Marie Curie ITN

JENA TEAM

Composition of our team

Hans-Jürgen Engelbert	Professor, Institut of Stochastics, Faculty of Mathematics and Informatics, FSU Jena, Person-in-charge of the Jena team
Ilya Pavljukevich	Professor, Institute of Stochastics, Faculty of Mathematics and Informatics, FSU Jena
Martina Zähle	Professor, Institute of Mathematics, Faculty of Mathematics and Informatics, FSU Jena
Stefan Blei	Assistant Lecturer and Project Manager, Institute of Stochastics, Faculty of Mathematics and Informatics, FSU Jena
Michael Hinz	Assistant Professor, Institute of Mathematics, Faculty of Mathematics and Informatics, FSU Jena
Jochen Wolf	Professor, Department of Mathematics and Technology, University of Applied Sciences Koblenz-Remagen
Uta Freiberg	Assistant Professor, Institute of Stochastics, Faculty of Mathematics, University Siegen

The collective and individual expertise of our team covers the following research areas of our Initial Training Network, namely:

Stochastic differential equations (SDE), backward stochastic differential equations (BSDE), Lévy processes, viability problems, Dirichlet processes; applications to financial Mathematics (H.-J. Engelbert)
Stochastic Differential Equations, Large Deviations, Stochastic Resonance, Stable Lévy processes, Applications to Physics (I. Pavljukevich)
Stochastic partial differential equations (SPDE), stochastic differential equations (SDE), fractal processes and fractional calculus, in particular, fractal Brownian motion and (fractal) Lévy processes, applications to transport in porous media (M. Zähle)
Stochastic differential equations (SDE) with singular drift, exponentials of strong Markov continuous local martingales (S. Blei)
Stochastic partial differential equations (SPDE), Markov jump processes on metric spaces, Dirichlet forms, potential theory, properties of sample paths (M. Hinz)
Stochastic differential equations (SDE) and Dirichlet processes, enlargement of filtrations and applications to financial Mathematics, actuarial mathematics and risk theory, in particular, stochastic models in life insurance and valuation of insurance liabilities in incomplete markets (J. Wolf)
Stable processes, certain classes of (fractal) Lévy processes, approximation of Markov jump processes on fractals, application to transport in porous media (U. Freiberg)

Marie Curie ITN - Team Jena
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Training Programme: Spring School 3/2009; Workshop 3/2009; Workshop 6/2010 “Enlargement of Filtrations”; Spring School “Stochastic Models in Finance and Insurance”
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