor plan Chair: Peter Hieber Chair: Frank Seifried The fundamental theorem of asset pricing with and without transaction costs 10:55 am - 11:20 am On the absence of arbitrage in diffusion markets with reflection and skewness 11:20 am - 11:45 am Equilibrium Asset Pricing with Epstein-Zin Stochastic Differential Utility 11:45 am - 12:10 pm Mean-variance equilibria in continuous time |
S12 (1): Computational, functional and high-dimensional statistics Location: ZEU 260 Floor plan Chair: Martin Wahl Sequential Monte Carlo depth computation with statistical guarantees 10:55 am - 11:20 am Lower Complexity Adaptation for Empirical Entropic Optimal Transport 11:20 am - 11:45 am Simultaneous Estimation of Model Evidence and Posterior Predictive Distributions with Non-equilibrium Thermodynamic Integration |
S13 (4): Nonparametric and asymptotic statistics Location: ZEU 250 Floor plan Chair: Alexander Kreiss Chair: Leonie Selk Axiomatic characterisation of generalized $\psi$-estimators 10:55 am - 11:20 am An arginf continuous mapping theorem with application in regression analysis 11:20 am - 11:45 am Sharp oracle inequalities and universality of the AIC and FPE 11:45 am - 12:10 pm What are the Clopper-Pearson bounds, simply if a bit roughly? |
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| 11:20 am - 12:10 pm |
S 5 Keynote: Stochastic modelling in life sciences Location: POT 81 Floor plan Chair: Matthias Birkner A spatial measure-valued model for chemical reaction networks in heterogeneous systems |
S10 (1): Stochastic optimization and operation research Location: POT 13 Floor plan Chair: Nikolaus Schweizer Chair: Ralf Werner Existence of equilibria in Dynkin games of war-of-attrition type 11:45 am - 12:10 pm Mokobodzki's intervals: an approach to Dynkin games when value process is not a semimartingale |
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| 12:10 pm - 1:40 pm |
Lunch |
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| 1:40 pm - 2:30 pm |
S 2 Keynote: Spatial stochastics, disordered media, and complex networks Location: POT 81 Floor plan Chair: Chinmoy Bhattacharjee Chair: Benedikt Jahnel Multiple Poisson Integrals: from U-statistics to Poincaré inequalities |
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| 1:40 pm - 3:20 pm |
S 1 (5): Machine Learning Location: POT 06 Floor plan Chair: Merle Behr Optimization of high-dimensional random functions 2:05 pm - 2:30 pm Towards Applying Regression Techniques for Counterfactual Reasoning 2:30 pm - 2:55 pm Lévy Langevin Monte Carlo |
S 3 (3): Stochastic Analysis and S(P)DEs Location: POT 151 Floor plan Chair: Vitalii Konarovskyi Chair: Aleksandra Zimmermann Bayesian Filtering for SPDEs with Spatio-Temporal Point Process Observations 2:05 pm - 2:30 pm On the existence of weak solutions to mean-field stochastic Volterra equations 2:30 pm - 2:55 pm Ergodicity for stochastic Volterra processes 2:55 pm - 3:20 pm Limit theorems for general functionals of Brownian local times |
S 4 (4): Limit theorems, large deviations and extremes Location: ZEU 160 Floor plan Chair: Jan Nagel Chair: Marco Oesting Phase transitions for linear spectral statistics of sample correlation matrices in high dimension 2:05 pm - 2:30 pm A sharper Lyapunov-Katz central limit error bound for i.i.d. summands Zolotarev-close to normal 2:30 pm - 2:55 pm The free additive convolution of semicircular and uniform distribution 2:55 pm - 3:20 pm Central limit theorem for convex expectations |
S 6 (5): Stochastic modelling in natural sciences Location: POT 112 Floor plan Chair: Alexandra Blessing Chair: Anton Klimovsky Multiple-merger coalescents {\it (I)} when the sample size is large, and {\it (II)} in a random environment 2:05 pm - 2:30 pm A probabilistic interpretation of a non-conservative and path-dependent nonlinear reaction-diffusion system for marble sulphation in Cultural Heritage 2:30 pm - 2:55 pm The high-temperature phases of the complex CREM: Beyond weak correlations 2:55 pm - 3:20 pm Dimensionality Reduction in Filtering for Stochastic Reaction Networks |
