Stochastic partial differential equations: Statistics meets numerics
June 2 - June 6, 2025
Motivated by random phenomena observed in applications such as the natural sciences, engineering, and mathematical finance, stochastic partial differential equations (SPDEs) have been studied intensively from an analytical and probabilistic perspective over the last decades. Given today’s interest of practitioners in SPDE models, statistical and numerical methods are required to make the models useful in applications. Although the statistical and numerical perspectives are potentially closely related, research activities for SPDEs have developed largely separated from each other so far. At this conference, we will bring together leading experts from both research directions to overcome the separation and to foster an intensive interaction between both fields.
Recorded seminars:
Seminars Scroll to the next upcoming seminar
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Charles-Edouard Bréhier: Introduction to numerical methods for SPDEs I June 02 09:30 - 10:30 -
Markus Reiß: Statistics for SPDEs – a survey I June 02 11:00 - 12:00 Markus Reiß: Statistics for SPDEs – a survey I
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Claudia Schillings: TBA June 02 15:00 - 15:30 Claudia Schillings: TBA
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Finn Lindgren: TBA June 02 15:30 - 16:00 Finn Lindgren: TBA
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Andreas Petersson: Nonparametric estimation of noise covariance in parabolic SPDEs June 02 16:00 - 16:30 Andreas Petersson: Nonparametric estimation of noise covariance in parabolic SPDEs
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Randolf Altmeyer: Nonparametric estimation problems for linear SPDEs June 02 17:00 - 17:30 Randolf Altmeyer: Nonparametric estimation problems for linear SPDEs
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Mark Podolskij: Non-parametric Inference for McKean–Vlasov diffusions June 02 17:30 - 18:00 Mark Podolskij: Non-parametric Inference for McKean–Vlasov diffusions
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Charles-Edouard Bréhier: Introduction to numerical methods for SPDEs II June 03 09:00 - 10:00 Charles-Edouard Bréhier: Introduction to numerical methods for SPDEs II
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Marc Hoffmann: Some questions in mathematical statistics linked to evolution PDEs June 03 10:30 - 11:00 Marc Hoffmann: Some questions in mathematical statistics linked to evolution PDEs
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Sascha Gaudlitz: Bayesian inference in semi-linear SPDEs using spatial information June 03 11:00 - 11:30 Sascha Gaudlitz: Bayesian inference in semi-linear SPDEs using spatial information
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Gilles Vilmart: High-order sampling of the invariant distribution of ergodic stochastic dynamics: preconditioning […] June 03 15:00 - 15:30 Gilles Vilmart: High-order sampling of the invariant distribution of ergodic stochastic dynamics: preconditioning […]
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Sonja Cox: Sharp bounds for parameter-dependent stochastic integrals June 03 15:30 - 16:00 Sonja Cox: Sharp bounds for parameter-dependent stochastic integrals
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Björn Müller: Isotropic Q-fractional Brownian motion on the sphere: regularity and fast simulation June 03 16:00 - 16:30 Björn Müller: Isotropic Q-fractional Brownian motion on the sphere: regularity and fast simulation
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Pavel Kříž: Estimating the Self-Similarity Index for Parabolic SPDEs June 03 17:00 - 17:30 Pavel Kříž: Estimating the Self-Similarity Index for Parabolic SPDEs
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Bohdan Maslowski: TBA June 03 17:30 - 18:00 Bohdan Maslowski: TBA
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Andrea Papini: Euler-Maruyama approximation of Lévy driven SPDE on the sphere June 04 08:30 - 09:00 Andrea Papini: Euler-Maruyama approximation of Lévy driven SPDE on the sphere
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Ana Djurdjevac: Nonlinear SPDE models of particle systems June 04 09:00 - 09:30 Ana Djurdjevac: Nonlinear SPDE models of particle systems
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Wilhelm Stannat: Filtering SPDEs with Spatio-Temporal Point Process Observations June 04 09:30 - 10:00 Wilhelm Stannat: Filtering SPDEs with Spatio-Temporal Point Process Observations
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Mihály Kovács : On the strong Feller property of the heat equation on quantum graphs with Kirchhoff noise June 04 10:00 - 10:30 Mihály Kovács : On the strong Feller property of the heat equation on quantum graphs with Kirchhoff noise
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Ciprian Tudor: Stein-Malliavin calculus and asymptotic independence June 04 11:00 - 11:30 Ciprian Tudor: Stein-Malliavin calculus and asymptotic independence
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Sven Wang: TBA June 04 11:30 - 12:00 Sven Wang: TBA
