Dr. Larisa Yaroslavtseva
Contact
(on leave, currently at ETHZ)
Room: 210 IM
Phone: +49 851 509 3114
E-mail: larisa.yaroslavtseva@uni-passau.de
Academic History
09/2017 - present
Habilitation scholarship of the Bavarian Gender Equality Grant, University of Passau
04/2014 - 08/2017
Research assistant, University of Passau, Faculty of Computer Science and Mathematics, working group on stochastics and its applications of Prof. T. Müller-Gronbach
01/2009 - 03/2014
Postdoc within the DFG Priority Program 1324, title of project: Constructive Quantization and Multilevel Algorithms for Quadrature of SDEs, Principal investigator: Prof. T. Müller-Gronbach, University of Passau, Faculty of Computer Science and Mathematics
09/2008
PhD in Mathematics, title of thesis: Non-classical error bounds in the central limit theorem, Supervisor: Prof. V. Ulyanov
10/2007 - 01/2008
DAAD research scholar, Otto-von-Guericke University Magdeburg, Faculty of Mathematics, Working group on probability of Prof. G. Christoph
04/2007
Research scholar, University of Bielefeld, Faculty of Mathematics, Working group on statistics of Prof. F. Götze
10/2005 - 12/2008
PhD student, Moscow State University, Faculty of Computational Mathematics and Cybernetics
01/2005 - 02/2005
DAAD Euler scholar, Otto-von-Guericke University Magdeburg, Faculty of Mathematics, Working group on probability of Prof. G. Christoph
06/2005
Diploma of Mathematics, title of thesis: Non-classical limit theorems, Supervisor: Prof. V. Ulyanov
09/2000 - 06/2005
Study of Mathematics, Moscow State University, Faculty of Computational Mathematics and Cybernetics
Research Areas
- Numerical methods for stochastic differential equations
- Monte-Carlo algorithms
- Complexity of continuous problems
- Central limit theorem, asymptotic expansions
Publications
Müller-Gronbach, T., Yaroslavtseva, L., A Note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives. Journal of Mathematical Analysis and Applications, 467 (2), (2018), 1013-1031, arXiv:1707.08818.
L. Yaroslavtseva, On non-polynomial lower error bounds for adaptive strong approximation of SDEs, Journal of Complexity42 (2017), 1-18.
T. Müller-Gronbach, L. Yaroslavtseva, On sub-polynomial error bounds for quadrature of SDEs with bounded smooth coefficients, Stochastic Analysis and Applications 35 (2017), 423-451.
A. Jentzen, T. Müller-Gronbach, L. Yaroslavtseva, On stochastic differential equations with arbitrary slow convergence rates for strong approximation, Communications in Mathematical Sciences14 (2016), 1477-1500.
T. Müller-Gronbach, L. Yaroslavtseva, Deterministic quadrature formulas for SDEs based on simplified weak Ito-Taylor steps, Foundations of Computational Mathematics16 (2016), 1325-1366.
T. Müller-Gronbach, K. Ritter, L. Yaroslavtseva, On the complexity of computing quadrature formulas for marginal distributions of SDEs, Journal of Complexity31 (2015),110-145.
M. Altmayer, S. Dereich, S. Li, T. Müller-Gronbach, A. Neuenkirch,
K. Ritter, L. Yaroslavtseva, Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations. In: Extraction of Quantifiable Information from Complex Systems, Lecture Notes in Computational Science and Engineering, Springer International Publishing (2014), 109-132.
T. Müller-Gronbach, K. Ritter, L. Yaroslavtseva, A derandomization of the Euler scheme for scalar stochastic differential equations, Journal of Complexity28 (2012), 139-153.
L. Yaroslavtseva, Nonclassical error bounds for asymptotic expansions in the central limit theorem, Theory Probab. Appl. (in Russian) 53 (2009), 365-367.
L. Yaroslavtseva, Nonclassical bound of the rate of convergence in the multidimensional central limit theorem, Mosc. Univ. Comput. Math. Cybern. 2 (2006), 24-30.
Awards
- Information-Based Complexity Young Researcher Award 2017
- Journal of Complexity Best Paper Award 2015 for the article:
T. Müller-Gronbach, K. Ritter, L.Yaroslavtseva, On the complexity of computing quadrature formulas for marginal distributions of SDEs, Journal of Complexity, 31 (2015), 110-145.
Conference and Seminar Talks
2018
MCQMC 2018, 13th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, July 1-6, Rennes, France (invited talk).
Austrian Stochastics Days, September 13-14, 2018, Wien, Austria (plenary talk).
2017
Probability Seminar of the Faculty of Mathematics of the University of Duisburg-Essen, December 12, Essen, Germany (seminartalk).
Oberwolfach Mini-Workshop, Stochastic Differential Equations: Regularity and Numerical Analysis in Finite
and Infinite Dimensions, February 6-10, Oberwolfach, Germany (invited talk).