S 7 (7): Stochastic processes: theory, statistics and numerics Location: POT 51 Floor plan Chair: Frank Aurzada Some insight in jumps of Dunkl processes and connections to Gilat's theorem 2:05 pm - 2:30 pm On nonlocal Neumann problem and corresponding stochastic process 2:30 pm - 2:55 pm Self-intersection local times of Volterra Gaussian processes 2:55 pm - 3:20 pm Vague and basic convergence of signed measures |
S 8 (5): Finance, insurance and risk: Modelling Location: POT 361 Floor plan Chair: Peter Hieber Chair: Frank Seifried A Pareto tail plot and the principle of a single huge jump 2:05 pm - 2:30 pm Shrink-Swell Soils: Modelling and Pricing with Mean-Reverting Regime-Switching Lévy Processes 2:30 pm - 2:55 pm On the Range Process of a L\'{e}vy Risk Process with Fair Valuation of Insurance Contract |
S10 (2): Stochastic optimization and operation research Location: POT 13 Floor plan Chair: Nikolaus Schweizer Chair: Ralf Werner Optimal control of stochastic delay differential equations and applications to portfolio optimization and optimal advertising 2:05 pm - 2:30 pm Time-consistent asset allocation for risk measures in a Lévy market 2:30 pm - 2:55 pm An investmentproblem with incomplete information 2:55 pm - 3:20 pm A Hot Topic: Modeling Prosumer Heat Storage with a Markov Decision Process |
S11 (1): Time series - Change-Point Analysis Location: POT 251 Floor plan Chair: Alexander Schnurr Monitoring Time Series with Short Detection Delay 2:05 pm - 2:30 pm Functional AR-Sieve Bootstrap for Change-Point Tests 2:30 pm - 2:55 pm Two change point tests for a gradual change in the Poisson INARCH(1)-process |
S12 (2): Computational, functional and high-dimensional statistics Location: ZEU 260 Floor plan Chair: Martin Wahl Delayed Acceptance Slice Sampling: A Two-Level Method For Improved Efficiency In High-Dimensional Settings 2:05 pm - 2:30 pm Metropolis-adjusted interacting particle sampling 2:30 pm - 2:55 pm A Unified Framework for Pattern Recovery in Penalized Estimation 2:55 pm - 3:20 pm Robust posterior sampling using the multiple Laplace approximations |
S13 (5): Nonparametric and asymptotic statistics Location: ZEU 250 Floor plan Chair: Alexander Kreiss Chair: Leonie Selk Convergence Rates for the Maximum A Posteriori Estimator in PDE-Regression Models with Random Design 2:05 pm - 2:30 pm Shift-Dispersion Decompositions of Wasserstein and Cramér Distances 2:30 pm - 2:55 pm Uncovering Intrinsic Decompositions: A Tool to Interpret Statistical Distances 2:55 pm - 3:20 pm Unlinked regression under vanishing variance |
| 2:30 pm - 3:20 pm |
S 9 Keynote: Finance, insurance and risk: Quantitative methods Location: POT 81 Floor plan Chair: Nils-Christian Detering Chair: Peter Ruckdeschel Modelling contagious bank runs |
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| 3:20 pm - 3:50 pm |
Coffee Break Location: Foyer Potthoff Bau Floor plan |
Coffee Break Location: POT 168 Floor plan |
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| 3:50 pm - 4:40 pm |
S 1 (6): Machine Learning Location: POT 06 Floor plan Chair: Shayan Hundrieser Statistical guarantees for stochastic Metropolis-Hastings 4:15 pm - 4:40 pm Lévy Langevin Monte Carlo for heavy-tailed target distributions |
S 6 Keynote: Stochastic modelling in natural sciences Location: POT 81 Floor plan Chair: Alexandra Blessing Chair: Anton Klimovsky Stability and instability of almost-surely invariant structures in stochastic systems |
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| 3:50 pm - 5:30 pm |
S 3 (4): Stochastic Analysis and S(P)DEs Location: POT 151 Floor plan Chair: Vitalii Konarovskyi Chair: Aleksandra Zimmermann A regularized Kellerer theorem in arbitrary dimension 4:15 pm - 4:40 pm On the weak representation property in progressively enlarged filtrations 4:40 pm - 5:05 pm Limit Laws for Critical Dispersion on Complete Graphs 5:05 pm - 5:30 pm A Lévy-Itô decomposition for non-stationary processes on Lie groups |