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Markus Reiß: Statistics for SPDEs – a survey II June 05 09:00 - 10:00 Markus Reiß: Statistics for SPDEs – a survey II
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Gabriel Lord: Adaptive time stepping for additive noise SPDEs June 05 10:30 - 11:00 Gabriel Lord: Adaptive time stepping for additive noise SPDEs
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Elisabeth Ullmann: Consensus-Based Rare Event Estimation June 05 11:00 - 11:30 Elisabeth Ullmann: Consensus-Based Rare Event Estimation
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Lukas Trottner: Change point estimation for a stochastic heat equation June 05 15:00 - 15:30 Lukas Trottner: Change point estimation for a stochastic heat equation
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Eric Ziebell: Statistics for the stochastic wave equation with Riesz noise based on discrete observations June 05 15:30 - 16:00 Eric Ziebell: Statistics for the stochastic wave equation with Riesz noise based on discrete observations
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Oana Lang: Euler Equations Driven by Fractional Transport Noise: Existence and Hurst Parameter Estimation June 05 16:00 - 16:30 Oana Lang: Euler Equations Driven by Fractional Transport Noise: Existence and Hurst Parameter Estimation
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Monika Eisenmann: A fully discretized domain decomposition approach for semi-linear SPDEs June 05 17:00 - 17:30 Monika Eisenmann: A fully discretized domain decomposition approach for semi-linear SPDEs
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Andrea Barth: Generalized Bayesian inversion and its application to S(P)DEs June 05 17:30 - 18:00 Andrea Barth: Generalized Bayesian inversion and its application to S(P)DEs
Recordings
Participants
| Name | University | Country | Arrival and Departure |
|---|---|---|---|
| Randolf Altmeyer | University: Imperial College London | Country: United Kingdom | Arrival and Departure: |
| Andrea Barth | University: University of Stuttgart | Country: Germany | Arrival and Departure: |
| Charles-Edouard Bréhier | University: Université de Pau et des Pays de l'Adour | Country: France | Arrival and Departure: |
| Sonja Cox | University: University of Amsterdam | Country: Netherlands | Arrival and Departure: |
| Ana Djurdjevac | University: Freie Universität Berlin | Country: Germany | Arrival and Departure: |
| Monika Eisenmann | University: Lund University | Country: Sweden | Arrival and Departure: |
| Sascha Gaudlitz | University: Humboldt University Berlin | Country: Germany | Arrival and Departure: |
| Marc Hoffmann | University: University Paris Dauphine-PSL | Country: France | Arrival and Departure: |
| Mihály Kovács | University: Pázmány Péter Catholic University | Country: Hungary | Arrival and Departure: |
| Pavel Kříž | University: Charles University | Country: Czech Republic | Arrival and Departure: |
| Annika Lang | University: Chalmers University of Technology & University of Gothenburg | Country: Sweden | Arrival and Departure: |
| Oana Lang | University: Babes-Bolyai University | Country: Romania | Arrival and Departure: |
| Finn Lindgren | University: The University of Edinburgh | Country: United Kingdom | Arrival and Departure: |
| Gabriel Lord | University: Radboud University | Country: Netherlands | Arrival and Departure: |
| Bohdan Maslowski | University: Charles University | Country: Czech Republic | Arrival and Departure: |
| Björn Müller | University: Chalmers & Göteborgs universitet | Country: Sweden | Arrival and Departure: |
| Andreas Petersson | University: Linnaeus University | Country: Sweden | Arrival and Departure: |
| Andrea Papini | University: Chalmers & Göteborgs universitet | Country: Sweden | Arrival and Departure: |
| Mark Podolskij | University: University of Luxembourg | Country: Luxembourg | Arrival and Departure: |
| Markus Reiß | University: Humboldt University Berlin | Country: Germany | Arrival and Departure: |
| Claudia Schillings | University: Freie Universitaet Berlin | Country: Germany | Arrival and Departure: |
| Wilhelm Stannat | University: Berlin Institute of Technology | Country: Germany | Arrival and Departure: |
| Claudia Strauch | University: Heidelberg University | Country: Germany | Arrival and Departure: |
| Mathias Trabs | University: Karlsruhe Institute of Technology | Country: Germany | Arrival and Departure: |
| Lukas Trottner | University: University of Birmingham | Country: United Kingdom | Arrival and Departure: |
| Ciprian Tudor | University: University of Lille | Country: France | Arrival and Departure: |
| Elisabeth Ullmann | University: Technical University of Munich | Country: Germany | Arrival and Departure: |
| Gilles Vilmart | University: University of Geneva | Country: Switzerland | Arrival and Departure: |
| Sven Wang | University: Humboldt University Berlin | Country: Germany | Arrival and Departure: |
| Eric Ziebell | University: Humboldt University Berlin | Country: Germany | Arrival and Departure: |