At our department, different aspects of stochastics are represented in the research groups Stochastics and Real Analysis, Statistics, Financial Mathematics, and Computational Stochastics.
Research in Computational Stochastics is focused on computational problems that arise for stochastic processes, in particular, for stochastic (partial) differential equations. This includes the construction and analysis of new algorithms as well as the study of the intrinsic difficulty of the computational problem within the framework of information-based complexity.
The Computational Stochastics Group is part of the newly founded Felix Klein Zentrum für Mathematik.
We have been involved in a number of projects on problems in applied stochastics with well-known industrial partners. Topics include incorporating weather data in sales forecasting and modelling and analysis of pharmaceutical production processes.
The Spring School on Mathematics of Multiscale Problems takes places at the Felix-Klein-Zentrum für Mathematik.
Andreas Neuenkirch has accepted an offer from the University of Mannheim (Chair for Numerical Mathematics).
We have organized a workshop on Computational Stochastics, March 25-30, 2012, in Annweiler am Trifels. The workshop was sponsored by the DFG within the Priority Programme 1324, the Center for Mathematical and Computational Modelling (CM²), and the Felix Klein Zentrum für Mathematik.
A new textbook on Monte Carlo Algorithms has appeared with Springer in spring 2012.