Prof. David Prömel was successful in applying for admission to the coveted elite program of the Baden-Württemberg Foundation. This year the foundation is awarding a total of 1.8 million euros for elite sponsorship, thereby promoting 14 young scientists from Baden-Württemberg.
In many practical applications of stochastic modeling, one only has access to incomplete or incorrect data sets. Based on such a data set, one would like to “estimate” which stochastic dynamic describes the observed phenomenon. This “estimation” is a not unproblematic process, with which the stochastic filter theory deals. The research project will deal with the stability of the “best” estimator, especially if the observed system is modeled by random jump processes. The robust filter theory that has been developed is then to be applied to current problems in financial mathematics, such as the modeling of price dynamics, the estimation of volatility in financial markets and optimal investing with incomplete information.
Further information on the elite program of the Baden-Württemberg Foundation: https://www.bwstiftung.de/bildung/programme/hochschule/eliteprogramm-fuer-postdocs/