Prof. Dr.

Andrea Barth

Head of Group
Institute of Applied Analysis and Numerical Simulation
Research Group for Computational Methods for Uncertainty Quantification

Contact

+49 711 685-60121

Allmandring 5b
70569 Stuttgart
Germany
Room: 01.034

Current and previous lectures can be found here.

Supervision of highly qualified personnel

PhD theses:

  • R. Merkle: Analysis and Simulation of Lévy Random Fields, since April 2019
  • L. Brencher: Analysis of Stochastic Partial Differential Equations and their efficient Simulation, since October 2018
  • A. Stein: Approximations of Stochastic Partial Differential Equations with Lévy-Noise, since April 2016

Master theses:

  • C. Grüner: Novel numerical methods in quantitative finance, 2019
  • F. Altmann: Finite Element Approximations of Random Fields, 2019
  • A. Baransegata: Optimal error rates for multilevel Monte Carlo methods, 2019
  • S. Klumpp: Optimal sampling in multilevel Monte Carlo methods, 2019
  • R. Merkle: Weak convergence of Lévy-driven stochastic partial differential equations, 2019
  • L. Brencher: Time-parallel multilevel Monte Carlo methods, 2018
  • T. Cataltepe: Statistical modeling of the system bounds for position estimation in highly automated driving, 2018 (in cooperation with the DAIMLER AG)
  • J. Abendschein: Density estimation with Multilevel Monte Carlo methods, 2018
  • S. Daas: Optimal dividend distribution under stochastic re-financing costs, 2017
  • B. Sunjic: Multilevel Monte Carlo methods of Wong-Zakai Approximations, 2017
  • S. Herrmann: Multilevel Monte Carlo Methods and Wong-Zakai Approximations, 2016
  • G. Prestipino: Numerical Methods for Parabolic PDEs with Time-dependent Random-field-coeffiffcients, 2015
  • Y. E. Poltera: Multilevel Monte Carlo Finite Difference Method for Statistical Solutions to the Navier-Stokes Equations, 2013
  • N. Zollinger: Multi-Level Monte Carlo Finite Element Method for Elliptic Partial Differential Equations with Stochastic Data, 2010

Bachelor theses:

  • V. Krasniqi: On generalized central limit theorems, 2019
  • A. Gross: Optimal dividend distribution under stochastic refinancing possibilities, 2017
  • P. Oduro: First exit-time problems and multilevel Monte Carlo methods, 2017
  • A. Wörner: Uncertainty Quantification for electric motors, 2017 (in cooperation with the BOSCH)
  • L. Eisert: Simulationen zur gepulsten Laserbestrahlung für die Beseitigung von Weltraumschrott, 2017 (in cooperation with the DLR)
  • V. Scheffold: Review on dividend distribution models, 2016
  • B. Sunjic: Optimal dividend distribution in bond-financed models, 2016
  • P. Schroth: Approximation and Simulation of infinite dimensional Lévy-processes, 2016
  • L. Brencher: Leveraging spatial and temporal data for time-parallel model reduction, 2015
  • V. Mohan: Discontinuous Galerkin methods for hyperbolic stochastic partial differential equations, 2012

Semester projects:

  • P. Horn: Mortar FEM methods for elliptic equations containing discontinuous random coefficients, 2018
  • L. de Vries: Quantifying uncertainty in Richards' equation, 2018
  • T. Brünette: Wong-Zakai approximations for first hitting time problems, 2017
  • C. Proissl: Optimal Markov Chain Monte Carlo methods for non-Gaussian random fields, 2017
  • M. Schmidgall: Uncertainty quantification with multi-resolution and multi-wavelet discretisations, 2017
  • L. Mauch: Modeling of groundwater flow with elliptic equations containing discontinuous random coefficients, 2017
  • N. Wildt: Optimized multilevel Monte Carlo methods for Particle-Tracking Random Walk simulations, 2016
  • C. Michalkowski: Multilevel Monte Carlo methods for Particle-Tracking Random Walk simulations for advective-dispersive transport through porous media, 2014

since 08/2017

W3-Professor for Computational Methods for Uncertainty Quantification at the Excellence Cluster for Simulation Technology, IANS, University of Stuttgart, Germany

12/2013
-08/2017

Juniorprofessor at the Excellence Cluster for Simulation Technology, University of Stuttgart, Germany

01/2010 - 11/2013

Lecturer and postdoctoral researcher at the Seminar for Applied Mathematics, ETH Zürich, Switzerland

09/2006
-12/2009

Ph.D. student in Mathematics at the Center of Mathematics for Applications, University of Oslo, Norway
Thesis: Stochastic Partial Differential Equations: Approximations and Applications
Supervisors: Prof. Dr. Fred Espen Benth, Center of Mathematics for Applications, University of Oslo, Norway
Prof. Dr. Jürgen Potthoff, University of Mannheim, Germany

