Prerecorded Talks

Talks of the GPSD 2021 are organised in 14 sections. During the conference week there will be sessions consisting of

  • invited talks of 20 minutes,

  • live discussions of contributed prerecorded videos (availabe before and during the conference on a separate YouTube channel).

Researchers of all levels are very welcome to participate in the discussions with or without own contributions! If you have never contributed a prerecorded talk to a conference, check out the suggestions collected here.

If you are interested in contributing a prerecorded talk, the procedure is as follows:

  • Register and submit abstract/title for your talk by July 1st. You will have to chose one of the 14 sections listed below.

  • You will be informed by 16th of July if your talk was accepted by the section chairs.

  • Please produce a 10 minute video of your talk, see suggestions here.

  • Upload your video by 27th of August.

  • You can check-out the other talks during the conference week and/or the week before.

  • Discuss your and others research in the live discussions during conference.

Sections

1. Stochastic analysis (Chairs: Max von Renesse, Mathias Beiglböck)

  • Patricia Alonso Ruiz (College Station): Heat semigroup approach to isoperimetric inequalities in Dirichlet spaces

  • Jonas Blessing (Konstanz): Stochastic representations for viscous Hamilton-Jacobi equations

  • Youness Boutaib (Aachen): A short review of rough paths on manifolds

  • Paul Eisenberg (Vienna): Abstract polynomial processes

  • Benjamin Gess (Bielefeld, Leipzig): Large deviations for conservative, stochastic PDE and non-equilibrium fluctuations

  • Alexander Kalinin (Munich): Support characterization for regular path-dependent stochastic Volterra integral equations

  • Francesco Mattesini (Münster, Leipzig): Asymptotics of transportation cost for the occupation measure of fractional Brownian motion

  • Max Nendel (Bielefeld): Wasserstein perturbations of Markovian transition semigroups

  • Dominic Tobias Schickentanz (Darmstadt): Brownian Motion Conditioned to Spend Limited Time Below a Barrier

  • Pietro Siorpaes (London): Pathwise local times and Tanaka–Meyer formulae for càdlàg paths

  • Stefan Tappe (Freiburg): Infinite dimensional affine processes

  • Julian Wendt (Jena): Large ranking games with diffusion control

  • Yue Wu (Oxford): The random periodic solution of a stochastic differential equation with a monotone drift and its numerical approximation

2. Spatial stochastics and random structures (Chairs: Peter Mörters, Matthias Reitzner)

  • Carina Betken (Bochum): Central limit theory for geometric functionals of Poisson cylinder processes

  • Gilles Bonnet (Bochum): Sharp inequalities for the mean distance of random points in convex bodies

  • David Criens (Freiburg): A parabolic Harnack principle for balanced difference equations in random environments

  • Andrej Depperschmidt (Erlangen): Local limit theorem for random walk on oriented percolation

  • Thomas Finn (Bath): Non-equilibrium multi-scale analysis and coexistence in competing first-passage percolation

  • Peter Gracar (Cologne): Characterizing the infinite component of the weight-dependent random graph in 1D

  • Arne Grauer (Cologne): Chemical distance in weight-dependent random connection models

  • Anna Gusakova (Bochum): Limit theorems for random convex chain and random polygone in polygone

  • Nannan Hao (Munich): Graph distances in scale-free percolation

  • Nico Heizmann (Chemnitz): Internal diffusion limited aggregation on the Sierpinski gasket

  • Alexander Hinsen (Berlin): A shape theroem for first passage percolation on the Poisson-Gilbert disk model

  • Christian Hirsch (Groningen): Simplicial percolation

  • Konrad Kolesko (Giessen): Limit theorems for general branching processes

  • Bas Lodewijks (Bath): Fine asymptotics of high degrees in weighted random recursive trees with i.i.d. bounded weights

  • Lukas Lüchtrath (Cologne): Percolation phase transition in weight-dependent random conncection models

  • Kathrin Meier (Bochum): Central limits for generalized descents and inversions in permutations and finite Weyl group elements

  • Peter Nejjar (Bonn): Cutoff Profile of ASEP on a Segment

  • Maximilian Nitzschner (New York): Disconnection for the harmonic crystal with random conductances

  • Moritz Otto (Magdeburg): Limit laws for large kth-nearest neighbor balls

  • Federico Pianoforte (Bern): Exponential approximation of the minimum interpoint distance in Kolmogorov distance

  • Alexis Prévost (Cambridge):  Critical exponents for a percolation model on transient graphs

  • Ghulam Qadir (Heidelberg): Flexible Modeling of Variable Asymmetries in Cross-Covariance Functions for Multivariate Random Fields

