Dieses Bild zeigt Barth

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

  1. 2018

    1. A. Barth and T. Stüwe, “Weak convergence of Galerkin approximations of stochastic partial  differential equations driven by additive Lévy noise,” Math. Comput. Simulation, vol. 143, pp. 215--225, 2018.
  2. 2017

    1. A. Barth and F. G. Fuchs, “Uncertainty quantification for linear hyperbolic equations with stochastic  process or random field coefficients,” Appl. Numer. Math., vol. 121, pp. 38--51, 2017.
    2. A. Barth and A. Stein, “A study of elliptic partial differential equations with jump diffusion  coefficients,” 2017.
    3. A. Barth, B. Harrach, N. Hyvönen, and L. Mustonen, “Detecting stochastic inclusions in electrical impedance tomography,” Inv. Prob., vol. 33, no. 11, p. 115012, 2017.
  3. 2016

    1. A. Barth and A. Stein, “Approximation and simulation of infinite-dimensional Lévy processes,” 2016.
    2. A. Barth, C. Schwab, and J. Sukys, “Multilevel Monte Carlo simulation of statistical solutions to  the Navier-Stokes equations,” in Monte Carlo and quasi-Monte Carlo methods, vol. 163, Springer, Cham, 2016, pp. 209--227.
    3. A. Barth and I. Kröker, “Finite volume methods for hyperbolic partial differential equations  with spatial noise,” in Springer Proceedings in Mathematics and Statistics, vol. submitted, Springer International Publishing, 2016.
    4. A. Barth and F. G. Fuchs, “Uncertainty quantification for hyperbolic conservation laws with  flux coefficients given by spatiotemporal random fields,” SIAM J. Sci. Comput., vol. 38, no. 4, pp. A2209--A2231, 2016.
    5. A. Barth, S. Moreno-Bromberg, and O. Reichmann, “A Non-stationary Model of Dividend Distribution in a Stochastic Interest-Rate  Setting,” Comp. Economics, vol. 47, no. 3, pp. 447--472, 2016.
    6. K. Carlberg, L. Brencher, B. Haasdonk, and A. Barth, “Data-driven time parallelism via forecasting,” 2016.
  4. 2014

    1. A. Barth and S. Moreno-Bromberg, “Optimal risk and liquidity management with costly refinancing opportunities,” Insurance Math. Econom., vol. 57, pp. 31--45, 2014.
    2. A. Barth and F. E. Benth, “The forward dynamics in energy markets -- infinite-dimensional modelling  and simulation,” Stochastics, vol. 86, no. 6, pp. 932--966, 2014.
  5. 2013

    1. A. Abdulle, A. Barth, and C. Schwab, “Multilevel Monte Carlo methods for stochastic elliptic multiscale  PDEs,” Multiscale Model. Simul., vol. 11, no. 4, pp. 1033--1070, 2013.
    2. A. Barth, A. Lang, and C. Schwab, “Multilevel Monte Carlo method for parabolic stochastic partial  differential equations,” BIT, vol. 53, no. 1, pp. 3--27, 2013.
    3. A. Barth and A. Lang, “L^p and almost sure convergence of a Milstein scheme for stochastic  partial differential equations,” Stochastic Process. Appl., vol. 123, no. 5, pp. 1563--1587, 2013.
  6. 2012

    1. A. Barth and A. Lang, “Simulation of stochastic partial differential equations using finite  element methods,” Stochastics, vol. 84, no. 2–3, pp. 217--231, 2012.
    2. A. Barth and A. Lang, “Milstein approximation for advection-diffusion equations driven by  multiplicative noncontinuous martingale noises,” Appl. Math. Optim., vol. 66, no. 3, pp. 387--413, 2012.
    3. A. Barth and A. Lang, “Multilevel Monte Carlo method with applications to stochastic  partial differential equations,” Int. J. Comput. Math., vol. 89, no. 18, pp. 2479--2498, 2012.
  7. 2011