2019 - 2025

Principal Investigator: ExC 2075 "Data-Integrated Simulation Science"

2019 - 2023

Principal Investigator: SFB/TRR 161 "Quantitative Methods for Visual Computing"

2018 - 2021

Doctorate Project from the SC SimTech (ExC 310 / ExC 2075), funded by the DFG: Simulation of Lévy-type stochastic partial differential equations

2018 - 2019

Post-doctoral Project from RISC, funded by the MWK: Polynomial Chaos for Lévy fields

2016 - 2017

Doctorate Project from the SRC SimTech, funded by the DFG: Elliptic Equations with Lévy field coefficients

2014 - 2017

Doctorate Project from the Juniorprofessorship-Program Baden-Württemberg: New Methods for Weak Approximations of Stochastic Partial Differential Equations with Lévy-Noise

2014 - 2017

Doctorate Project from the SRC SimTech, funded by the DFG: Random field solutions of hyperbolic partial differential equations

  • On random elliptic problems with jump-diffusion coefficients
    Computational and Applied Mathematics Seminar, Chalmers, Gothenburg, Sweden, September 12th, 2018
  • Introduction to (multilevel) Monte Carlo methods
    Zürich Summer School, ETH Zürich, Zürich, Switzerland, August 27th - August 31st, 2018
  • Approximation and Simulation of infinite-dimensional Lévy-SPDEs
    Workshop in honor of Jürgen Potthoff, University of Mannheim, Mannheim, Germany, June 22nd, 2018
  • Approximation and Simulation of infinite-dimensional Lévy-SPDEs
    SPA, Chalmers, Gothenburg, Sweden, June 11th - June 15th, 2018
  • Introduction to Uncertainty Quantification
    EWM, University of Heidelberg, Heidelberg, Germany, May 18th - May 19th, 2018
  • Quantication of Uncertainty via multilevel Monte Carlo Methods
    46th SpeedUp Workshop on "UQ and HPC", University of Bern, Bern, Switzerland, September 1st, 2017
  • Approximations of Stochastic Partial Differential Equations with Lévy noise
    Stochastic (Partial) Differential Equations Day, TU Munich, Munich, Germany, June 26th, 2017
  • Simulation of infinite-dimensional Lévy processes
    NASPDE 2017, JKU Linz, Linz, Austria, June 22nd, 2017
  • Quantification of Uncertainty via multilevel Monte Carlo Methods
    Mathematics Colloquium, Johannes Gutenberg University of Mainz, Mainz, Germany, May 18th, 2017
  • Stochastic Partial Differential Equations and infinite dimensional Lévy fields
    School on Uncertainty Quantification for Hyperbolic Equations, GSSI, L'Aquila, Italy, April 24th - April 28th, 2017
  • Simulating infinite dimensional Lévy fields
    Workshop: Stochastic Differential Equations, Oberwolfach, Germany, February 5th - February 10th, 2017
  • Simulating infinite dimensional Lévy fields
    Mathematics Colloquium, University of Oldenburg, Germany, December 1st, 2016
  • Simulating infinite dimensional Lévy fields
    Nonlinear Stochastic Evolution Equations, TU Berlin, Germany, November 3rd - November 5th, 2016
  • Multilevel Monte Carlo methods
    Mini-course at the international Symposium on Analysis and Applications, Metepec Atlixco, Puebla, Mexico, September 7th - September 10th, 2016
  • Optimizing a multilevel Monte Carlo method
    SIAM UQ, EPF Lausanne, Switzerland, April 5th - April 8th, 2016
  • Multilevel Monte Carlo methods for stochastic multiscale problems
    DMV and GAMM Annual Meeting, University of Braunschweig, Germany, March 7th - March 11th, 2016
  • A structural model of an insurance  firm
    German Probability and Statistics Days, University Bochum, Germany, March 1st - March 4th, 2016
  • Approximations of stochastic partial differential equations and applications in forward markets; Winterschool on Uncertainty Quantification, wesNum, Bern, Switzerland, February 18th - February 21st, 2016
  • Introduction to (multilevel) Monte Carlo methods
    Minicourse at the Winterschool on Uncertainty Quantification, wesNum, Bern, Switzerland, February 18th - February 21st, 2016
  • Multilevel Monte Carlo methods for stochastic multiscale problems
    Mathematical Colloquium, University of Ulm, Germany, January 22nd, 2016
  • Multilevel Monte Carlo methods for stochastic multiscale problems
    Seminar in Numerical Analysis, University of Basel, Switzerland, October 9th, 2015
  • Multilevel Monte Carlo approximation of statistical solutions to the Navier-Stokes equations
    MCM2015, JKU, Linz, Austria, July 6th - July 10th, 2015
  • Multilevel Monte Carlo approximation of statistical solutions to the Navier-Stokes equations
    Advances in Numerical Methods for SPDEs, Institut Mittag-Leffler, Stockholm, Sweden, June 16th - June 18th, 2015
  • Galerkin approximations for stochastic partial differential equations
