Probability Theory and its applications

The focuses of the Institute of Mathematical Stochastics lie in the analysis of complex stochastic systems which appear in numerous fields of natural and social sciences. Amongst others the following topics are of special interest: complex networks, branching processes, percolation theory, renewal theory, statistical mechanics, random matrices, random analytic functions, extreme value theory, large deviations, stochastic approximation, stochastic geometry, optimal transport, financial and actuarial mathematics.

Prerequisites

A course on Probability Theory that provides a deep knowledge on the following subjects:

Measure and integration, stochastic independence, product spaces, Markov-kernels, 0-1 laws, martingales, laws of large numbers, weak convergence, central limit theorem.

These topics can be found in the book Probability Theory of Prof. Dr. Achim Klenke.

This page presents the plan at the time of writing for the courses in future semesters. Please note that this plan is subject to change, and courses may be dropped, added, or modified in reaction to currently unforeseen events.

Courses for the specializations in Probability Theory, its Applications (WA) and Stochastic Processes (SP)

Winter semester 2024/2025

Prof. Dr. Gerold Alsmeyer: Branching Processes (Type I, II, WA, SP)
Prof. Dr. Anna Gusakova: High Dimensional Probability and Concentration of Measure (Type I, II, WA, SP)
Prof. Dr. Martin Huesmann: Optimal Transport (Type I, II, WA, SP)
Prof. Dr. Chiranjib Mukherjee: Stochastic Analysis (Type I, II, WA, SP)
Dr. Michael Stolz:  Stochastic Models in Data Science (Type I, II, WA, SP)

Summer semester 2024

Prof. Dr. Steffen Dereich: Reinforcement Learning (Type I, II, WA, SP)
Prof. Dr. Matthias Löwe: Staticistical Mechanics (Type I, II, WA, SP)
Prof. Dr. Chiranjib Mukherjee: Markov Processes (Type I, II, WA, SP)
PD Dr. Volkert Paulsen: Advanced Financial Mathematics (Type I, II, WA, SP)

Winter semester 2023/2024

Prof. Dr. Anna Gusakova: Stochastic Geometry and Random Graphs ( Type I,II, WA, SP)
Prof. Dr. Martin Huesmann: Stochastic Analysis (Type I,II, WA,SP)
Prof. Dr. Matthias Löwe: Statistical Learning Theory ( Type I,II, WA,SP)

Summer semester 2023

Prof. Dr. Gerold Alsmeyer: Applied Stochastic Models (Type I, II, WA, SP)
Prof. Dr. Martin Huesmann:  Optimal Transport (Type I, II, WA, SP)
PD Dr. Volkert Paulsen: Advanced Financial Mathematics (Type I, II, WA, SP)

Winter semester 2022/23
Prof. Dr. Gerold Alsmeyer:  Random Recursive Equations (Type I, II, WA, SP)
Prof. Dr. Anna Gusakova: Point Processes (Type I, II, WA, SP)
Prof. Dr. Huesmann Stochastic Analysis (Type I,II, WA SP)
Prof. Dr. Zakhar Kabluchko: Advanced Probability Theory (Type I, II, WA, SP)

Further information

The subject areas of the research groups are the following:

Prof. Alsmeyer: renewal theory, branching processes, stochastic fixpoint equations, random discrete structures
Prof. Dereich: complex networks, approximation theory, branching processes, stochastic analysis
JProf. Gusakova:  stochastic geometry, random discrete structures
Prof. Huesmann: optimal transport, financial mathematics
Prof. Kabluchko: stochastic geometry, random analytic functions, random discrete structures, extreme value theory
Prof. Löwe: statistical mechanics, random matrices, random graphs, large deviations
Prof. Mukherjee: large deviations, particle systems, stochastic analysis
PD Paulsen: financial and actuarial mathematics

On the sites of the research groups you may find more information about courses, seminars, master-theses, etc.

Module representative

PD Dr. Volkert Paulsen