FoCM'17, Foundations of Computational Mathematics, July 10-19, Barcelona, Spain (semi-plenary talk)
2016
GPSD Bochum, 12th German Probability and Statistics Days, March 1-4, Bochum, Germany (contributed talk).
MCQMC 2016, 12th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, August 14-19, Stanford, USA (invited talk).
2015
Information-based Complexity, April 26 - May 2, Bedlewo, Poland (invited talk).
MCM 2015, 10th IMACS Seminar on Monte Carlo Methods, July 6-10, Linz, Austria (invited talk).
Dagstuhl Seminar, Algorithms and Complexity for Continuous Problems, September 20-25, Schloß Dagstuhl, Germany (invited talk).
Zürich Colloquium in Applied and Computational Mathematics, ETH Zürich, December 9, Zürich, Switzerland (seminar talk).
2014
GPSD Ulm, 11th German Probability and Statistics Days, March 4-7, Ulm, Germany (contributed talk).
MCQMC 2014, 11th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, April 6-11, KU Leuven, Belgium (invited talk).
NMA 2014, 8th International Conference on Numerical Methods and Applications, August 20-24, Borovets, Bulgaria (invited talk).
ICERM Workshop, Information-Based Complexity and Stochastic Computation, September 15-19, Providence, USA (invited talk).
FoCM'14, Foundations of Computational Mathematics, December 11-20, Montevideo, Uruguay (invited talk).
2013
MCM 2013, 9th IMACS Seminar on Monte Carlo Methods, July 15-19, Annecy, France (invited talk).
Dirichlet Forms and Applications, German-Japanese Meeting on Stochastic Analysis, September 9-13, Leipzig, Germany (invited talk).
SciCADE 2013, International Conference on Scientific Computation and Differential Equations, September 16-20, Valladolid, Spain (contributed talk).
2012
Dagstuhl Seminar, Algorithms and Complexity for Continuous Problems, September 23-28, Schloß Dagstuhl, Germany (invited talk).
MCQMC 2012, 10th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, February 13-17, Sydney, Australia (invited talk).
2011
NIM11, Workshop Rough Paths and Numerical Integration Methods, September 21-23, Marburg, Germany (invited talk).
FoCM'11, Foundations of Computational Mathematics, July 4-14, Budapest, Hungary (invited talk).
2010
MCQMC 2010, 9th International Conference on Monte Carlo and Quasi-Monte Carlo Methods, August 15-20, Warsaw, Poland (invited talk).
Organization of Conferences
01.07.-06.07.2018
Special Session Numerical approximation of SDEs under non-standard assumptions, MCQMC 2018, 13th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Rennes, France. Coorganizer: Mario Hefter, University of Kaiserslautern.
http://mcqmc2018.inria.fr/
05.02.-11.02.2017
Oberwolfach Mini-Workshop Stochastic differential Equations: Regularity and Numerical Analysis in Finite and Infinite Dimentions.
http://www.mfo.de/www/schedule/2017/mini
Organizers
Martin Hutzenthaler, Universitity of Duisburg
Annika Lang, Chalmers University of Technology
Lukasz Szpruch, University of Edinburgh
Larisa Yaroslavtseva, University of Passau
Topics
Regularity of S(P)DEs with non-standard coefficients
Numerical methods for S(P)DEs with non-standard coefficients
Lower error bounds
18.07. - 22.07.2016
7th European Congress of Mathematics Mini-Symposium Numerical methods for SDEs.
Organizers
Raphael Kruse, Technical University of Berlin
Larisa Yaroslavtseva, University of Passau
Topics
Numerical methods for SDEs with non-standard coefficients
Construction and analysis of new algorithms
Complexity issues and lower bounds
20.09. - 25.09.2015
Dagstuhl Seminar Complexity for Continuous Problems.
Organizers
Aicke Hinrichs, Johannes Kepler University Linz
Joseph F. Traub, Columbia University
Henryk Wozniakowski, Columbia University
Larisa Yaroslavtseva, University of Passau
Topics
Compressed Sensing
Learning Theory
Partial Differential Equations with Random Coefficients
Multilevel Algorithms
Computational Stochastic Processes
Tractability of Multivariate Problems
Teaching
WS 17/18
5998V Numerical methods for stochastic partial differential equations II
SS 17
5993V Numerical methods for stochastic partial differential equations
WS 16/17
5370V Einführung in die Stochastik
SS 16
5819S Stochastic differential equations: path properties and approximation
WS 15/16
5370PUE_II Plenarübung zur Einführung in die Stochastik
5370UE Präsentationsübung zur Einführung in die Stochastik
5871 Stochastische Analysis
SS 15
5816V Stochastische Differentialgleichungen
5818V Stochastische Analysis
WS 14/15
5370UE Einführung in die Stochastik
SS 14
5812UE Stochastische Simulation
WS 12/13
5370UE Einführung in die Stochastik
SS 12
5812UE Stochastische Simulation
SS 11
5819S Methoden der Varianzreduktion
WS 10/11
5370UE Einführung in die Stochastik
SS 10
5819S Random Walks
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