S 4 (5): Limit theorems, large deviations and extremes Location: ZEU 160 Floor plan Chair: Jan Nagel Chair: Marco Oesting Poissonian pair correlations for dependent 4:15 pm - 4:40 pm Small-scale asymptotic structure of ordered uniform k-spacings 4:40 pm - 5:05 pm An approximation for the quantiles of the maxima 5:05 pm - 5:30 pm Decay of correlations for the massless hierarchical Liouville model in infinite volume |
S 7 (8): Stochastic processes: theory, statistics and numerics Location: POT 51 Floor plan Chair: Markus Bibinger Drift Parameter Estimation of Discretely Observed High-Dimensional Diffusion Processes. 4:15 pm - 4:40 pm Testing the rank of the spot covariance matrix of a multidimensional semi-martingale 4:40 pm - 5:05 pm Adaptive Elastic-Net Estimation for Ergodic Diffusion Processes: oracle properties and non-asymptotic bounds 5:05 pm - 5:30 pm Non-ergodic statistics for stationary-increment harmonizable stable processes |
S 8 (6): Finance, insurance and risk: Modelling Location: POT 361 Floor plan Chair: Peter Hieber Chair: Frank Seifried Competitive portfolio optimization via a value-at-risk based constraint 4:15 pm - 4:40 pm Multi-Agent and Mean Field Games for Optimal Investment under Relative Performance Concerns with Jump Signals 4:40 pm - 5:05 pm Multi-asset optimal trade execution in an Obizhaeva-Wang-type model |
S 9 (1): Finance, insurance and risk: Quantitative methods Location: POT 112 Floor plan Chair: Nils-Christian Detering Chair: Peter Ruckdeschel Pricing of geometric Asian options in the Volterra-Heston model 4:15 pm - 4:40 pm A comparison principle based on couplings of partial integro-differential operators 4:40 pm - 5:05 pm Semi-static variance-optimal hedging with self-exciting jumps 5:05 pm - 5:30 pm Optimal Execution Strategies in Short-Term Energy Markets under (Marked) Hawkes Processes |
S10 (3): Stochastic optimization and operation research Location: POT 13 Floor plan Chair: Nikolaus Schweizer Chair: Ralf Werner Probabilstic discrepancy bounds for different drawing strategies 4:15 pm - 4:40 pm Exponential convergence of general iterative proportional fitting procedures |
S11 (2): Time series - Spectral Analysis and Limit Theorems Location: POT 251 Floor plan Chair: Marie Düker Evaluating Multivariate Singular Spectrum Analysis via Multiple Testing Error Rates 4:15 pm - 4:40 pm Trend estimation for time series with polynomial-tailed noise 4:40 pm - 5:05 pm Asymptotics of peaks-over-threshold estimators in long memory linear time series 5:05 pm - 5:30 pm Time-varying Lévy-driven state space models, locally stationary approximations and asymptotic normality |
S12 (3): Computational, functional and high-dimensional statistics Location: ZEU 260 Floor plan Chair: Martin Wahl Tracy-Widom, Gaussian, and Bootstrap: Approximations for Leading Eigenvalues in High-Dimensional PCA 4:15 pm - 4:40 pm AIC for many-regressor heteroskedastic regressions 4:40 pm - 5:05 pm Identification in ill-posed linear regression: estimation rates, prediction risk, asymptotic distributions |
S13 (6): Nonparametric and asymptotic statistics Location: ZEU 250 Floor plan Chair: Alexander Kreiss Chair: Leonie Selk Statistical Inference for Rank Correlations 4:15 pm - 4:40 pm Quantifying and estimating dependence via sensitivity of conditional distributions 4:40 pm - 5:05 pm Bootstrap Consistency and Normality of Chatterjee's Rank Correlation 5:05 pm - 5:30 pm A new dependence order for Chatterjee's rank correlation and related dependence measures |
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| 4:40 pm - 5:30 pm |
S 1 Keynote: Machine Learning Location: POT 81 Floor plan Chair: Merle Behr A primer on physics-informed machine learning |
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| 5:35 pm - 6:15 pm |
Förderpreise der FG Stochastik: Förderpreise der FG Stochastik: Preisverleihung und Vorträge der Preisträger:innen Location: POT 81 Floor plan |
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| 6:15 pm - 7:45 pm |
General Assembly: Mitgliederversammlung der FG Stochastik Location: POT 81 Floor plan |
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Contact and Legal Notice · Contact Address:  Conference: GPSD 2025 |
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