  • Marco Seiler (Göttingen): On the contact process in a time evolving edge random environment

  • Quan Shi (Mannheim): Diffusion limits of random walks on integer compositions and their applications

  • Mathias Sonnleitner (Linz): Random sections of p-ellipsoids, optimal recovery and Gelfand numbers of diagonal operators

  • Jan Swart (Prague): Frozen percolation on the Marked Binary Branching Tree

  • Weile Weng (Berlin): Quenched functional CLT for random walks in random environments with bounded cycle representation

  • Johannes Wieditz (Göttingen): Characteristic and necessary minutiae in fingerprints

3. Limit theorems, large deviations and extremes (Chairs: Anja Janssen, Hanna Döring)

  • Osvaldo Angtuncio Hernandez (Duisburg-Essen): On the profile of trees with a given degree sequence

  • Yanjia Bai (Bonn): Refined Large Deviation Principle for Branching Brownian Motion Conditioned to Have a Low Maximum

  • Mátyás Barczy (Szeged): Limit theorems for Bajraktarevic and Cauchy quotient means of independent identically distributed random variables

  • Imma Valentina Curato (Ulm): Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields

  • Carolin Forster (Stuttgart): Non-stationary max-stable models with an application to heavy rainfall data

  • Lorenz Frühwirth (Graz): Large deviation principles for lacunary sums

  • Tabea Glatzel (Dortmund): The speed of random walk on Galton-Watson trees with vanishing conductances

  • Michael Juhos (Granz): The asymptotic volume of intersections of p-ellipsoids

  • Carolin Kleemann (Bochum): Maximum interpoint distance of high-dimensional random vectors

  • Rafal Lochowski (Warsaw): Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions

  • Martin Möhle (Tübingen): A restaurant process with cocktail bar

  • Jan Nagel (Dortmund): Sum rules via large deviations: polynomial potentials and the multi-cut regime

  • Frank Röttger (Geneva): Total positivity in graphical extremes

  • Ecaterina Sava-Huss (Innsbruck): Interpolating between random walk and rotor walk

  • Yuki Ueda (Hokkaido): On rate of convergence towards free extreme value distributions

  • Daniel Willhalm (Groningen): Upper large deviations for power-weighted edge lengths in spatial random networks

  • Xiaochuan Yang (Bath): Component count of random geometric graphs in the intermediate regime

4. Finance, insurance and risk: Modelling (Chairs: Kathrin Glau, Thomas Mikosch)

  • Julia Ackermann (Giessen): Optimal trade execution in a stochastic order book model

  • Domagoj Demeterfi (London): Chebyshev interpolation to accelerate credit exposure calculations

  • Maximilian Diehl (Kaiserslautern): Evolution of a Life Insurer's Balance Sheet and Robust Strategies for Investing and Financing

  • Nilusha Karunathunge Gamage (Kaiserslautern): Equilibrium Pricing Model for Index Insurance

  • Matteo Gambara (Zürich): Consistent recalibration equity models

  • Evgueni Kivman (Berlin): Small impact analysis in stochastically illiquid markets

  • Laura Körber (Berlin): Merton’s optimal investment problem with jump signals

  • Cassandra Milbradt (Berlin): A cross border market model with limited transmission capacities

  • Marek Oheim (Kaiserslautern): Unisex Tariffs in Life Insurance

  • Simon Pojer (Graz): Ruin Probabilities in a Markovian Shot-Noise Environment

  • Francesca Primavera (Vienna): Lévy type signature models

  • Emanuel Rapsch (Berlin): Towards Energy Transition: Designing Incentives for a Game of Change

  • Thorsten Schmidt (Freiburg): No arbitrage in insurance

  • Josef Anton Strini (Graz): Approximation of Gerber-Shiu functions

  • Johannes Wiesel (New York): Entropic Optimal Transport: Convergence of Potentials

  • Linus Wunderlich (London): The deep parametric PDE method for option pricing

  • Shijie Xu (Liverpool): Statistical Consistent Term Structures Are Flat

  • Wei Xu (Berlin): The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics

5. Finance, insurance and risk: Statistics (Chairs: Jeanette Wörner, Johanna Ziegel)

  • Fatlinda Avdullai (Kaiserslautern): Artificial Neural Network and Time Series Approaches to Forecast the Triggering Factor for Private Health Insurance Tarifs

  • Paolo Colusso (Lausanne): Learning Multivariate Financial Data with Tensor Completion and Deep Learning

  • Tobias Fissler (Vienna): Backtesting CoVaR using Multi-Objective Elicitability

  • Julian Sester (Singapore): A deep learning approach to data-driven model-free pricing and to martingale optimal transport

