SthochNum welcomed three visiting students in January 2023

1 min read · Tue, Jan 31 2023

In the last two weeks of January 2023, the StochNum Research Group welcomed three visiting students from RWTH Aachen University (Germany): Jonas Nießen, Leon Peter Wilkosz, and Veli Ünlü.

Jonas Nießen is working on extending the numerical smoothing techniques developed in the context of stochastic differential equations to random PDEs, in combination with adaptive sparse grids, multilevel Monte Carlo, and Quasi-Monte Carlo methods.

Leon Wilkosz works with different efficient sampling schemes of stochastic particle systems to approximate stochastic mean field limits.

Veli Ünlü is researching the calibration of jump-diffusion models related to electricity prices as an extension of the works done for diffusion SDEs for energy power. The objective is to use the calibrated model as an input to solve optimal control problems for energy markets.

During their time at KAUST, they participated in the research group's activities with other students, postdoctoral fellows, researchers, scientists, and Prof. Tempone, exchanging information and collaborating in their research, as well as getting to know KAUST's structure.