    Probability Seminar, University Duisburg-Essen, Germany, June 9th, 2015
  • Approximations of first order stochastic partial differential equations and applications in forward markets
    Seminar in Numerical Analysis, University Tübingen, Germany, February 12th, 2015
  • Introduction to multilevel Monte Carlo methods for stochastic partial differential equations
    Mathematisches Seminar, RWTH Aachen, Germany, February 9th, 2015
  • Approximations of stochastic partial differential equations and applications in forward markets
    Research Seminar on Stochastic Analysis and Financial Markets, HU Berlin, Germany, December 4th, 2014
  • Stochastic Partial Differential Equations: An Introduction
    Mathematisches Seminar, University of Vienna, Austria, October 14th, 2014
  • Modeling with Stochastic Partial Differential Equations
    NASPDE 2014, EPF Lausanne, Switzerland, September 9th - September 10th, 2014
  • Hyperbolic Stochastic Partial Differential Equations and Energy Markets
    RDSN 2014, University of Mannheim, Germany, June 25th - June 27th, 2014
  • Multilevel Monte Carlo methods for elliptic equations
    MCQMC 2014, KU Leuven, Belgium, April 6th - April 11th, 2014
  • Multilevel Monte Carlo methods and Stochastic Partial Differential Equations
    School of Business Informatics and Mathematics, University of Mannheim, Germany, December 9th, 2013
  • Multilevel Monte Carlo methods
    SimTech JP Colloquium, University Stuttgart, Germany, June 24th, 2013
  • Multilevel Monte Carlo methods
    Institute for Mathematics, TU Darmstadt, Germany, June 17th, 2013
  • Multilevel Monte Carlo methods
    Institute for Mathematics, University Augsburg, Germany, May 27th, 2013
  • A multilevel Monte Carlo method for stochastic, elliptic partial differential equations
    IWR, University Heidelberg, Germany, December 10th, 2012
  • A multilevel Monte Carlo method for stochastic, elliptic partial differential equations
    Institute for Numerical Simulation, University Bonn, Germany, November 13th, 2012
  • MLMC-FE method for elliptic PDEs with stochastic coefficients
    24th Biennial Conference on Numerical Analysis, Glasgow, Great Britain, June 28th – July 1st, 2011
  • Modeling forward dynamics in energy markets with hyperbolic SPDEs
    Research seminar on hyperbolic PDEs, Zurich, Switzerland, October 25th, 2010
  • MLMC-FE method for elliptic PDEs with stochastic coefficients
    SCAIM (Seminar for Computational, Applied and Industrial Mathematics) Vancouver, BC, Canada, June 22nd, 2010
  • Forward dynamics in energy markets - An infinite dimensional approach
    Weather derivatives and Risk, Berlin, Germany, January 27th - January 28th, 2010
  • Finite Element Method for Stochastic Partial Differential Equations and Applications
    Oberseminar Finanz- und Versicherungsmathematik LMU - TUM, Munich, Germany, November 12th, 2009
  • Modeling of Energy Forwards: An infinite dimensional approach
    International Conference on Stochastic Analysis and Applications, Hammamet, Tunesia, October 12th - October 17th, 2009
  • Finite Element method for SPDEs driven by Lévy noise
    Seminar for Applied Mathematics, ETH Zürich, Zürich, Switzerland, August 13th, 2009
  • FEM for martingale-driven SPDE's
    33rd Conference on Stochastic Processes and Their Applications, Berlin, Germany, July 27th - July 31st, 2009
  • FEM for Hilbert-space-valued SDE's driven by Lévy noise
    Probability and Statistics Seminar, WSU, Detroit, USA, May 13th, 2009
  • FEM for Hilbert-space-valued SDE's driven by Lévy noise
    Seminario de Probabilidad, Departamento de Matemáticas, UNAM, Mexico City, Mexico, April 14th, 2009
  • FEM for Hilbert-space-valued SDE's driven by Lévy noise
    Probability Seminar, CIMAT, Guanajuato, Mexico, April 15th - April 16th, 2009
  • Hedging of spatial temperature risk with market-traded futures
    5th World Congress of the Bachelier Finance Society, London, Great Britain, July 15th - July 19th, 2008
  • Simulation of Random Fields
    Workshop on Recent Developments in Financial Mathematics and Stochastic Calculus, Ankara, Turkey, April 23rd – April 26th, 2008
  • Spatial Temperature Risk: Hedging and Simulation
    Innovations in Mathematical Finance, Loen, Norway, June 25th - July 1st, 2007
  • Spatial Temperature Risk: Hedging and Simulation
    Mathematics and the Environment, Banff, Canada, May 8th - May 13th, 2007
  • Hedging temperature risk with synthetic temperature futures
    SAMSA 2006, Gaborone, Botswana, November 27th - December 1st, 2006
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