Vorträge Stochastik und Finanzmathematik

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Rhein-Main Kolloquium Stochastik: Gemeinsames Kolloquium der Arbeitsgruppen Stochastik TU Darmstadt / Gutenberg-Universität Mainz / Goethe-Universität Frankfurt
Stochastisches Kolloquium: Forschungsseminar des Schwerpunkts Stochastik
Oberseminar Stochastik: Forschungsseminar für Doktoranden und Masterstudenten
Oberseminar Stochastische Prozesse und Ihre Anwendungen: Das Oberseminar des FG Stochastik (Prof. Blath) findet regelmäßig statt. Es richtet sich an Bachelor- und MasterkandidatInnen und junge WissenschaftlerInnen der Arbeitsgruppe Stochastik.
Blockseminar in Riezlern im Haus Bergkranz: Infos zum Haus Bergkranz gibt es hier
Verweis auf weitere interessante Vorträge: außerhalb des Frankfurter Schwerpunkts Stochastik

Vorträge in chronologischer Reihenfolge

Oberseminar Stochastik

Dez 10 2025

15:15

RM 10, Raum 711 gr.

Alexandra Levitin: Das Preferential Attachment Modell mit Anomalie

Oberseminar Stochastik

Dez 3 2025

14:15

RM10, Raum 711 gr.

Sonja Lührsen: Analyse von PageRank auf zufälligen Netzwerken

Stochastisches Kolloquium; SPIELE-Seminar

Sep 1 2025

11:00

Robert-Mayer-Straße 10, Raum 711 groß

Prof. Philipp Otto: Spatial and Spatiotemporal Volatility Models with an Application on Environmental Risks

Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence in the volatility may arise due to spatial spillovers among locations; that is, in the case of positive spatial dependence, if two locations are in close proximity, they can exhibit similar volatilities. In this paper, we aim to provide a comprehensive review of the recent literature on spatial and spatiotemporal volatility models. We first briefly review time series volatility models and their multivariate extensions to motivate their spatial and spatiotemporal counterparts. We then review various spatial and spatiotemporal volatility specifications proposed in the literature, along with their underlying motivations and estimation strategies. Through this analysis, we effectively compare all models and provide practical recommendations for their appropriate usage. We highlight possible extensions and conclude by outlining directions for future research.

Oberseminar Stochastische Prozesse und ihre Anwendung

Jul 21 2025

16:00

RM 10, Raum 711 groß

Timo Dimitriadis: Ein Vortrag aus der Ökonometrie

Titel: Kullback-Leibler-Based Characterizations of Score-Driven Updates

Abstract: Score-driven models have been applied in some 400 published articles over the last decade. Much of this literature cites the optimality result in Blasques et al. (2015), which, roughly, states that sufficiently small score-driven updates are unique in locally reducing the Kullback-Leibler divergence relative to the true density for every observation. This is at odds with other well-known optimality results; the Kalman filter, for example, is optimal in a mean-squared-error sense, but occasionally moves away from the true state. We show that score-driven updates are, similarly, not guaranteed to improve the localized Kullback-Leibler divergence at every observation. The seemingly stronger result in Blasques et al. (2015) is due to their use of an improper (localized) scoring rule. Even as a guaranteed improvement for every observation is unattainable, we prove that sufficiently small score-driven updates are unique in reducing the Kullback-Leibler divergence relative to the true density in expectation. This positive, albeit weaker, result justifies the continued use of score-driven models and places their information-theoretic properties on solid footing.

Working Paper: https://arxiv.org/abs/2408.02391

Oberseminar Stochastische Prozesse und ihre Anwendung; SPIELE-Seminar

Jul 14 2025

16:00

RM 10, Raum 711 groß

Oskar Hagen (iDiv): Deep-time mechanistic biodiversity models bridging paleoenvironmental data, ecological dynamics, and evolutionary theory

Oberseminar Stochastische Prozesse und ihre Anwendung

Jul 7 2025

16:00

Raum 711 groß

Imanol Nunez: The Dice Process - A Model for Partially Exchangeable Dynamics

Cimat, Mexico

Abstract: In this talk we will introduce the dice process, a probabilistic model that describes the evolution of a collection of particles moving over a graph. We will begin by presenting two motivating examples: the averaging process and a coalescent process with multiple switching. After briefly introducing the notion of partial exchangeability, a symmetry property of certain random structures, we will describe the dice process and explain how it is related to the examples introduced at the beginning. This talk is based on joint work in progress with Adrián González Casanova, Noemi Kurt, and José Luis Pérez.

Oberseminar Stochastische Prozesse und ihre Anwendung

Jun 30 2025

14:00

RM 10, 711 klein

Alina Wagner: Applications of the Ewens Sampling Formula

Stochastisches Kolloquium

Jun 27 2025

11:00 - 12:00

711 groß

Prof. Sebastian Wild: Instance-optimal compressed data structures for trees and graphs

Universität Marburg

Abstract: We aim to represent a combinatorial object, drawn according to a probability distribution, using close to the minimal number of bits of space, while supporting efficient queries directly on the compressed representation. For many distributions over binary trees, we obtain asymptotically instance-optimal space using a single “universal” data structure, “hypersuccinct trees”. For graphs, we show instance-optimal data structures for preferential attachment graphs generated by the Barabási-Albert model.

Oberseminar Stochastische Prozesse und ihre Anwendung

Jun 23 2025

14:00

RM 10, Raum 711 klein

Tim Renner: Wright-Fisher Modelle mit Seed-Banks

Oberseminar Stochastische Prozesse und ihre Anwendung

Jun 16 2025

16:00

RM 10, Raum 901