    1. A. Barth, C. Schwab, and N. Zollinger, “Multi-level Monte Carlo finite element method for elliptic PDEs  with stochastic coefficients,” Numer. Math., vol. 119, no. 1, pp. 123--161, 2011.
    2. A. Barth, F. E. Benth, and J. Potthoff, “Hedging of spatial temperature risk with market-traded futures,” Appl. Math. Finance, vol. 18, no. 2, pp. 93--117, 2011.
  8. 2010

    1. A. Barth, “A finite element method for martingale-driven stochastic partial  differential equations,” Commun. Stoch. Anal., vol. 4, no. 3, pp. 355--375, 2010.
  9. 2009

    1. A. Barth, “Stochastic Partial Differential Equations: Approximations  and Applications,” PhD dissertation, University of Oslo, CMA, 2009.
  10. 2006

    1. A. Barth, “Distribution of the First Rendezvous Time of Two Geometric  Brownian Motions,” Master thesis, University of Mannheim, 2006.

Lehre:
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Master-, Bachelor- and Semestertheses:

  • G. Prestipino: "Numerical methods for parabolic PDEs with time-dependent random-field-coefficients" (Masterthesis)
  • S. Herrmann: "Multilevel Monte Carlo Methods and Wong--Zakai Approximations" (Masterthesis)
  • S. Daas: "Optimal dividend distribution under stochastic refinancing costs" (Masterthesis)
  • B. Sunjic: "Multilevel Monte Carlo methods of Wong-Zakai Approximations" (Masterthesis)
  • L. Brencher: "Time-parallel multilevel Monte Carlo methods" (Masterthesis)
  • T. Cataltepe: "Statistical modeling of the system bounds for position estimation in highly automated driving" (Masterthesis)
  • J. Abendschein: "Density estimation with Multilevel Monte Carlo methods" (Masterthesis)
  • L. Brencher: "Time-parallel reduced-order models via forecasting" (Bachelorthesis)
  • V. Scheffold: "Review on dividend distribution models" (Bachelorthesis)
  • B. Sunjic: "Optimal dividend distribution in bond-financed models" (Bachelorthesis)
  • P. Schroth: "Approximation and Simulation of infinite dimensional Levy-processes" (Bachelorthesis)
  • A. Gross: "Optimal dividend distribution under stochastic refinancing possibilities" (Bachelorthesis)
  • P. Oduro: "First exit-time problems and multilevel Monte Carlo methods" (Bachelorthesis)
  • A. Wörner: "Uncertainty Quantification for electric motors" (Bachelorthesis)
  • L. Eisert: "Simulationen zur gepulsten Laserbestrahlung für die Beseitigung von Weltraumschrott" (Bachelorthesis)
  • C. Michalkowski: "Multilevel Monte Carlo methods to speed up PTRW simulations for advective-dispersive transport through porous media" (Semesterproject)
  • N. Wildt: "Optimized multilevel Monte Carlo methods for Particle--Tracking Random Walk simulations" (Semesterproject)
  • T. Brünette: "Wong--Zakai approximations for first hitting time problems" (Semesterproject)
  • C. Proissl: "Optimal Markov Chain Monte Carlo methods for non-Gaussian random fields" (Semesterproject)
  • M. Schmidgall: "Uncertainty quantification with multi-resolution and multi-wavelet discretisations" (Semesterproject)
  • L. Mauch: "Modeling of groundwater flow with elliptic equations containing discontinuous random coeffcients" (Semesterproject)

09/2006-12/2009

Ph.D. 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

10/2000-12/2005
Master in Mathematics and Computer Sciences at the University of Mannheim, Germany

Graduated with a Diplom in Mathematics
Thesis: Distribution of the first rendezvous time of two geometric Brownian motions
Supervisor: Prof. Dr. Jürgen Potthoff, University of Mannheim, Germany

08/1991-09/2000
University entrance diploma at the Grammar school Ernst-Bloch Ludwigshafen, Germany

09/1987-08/1991
Astrid-Lindgren Primary School in Ludwigshafen, Germany

12/2013
-08/2017

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

09/2006
-12/2009

Ph.D. student in Mathematics at the Center of Mathematics for Applications, University of Oslo, Norway

12/2005
-09/2006

Graduate Assistant at the Chair of Mathematics 5, University of Mannheim, Germany

