Joscha Diehl


I am a professor (W1) of Stochastic Analysis at the University of Greifswald.

Email: first name . last name at gmail . com


Master thesis Currently, I am offering, together with Dr. Malter Gerhold, a Master thesis in random matrix theory and neural networks. Moreover, if you are generally interested in doing a Master thesis in the area of algebra, machine learning or statistics, please send me an email!
Activities Each Friday, at 14:30h, I co-organize an online seminar on Algebra, Combinatorics and Perspectives in Mathematical Sciences. Each Wednesday, at 17:00h, I co-organize an online reading group on operads. Please send me an email if you are interested in any of them. Events Geometry of curves in time series and shape analysis, August 11 - 14, 2020 Publications -> on google scholar A quadratic identity in the shuffle algebra and a new proof for de Bruijn's formula with L. Colmenarejo and M.-S. Sorea arXiv:2003.01574, 2020. Areas of areas generate the shuffle algebra with T. Lyons, R. Preiß and J. Reizenstein arXiv:2002.02338, 2020. Time warping invariants of multidimensional time series with K. Ebrahimi-Fard and N. Tapia Acta Applicandae Mathematicae, 2020. The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence with H. Boedihardjo, M. Mezzarobba and H. Ni arXiv:1905.13034, 2019. The parabolic Anderson model on Riemann surfaces with A. Dahlqvist and B. Driver Probability Theory and Related Fields, 2019. Invariants of multidimensional time series based on their iterated-integral signature with J. Reizenstein Acta Applicandae Mathematicae, 2018. Backward stochastic differential equations with Young drift with J. Zhang Probability, Uncertainty and Quantitative Risk, 2017. The Kardar-Parisi-Zhang equation as scaling limit of weakly asymmetric interacting Brownian motions with M. Gubinelli and N. Perkowski Communications in Mathematical Physics, 2017. Stochastic partial differential equations: a rough paths view on weak solutions via Feyman-Kac with P. Friz and W. Stannat Annales de la Faculté des Sciences de Toulouse, 2017. Stochastic control with rough paths with P. Friz and P. Gassiat, Applied Mathematics & Optimization, 2016. Pathwise stability of likelihood estimators for diffusions via rough paths with P. Friz and H. Mai The Annals of Applied Probability, 2016. The inverse problem for rough controlled differential equations with I. Bailleul SIAM Journal on Control and Optimization, 2015. Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited with P. Friz and H. Oberhauser Springer Proceedings in Mathematics & Statistics, 2014. A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough PDEs with H. Oberhauser and S. Riedel Stochastic Processes and their Applications, 2014. Robustness in stochastic filtering and maximum likelihood estimation for SDEs with P. Friz, H. Mai, H. Oberhauser, R. Riedel and W. Stannat Extraction of Quantifiable Information from Complex Systems, Springer, 2014. Robust Filtering: Correlated Noise and Multidimensional Observation with D. Crisan, P. Friz and H. Oberhauser Annals of Applied Probability, 2013. Backward stochastic differential equations with rough drivers with P. Friz Annals of Probability, 2012.

Code https://github.com/diehlj