  • Julia Steinmetz (Dortmund): Asymptotic Theory and Bootstrap Inference for Mack's model

6. Stochastic modelling in biology (Chairs: Maite Wilke Berenguer, Martin Möhle)

  • Jad Beyhum (Leuven): A nonparametric instrumental approach to endogeneity in competing risks models

  • Florin Boenkost (Frankfurt): Survival Probabilities of Slightly Supercritical Branching Processes in iid Random Environment

  • Iulia Dahmer (Mainz): Joint fluctuations of the lengths of Beta(2-\alpha,\alpha)-coalescents

  • Timo Enger (Freiburg): A unified framework for limit results in Chemical Reaction Networks on multiple time-scales

  • Nils Hansen (Bochum): Griffiths Representation for Jump Diffusions with Moment Duality to Coordinated Branching-Coalescing Processes

  • Fanni K. Nedényi (Szeged): A cost-effective adaptive algorithm for testing the efficiency of COVID-19 vaccines

  • Jonas Lueg (Göttingen): Wald Space: Information Geometry for Phylogenetic Trees

  • Ibrahim Mbouandi Njiasse (Cottbus): Stochastic Epidemic Models and Extended Kalman Filter Estimates of Non-Observable States

  • Florian Nie (Berlin): The stochastic F-KPP Equation with seed bank and on/off branching coalescing Brownian motion

  • Tobias Paul (Berlin): Modelling interactions of mutation, dormancy and transfer

  • Helmut Pitters (Mannheim): The number of cycles in a random permutation and the number of segregating sites jointly converge to the Brownian sheet

  • Zsófia Talyigás (Bath): Genealogy and spatial distribution of the $N$-particle branching random walk with polynomial tails

  • András Tóbiás (Berlin): Host-virus dynamics in the presence of contact-mediated dormancy

  • Aurélien Velleret (Frankfurt): Asymptotic comparison of clicking ability in the Mueller ratchet

  • Henrik Wiechers (Göttingen): Learning Torus PCA based classification for multiscale RNA backbone structure correction with application to SARS-CoV-2

7. Stochastic modelling in physics and engineering (Chairs: Silke Rolles, Volker Betz)

  • Sebastian Bergmann (Bochum): Gibbs-non-Gibbs transitions in Widom-Rowlinson models on trees

  • Diana Conache (Munich): Variance of voltages in a lattice Coulomb gas

  • Matthew Dickson (Munich): On the Huang-Yang-Luttinger Loop Soup

  • Markus Dietz (Freiberg): On a stochastic arc furnace model

  • Florian Henning (Bochum): Coexistence of localized Gibbs measures and delocalized gradient Gibbs measures on trees

  • Jonas Jalowy (Münster): Fluctuations of the magnetization in the Block Potts Model

  • Stefan Junk (Tsukuba): Number of open paths in oriented percolation as zero temperature limit of directed polymer

  • Yana Kinderknecht (Braunschweig): Feynman-Kac Formulae for generalized time-fractional evolution equations

  • Peter Mühlbacher (Warwick): Rigorous results on efficient sampling from Quantum Heisenberg models

  • Steffen Polzer (Darmstadt): A functional central limit theorem for Polaron path measures

  • Hans-Jörg Starkloff (Freiberg): On solutions of random differential equations in scales of Banach spaces

  • Quirin Vogel (Shanghai): Bose-Einstein condensation and infinite loops

8. Stochastic optimization and operations research (Chairs: Nicole Bäuerle, Hanspeter Schmidli)

  • Florian Aichinger (Linz): Merton's portfolio problem for a class of multivariate affine Volterra models

  • Leonie Violetta Brinker (Cologne): Optimal reinsurance strategies for drawdown control

  • Bernard Effah Nyarko (Cottbus): Stochastic Optimal Control Methods for the Water Management of Irrigation Systems

  • Tamara Göll (Karlsruhe): Nash Equilibria in a Portfolio Optimisation Problem under a Relative Performance Criterion

  • Philipp Guth (Mannheim): One-shot approach for surrogates in PDE-constrained optimization under uncertainty

  • Christian Laudagé (Kaiserslautern): Scalarized utility-based multi-asset risk measures

  • Ricarda Rosemann (Kaiserslautern): Regulation of Emission Trading Systems: A Stochastic Control Model

  • Jörn Sass (Kaiserslautern): Robust Utility Maximization in a Multivariate Financial Market with Stochastic Drift

  • Paul Honore Takam (Cottbus): Stochastic Optimal Control of Thermal Energy Storages