10/2004
-12/2004

Internship at the Landesbank Baden-Württemberg, Stuttgart, Germany
Overview: Pricing a CDO with Basis correlations

04/2003
-12/2005

Undergraduate Assistant at the Chair of Mathematics 5, University of Mannheim, Germany

11/2001
-04/2003

Undergraduate Assistant at the Center for European Economic Research (ZEW) in Mannheim, Germany

 

At the University of Stuttgart:

HS 2017

Lecture: Linear Structures
Lecture: Special Aspects in Numerical Analysis: Introduction to UQ

FS 2017

Lecture: Advanced Analysis for SimTech 2
Seminar: Monte Carlo Methods

HS 2016

Lecture: Linear Structures
Seminar: M.Sc-Seminar for SimTech

FS 2016

Lecture: Stochastic Processes 2
Seminar: Monte Carlo Methods (SimTech)

HS 2015

Lecture: Probability Theory
Seminar: Monte Carlo Methods

FS 2015

Lecture: Introduction to Stochastic Partial Differential Equations

HS 2014

Lecture: Special Aspects in Numerical Analysis
Seminar: Simulation of Random Fields and Stochastic Processes

FS 2014

Lecture: Stochastic Modeling

An der ETH Zürich:

FS 2013

Lecture: Computational Methods for Quantitative Finance: PDE Methods

HS 2012

Seminar: Numerical Analysis for Stochastic PDEs

FS 2012

Lecture: Numerical Analysis for Stochastic PDEs

HS 2011

Lecture: Numerical Analysis for Stochastic ODEs (Computational Methods for Quantitative Finance: Monte Carlo and Sampling Methods)

Seminar: Numerical Analysis of Stochastic PDEs

FS 2011

Lecture: Numerical Analysis for Stochastic PDEs

HS 2010

Seminar: Stochastic Integration and Numerics

Teaching assistant for Numerical Analysis for Stochastic ODEs (Computational Methods for Quantitative Finance: Monte Carlo and Sampling Methods)

FS 2010

Teaching assistant for Complex Analysis

PhD theses:
A. Stein: Approximations of Stochastic Partial Differential Equations with Lévy-Noise, since April 2016

Master theses:
N. Zollinger: Multi-Level Monte Carlo Finite Element Method for Elliptic Partial Differential Equations with Stochastic Data, 2010
Y. E. Poltera: Multilevel Monte Carlo Finite Difference Method for Statistical Solutions to the Navier-Stokes Equations, 2013
G. Prestipino: Numerical Methods for Parabolic PDEs with Time-dependent Random-field-coeffiffcients, 2015
S. Herrmann: Multilevel Monte Carlo Methods and Wong-Zakai Approximations, 2016
S. Daas: Optimal dividend distribution under stochastic re-financing costs, 2017
B. Sunjic: Multilevel Monte Carlo methods of Wong-Zakai Approximations, 2017
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

Bachelor theses:
V. Mohan: Discontinuous Galerkin methods for hyperbolic stochastic partial differential equations, 2012
L. Brencher: Leveraging spatial and temporal data for time-parallel model reduction, 2015
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
A. Gross: Optimal dividend distribution under stochastic refinancing possibilities, 2017
P. Oduro: First exit-time problems and multilevel Monte Carlo methods, 2017
A. Worner: 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)

Semester projects:
C. Michalkowski: Multilevel Monte Carlo methods for Particle-Tracking Random Walk simulations for advective-dispersive transport through porous media, 2014
N. Wildt: Optimized multilevel Monte Carlo methods for Particle-Tracking Random Walk simulations, 2016
T. Brunette: 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

Stochastic Partial Differential Equations: Approximations and Applications; A. Barth; Doctoral thesis, University of Oslo, 2009
Distribution of the first rendezvous time of two geometric Brownian motions; A. Barth; Diplom thesis, Universität Mannheim, 2006

Doctorate Project from RISC, funded by the MWK: Polynomial Chaos for Lévy fields, 2017-2018
Doctorate Project from the SRC SimTech, funded by the DFG: Elliptic Equations with Lévy field coefficients, 2016-2017
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, 2014-2017

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