Upcoming Events
- June 1 – 5, 2026 (WIAS-ESH)
- Workshop/Konferenz: ESGI 194 - The Berlin Study Group with Industry
more ... Location
Weierstraß-Institut, Anton-Wilhelm-Amo-Str. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Host
WIAS Berlin
- Wednesday, 10.06.2026, 10:00 (WIAS-ESH)
- Forschungsseminar Mathematische Statistik
Prof. Dr. Michael Sørensen, University of Copenhagen:
Recent developments in likelihood inference for stochastic differential equations
more ... Location
Weierstraß-Institut, Anton-Wilhelm-Amo-Str. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Abstract
The complexity of likelihood inference for stochastic differential equations based on discrete time samples often necessitates the use of approximations or computational techniques. Approximate likelihood methods for high frequency data have often been used in financial econometrics, but these methods usually do not perform well for strongly nonlinear models. New developments of approximate likelihood methods based on splitting schemes are presented. These methods perform well also for strongly nonlinear models and at moderate sampling frequencies. Splitting schemes were originally introduced to solve ODEs and SDEs numerically, but in Pilipovic, Samson and Ditlevsen (2024) it was proposed to use them for statistical inference. In the talk a more general approach is presented that is applicable to a broad class of diffusion models. The theory is developed in the framework of approximate martingale estimating functions, which provide approximations to the score function and estimators that are efficient for high frequency data. For Strang splitting an approximate martingale estimating function of order 3 is obtained. Sometimes useful models with an explicit likelihood function can be found. This enables exact likelihood inference, which works at all sampling frequencies. As an example of this, a class of stochastic differential equation models on the torus is presented, which can be used to analyse time series of angular data. These diffusion processes are ergodic and time-reversible and can be constructed for any pre-specified stationary distribution on the torus. If time permits, applications to biological data will be briefly presented. The lecture is based on joint work with Susanne Ditlevsen, Adeline Samson and Eduardo García-Portugués. Reference: Pilipovic, P., Samson, A. And Ditlevsen, S. (2024): Efficient estimation for ergodic diffusion processes sampled at high frequency. Ann. Statist., 52, 842 - 867.
Further Informations
Dieser Vortrag findet auch via Zoom statt: https://hu-berlin.zoom-x.de/j/65177102181?pwd=nUMtJOkzDx8xyWzPFezeHh0NEIQUv3.1, Meeting-ID 651 7710 2181, Kenncode: 536200
Host
Humboldt-Universität zu Berlin
Universität Potsdam
WIAS Berlin
- Wednesday, 10.06.2026, 14:15 (WIAS-ESH)
- Berliner Oberseminar „Nichtlineare partielle Differentialgleichungen” (Langenbach-Seminar)
Dr. Joachim Rehberg, WIAS Berlin:
A selfcontained mathematical analysis of the Schrödinger--Poisson system
more ... Location
Weierstraß-Institut, Anton-Wilhelm-Amo-Str. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Further Informations
Berliner Oberseminar “Nichtlineare partielle Differentialgleichungen” (Langenbach-Seminar)
Host
Humboldt-Universität zu Berlin
WIAS Berlin
- Thursday, 11.06.2026, 14:00 (WIAS-ESH)
- Seminar Materialmodellierung
Prof. Dr. Dieter Bothe, Technische Universität Darmstadt:
Sharp interface modelling fundamentals for two-phase fluid systems
more ... Location
Weierstraß-Institut, Anton-Wilhelm-Amo-Str. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Abstract
The sharp interface framework enables a thermodynamically consistent description of two-phase fluid systems, representing interfaces as moving hypersurfaces separating bulk phases. Starting from classical balance laws for mass and momentum, the local kinematics of two-phase flows with phase change and interfacial slip is addressed. Since the associated kinematic differential equation may exhibit non-uniqueness, the notion of co-moving sets must first be consolidated in order to establish a two-phase Reynolds transport theorem. On this basis, balance laws and jump conditions for multicomponent two-phase fluid systems are formulated, consistently coupling bulk and interfacial dynamics. Building on the Gibbsian concept of interfaces as autonomous lower-dimensional thermodynamic subsystems, extensions with interfacial mass are introduced, enabling full thermodynamic coupling with the adjacent bulk phases and thereby promoting the interface to an interphase. Finally, extensions to multi-velocity and multi-temperature formulations are outlined.
Host
WIAS Berlin
- Tuesday, 16.06.2026, 10:15 (WIAS-406)
- Seminar Nichtlineare Optimierung und Inverse Probleme
Prof. Dr. Stefan Metzger, Friedrich-Alexander-Universität Erlangen-Nürnberg:
On the numerical treatment of the stochastic Cahn-Hilliard equation with double-obstacle potential
more ... Location
Weierstraß-Institut, Anton-Wilhelm-Amo-Str. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)
Abstract
The Cahn-Hilliard equation is a deterministic model for the description of phase separation processes in metal alloys, which occur if the alloy is rapidly cooled below a critical temperature. This equation can be interpreted as a gradient flow of the Ginzburg-Landau energy functional, which consists of a gradient term and double-well potential favoring phase separation. If the quench is shallow, i.e. the temperature is still close to the critical temperature, the double-well potential can be approximated by a smooth fourth-order polynomial. Yet, in the deep quench limit, i.e. when the temperature is significantly smaller than the critical temperature, a singular double-obstacle potential is the better choice. It is also well-known that in particular the early stages of the separation process are heavily influenced by thermal fluctuations which are not included in the deterministic description. In this talk, we discuss the numerical treatment of the stochastic Cahn-Hilliard equation with double-obstacle potential and conservative noise on a periodic domain. In particular, we propose a fully discrete finite element scheme and present a convergence result. Conceptually, our proof relies on monotonicity arguments and omits the application of Skorokhod's theorem, which allows us to show convergence towards probabilistically strong solutions. We conclude by presenting numerical simulations underlining the practicality of the proposed scheme and the importance of the additional stochastic fluxes.The talk is based on a joint work with Lubomir Banas (Bielefeld University).
Host
WIAS Berlin - Tuesday, 16.06.2026, 15:00 (WIAS-405-406)
- Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics
Jakob Kellermann, WIAS Berlin:
Signature kernel ridge regression
more ... Location
Weierstraß-Institut, Anton-Wilhelm-Amo-Str. 39, 10117 Berlin, 4. Etage, Raum: 405/406
Further Informations
Dieser Vortrag findet auch via Zoom statt: https://wias-berlin-de.zoom-x.de/j/69982487566
Host
WIAS Berlin
- July 6 – 8, 2026 (WIAS-ESH)
- Workshop/Konferenz: Spreading Dynamics in Random Environment
more ... Location
Weierstraß-Institut, Anton-Wilhelm-Amo-Str. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Host
WIAS Berlin
- November 3 – 6, 2026 (WIAS-ESH)
- Workshop/Konferenz: Stochastic processes with reinforcement
more ... Location
Weierstraß-Institut, Anton-Wilhelm-Amo-Str. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal
Host
WIAS Berlin