9. Stochastic processes: Theory and statistics (Chairs: Mark Podolskij, Alexander Schnurr)

  • Alexander Brunhuemer (Linz): Simulation of one-dimensional diffusions based on their scale function and speed measure

  • Niklas Dexheimer (Aarhus): Nonparametric invariant density and drift estimation for stochastic damping Hamiltonian systems

  • Nina Dörnemann (Bochum): Linear spectral statistics of sequential sample covariance matrices

  • Sascha Gaudlitz (Berlin): Statistical Inference on the reaction term in semi-linear SPDEs

  • Florian Hildebrandt (Hamburg): Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations

  • Viet Hoang (Ulm): An inverse problem in the context of harmonizable symmetric alpha-stable processes

  • Malon Janssen (Würzburg): Volatility estimation under one-sided errors

  • Laura Jula Vanegas (Göttingen): Analyzing cross-talk between superimposed signals

  • Martin Kilian (Darmstadt): Persistence probabilities of fractional processes

  • Dan Leonte (London): Simulation methods for trawl processes

  • Yuan Li (London): Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes

  • Fabian Mies (Aachen): Regularity of multifractional moving average processes with random Hurst exponent

  • Farid Mohamed (Ulm): Almost periodically stationary processes

  • David Oechsler (Dresden): On q-scale functions of spectrally negative Lévy processes

  • Gregor Pasemann (Berlin): Statistical analysis of discretely sampled semilinear SPDEs: a power variation approach

  • Albert Rapp (Ulm): Long Range Dependence for Stable Random Processes

  • Sebastian Rickelhoff (Siegen): Semimartingales with Killing and Their Fourth Characteristic

  • Dennis Schroers (Oslo): A weak law of large numbers for realised covariation in a Hilbert space setting

  • Bennet Ströh (Ulm): Approximations, asymptotics and inference for continuous-time locally stationary processes

  • Anton Tiepner (Aarhus): Nonparametric estimation of the first order coefficient in convection-diffusion SPDEs from mutiple local measurements

  • Lukas Trottner (Mannheim): Learning to reflect: A unifying approach for data-driven stochastic control strategies

  • Wei Xu (Berlin): A Ray-Knight Theorem for Spectrally Positive Stable Processes

10. Time series (Chairs: Carsten Jentsch, Axel Bücher)

  • Boris Aleksandrov (Hamburg): Novel Goodness-of-Fit Tests for Binomial Count Time Series

  • Carina Beering (Hamburg): A Test of Independence for Locally Stationary Processes Using a Weighted Characteristic Function-based Distance

  • Alexander Braumann (Braunschweig): Simultaneous Inference for Autocovariances based on Autoregressive Sieve Bootstrap

  • Theresa Eckle (Bochum): Testing for isotropy with irregularly spaced spatial data

  • Johannes Heiny (Bochum): Sequential change point detection in high-dimensional time series

  • Philipp Klein (Magdeburg): Moving sum data segmentation for stochastic processes based on invariance

  • Martin Kroll (Bochum): Adaptive spectral density estimation by model selection under local differential privacy

  • Sebastian Kühnert (Kassel): Lagged Covariance and Cross-Covariance Operators of Processes in Cartesian Products of Abstract Hilbert Spaces

  • Sebastian Neblung (Hamburg): Sliding and disjoint blocks estimators for the extremal index

  • Ines Nüßgen (Siegen): Ordinal Pattern Dependence in the Context of Long-Range Dependence

  • Sven Otto (Bonn): Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction

11. Statistical learning and computational statistics (Chairs: Nicole Mücke, Michael Vogt)

  • Artur Bille (Ulm): Spectral clustering of combinatorial fullerene isomers based on their facet graph structure

  • Youness Boutaib (Aachen): Path classification with continuous-time linear stochastic RNNs

  • Alexander Freudenberg (Mannheim): miraculix: Efficient computation of the gBLUP

  • Stephan Huckemann (Göttingen): Clustering Manifold Data Based on Principal Nested (Stratified) Spheres

  • Anastasis Kratsios (Zürich, Basel): Universal Probability Measure-Valued Deep Neural Networks

  • Sophie Langer (Darmstadt): Estimation of a regression function on a manifold by fully connected deep neural networks

  • Joseph Meyer (Heidelberg): Random Planted Forests

  • Nathawut Phandoidaen (Heidelberg): Forecasting time series with neural networks

  • Stefan Richter (Heidelberg): Statistical analysis of Wasserstein GANs with applications to time series forecasting

  • Bernhard Stankewitz (Berlin): From inexact optimization to learning via gradient concentration

  • Mahsa Taheri (Bochum): Statistical Guarantees for the Stationary Points of Shallow and Linear Neural Networks

