Seminar: Stochastic Geometry and its Applications
Seminar Supervisor
Prof. Dr. Evgeny Spodarev
Seminar Advisor
Dr. Marco Oesting
Date and Place
June 29, 9.00-12.00 and 14.00-17.00, Place: TBA
July 6, 8.30-10.00 and 14.00-17.00, Place: TBA
Prerequisites
The level of difficulty in this seminar is varying between the different topics. The audience is at least supposed to be familiar with basic probability. There are a few talks that require the lecture Stochastics II.
Intended Audience
Bachelor and Master Students majoring in any mathematical course of studies.
Content
Extreme Value Theory: Extreme Value Theory deals with stochastic models for rare, "extreme" events. Its theoretical basis is formed by limit theorems for maxima of i.i.d. random variables and for exceedances over high thresholds, respectively. These limit results allow for the assessment of the probability of events beyond previous observations. Applications can be found in numerous fields such as finance, (re-)insurance, meteorology, hydrology or materials science.
Registration
To register for the seminar, please send an e-mail to marco.oesting(at)uni-ulm.de before March 30, 2018. (Extended deadline: April 20)
Criteria to pass the seminar
Each student is supposed to give a talk and to attend the seminar on a regular basis. Those who give a (good) talk and attend the seminar regularly will pass the seminar. Talks will be held in German or in English.
Schedule
June 29:
Morning Session (Helmholtzstr. 22, Room 1.42):
9.00 - 10.30 The Fisher-Tippett Theorem
10.30 - 12.00 The Max-Domain The Max-Domain of Attraction of Fréchet and Weibull Distributions
Afternoon Session (Helmholtzstr. 22, Room E.04):
14.00-15.30 The Max-Domain of Attraction of the Gumbel Distribution
15.30-17.00 The Pickands-Balkema-de Haan Theorem
July 6:
Morning Session (Helmholtzstr. 22, Room 1.42):
8.30-10.00 The Mean Excess Function and the Pareto Distribution
Afternoon Session (Helmholtzstr. 22, Room E.04):
14.00-15.30 Maxima of Stationary Sequences
15.30-17.00 Max-Infinitely Divisible Distributions and the Exponent Measure
Literature:
1.) Embrechts, P., Klüppelberg, C. & Mikosch, T. (1997). Modelling Extremal Events: for
Insurance and Finance. Springer.
2.) Resnick, S.I. (1987). Extreme Values, Regular Variation and Point Processes. Springer.
Contact
Seminar Advisor
Dr. Marco Oesting
Helmholtzstraße 18, room E.00
Office hours: by appointment
Phone: +49 (0)731/50-23533
Mail: marco.oesting(at)uni-ulm.de
News
There will be a organizational meeting on Monday, 23rd of April, 14:15 in HeHo 22, Room E.04.