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Research group: Mathematical Stochastics

The research group in probability and stochastics works on problems in the areas of high-dimensional probability theory, stochastic analysis, information-based complexity, and asymptotic geometric analysis in a broad sense. This includes, among others,

Stochastic simulation
(Quasi-)Monte Carlo simulation
Quantitative financial mathematics
Tractability of high-dimensional numerical integration and approximation problems
Numerical methods for stochastic differential equations
Concentration of measure phenomena
Dispersion of high-dimensional point sets
Limit theorems for high-dimensional random geometric quantities
Singular values of structured random matrices
Geometry of random convex bodies
S-numbers of operators
Volume and volumetric quantities related to unit balls in Banach spacse

The methods and techniques in our research come from a wide range of areas such as combinatorics, convex and discrete geometry, differential geometry, functional analysis, (classical) probability theory, potential theory, and statistical mechanics.

Our research is supported by the Austrian Science Fund (FWF) through the projects
►F5508-N26: „Adapting QMC algorithms to the simulation problem“
Part of the Spezialforschungsbereich F55: "Quasi-Monte Carlo methods and Applications" (http://www.sfb-qmc.jku.at/)
Years: 2014 - 2022
►P32405: Asymptotic Geometric Analysis and Applications
Years: 2019 - 2021


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