  • Benjamin Walter (Darmstadt): Analysis of convolutional neural network image classifiers in a hierarchical max-pooling model with additional local pooling

  • George Wynne (London): Application of Kernel Mean Embeddings to Functional Data

12. Nonparametric and asymptotic statistics (Chairs: Ursula Müller, Tatyana Krivobokova)

  • Cathrine Aeckerle-Willems (Mannheim): Nonparametric importance sampling from an information theoretic perspective

  • Sergio Brenner Miguel (Heidelberg): Anistropic spectral cut-off estimation under multiplicative measurement errors

  • Benjamin Eltzner (Göttingen): Testing for Uniqueness of Estimators

  • Felix Gnettner (Magdeburg): Depth-based two sample testing

  • Gerrit Grobler (Potchefstroom): A New Goodness-of-Fit Test for the Rayleigh Distribution Based on Stein's Characterisation

  • Shayan Hundrieser (Göttingen): Limit Distributions for Empirical Circular Optimal Transport

  • Karolina Klockmann (Vienna): Fully data-driven non-parametric estimation of Toeplitz covariance matrices

  • Alexander Kreiß (Leuven): Using Laguerre Polynomials for Semi-Parametric Estimation in Measurement Error Problems with an Application to Epidemics

  • Vitalii Makogin (Ulm): Change-point methods for anomaly detection in fibrous media

  • Dennis Müller (Rostock): Minimax Estimation of the Mode of Functional Data

  • Marilena Müller (Heidelberg): Testing for local alignment of locally stationary Hawkes processes

  • Christoph Reihl (Bayreuth): Confidence bands for the covariance kernel of Banach space valued functional data

  • Christof Schötz (Heidelberg): A Law of Large Numbers for Fréchet Mean Sets

  • Maximilian Steffen (Hamburg): PAC-Bayesian Estimation in High-Dimensional Multi-Index Models with Unknown Active Dimension

  • Do Tran (Göttingen): Fréchet means and geometry

13. Statistical methodology (Chairs: Alexander Meister, Mathias Trabs)

  • Elzanie Bothma (Potchefstroom): A new class of tests for the Weibull distribution using Stein's method in the presence of random right censoring

  • Jonas Brehmer (Heidelberg): Using scoring functions to evaluate point process forecasts

  • Shayan Hundrieser (Göttingen): Testing under Finite Sample Smeariness of Fréchet Means on the Circle

  • Fatima Jammoul (Graz): Consistently recovering the signal from noisy functional data

  • Johannes Krebs (Heidelberg): On approximation theorems for the Euler characteristic with applications to the bootstrap

  • Thomas Kuenzer (Graz): Estimating the conditional distribution in functional regression problems

  • Raoul Müller (Göttingen): Non-Euclidean distance based Levene's test

  • Dmitry Otryakhin (Stockholm): Fast automatic deforestation detection

  • Marius Smuts (Potchefstroom): Distribution-free goodness-of-fit tests for the Pareto distribution based on a characterization

  • Thomas Staudt (Göttingen): Measuring statistical dependency with optimal transport

  • Christian Weiß (Hamburg): Some goodness-of-fit tests for the Poisson distribution with applications in Biodosimetry

14. S(P)DEs: Theory and Numerics (Chairs: Arnulf Jentzen, Thomas Kruse)

  • Alexis Anagnostakis (Nancy): Rate of convergence to the local time of sticky diffusions

  • Sam Baguley (Potsdam): General path integrals and stable SDEs

  • Petru A. Cioica-Licht (Duisburg-Essen): Weighted L_p-Sobolev regularity for SPDEs on domains with corner singularities

  • Lukas Gonon (Munich): Random feature neural networks learn Black-Scholes type PDEs without curse of dimensionality

  • Annalena Mickel (Mannheim): Optimal $L^1$-Approximation of the log-Heston SDE by Euler-Type Methods

  • Stefan Perko (Jena): Approximating stochastic gradient descent with diffusions: error expansions and impact of learning rate schedules

  • Tommaso Rosati (London): Longtime behaviour of the Allen-Cahn equation with generic initial datum

  • Katharina Schuh (Bonn): Convergence of unadjusted Hamiltonian Monte Carlo for mean-field models

  • Markus Tempelmayr (Leipzig): A tree-free approach to regularity structures -- the structure group

  • Willem van Zuijlen (Berlin): Total mass asymptotics of the parabolic Anderson model

  • Simon Weissmann (Heidelberg): Analysis of the ensemble Kalman inversion: from discrete to continuous time

  • Lukas Wessels (Berlin): Peng's Maximum Principle for Stochastic Partial Differential Equations