April 22, 2021

Functional Limit Theorems for Irregular Stochastic Processes

Speaker: Prof. Dr. Stefan Ankirchner (Professor of Stochastic Analysis, Institute of Mathematics, Friedrich-Schiller-University, Germany)

Abstract: In this talk we will see that every one-dimensional continuous regular strong Markov process can be approximated with coin tossing Markov chains. In particular, it is possible to approximate an SDE with an irregular diffusion coefficient with such Markov chains. We also discuss the numerical approximation scheme based on coin tossing Markov chain approximations. The talk is based on joint work with Thomas Kruse and Mikhail Urusov.

Short biography of Speaker:

July 2005: Doctorate in Mathematics at the Humboldt University of Berlin (Advisor: Peter Imkeller)
April 2002: Diploma in Mathematics at the Ludwig-Maximilians-University Munich

Professional activity
since April 2014: Professor of Stochastic Analysis at the Institute of Mathematics of the Friedrich-Schiller-University
11/2009 – 03/2014: Professor at the Rheinische Friedrich-Wilhelms-University Bonn
11/2008 – 09/2009: Risk Controller in an energy company
10/2006 – 11/2008: Research assistant at the Humboldt University, Berlin
10/2005 – 09/2006: Chapman Fellow at Imperial College London
2002 – 2005: PhD student at the Research Training Group “Stochastic Processes and Probabilistic Analysis

Google Meet: Here
Google Meet Start Time: 14:40 GMT + 0:00