Dr. Larisa Yaroslavtseva

Room: 210 IM
Phone: +49 851 509 3114
E-mail: larisa.yaroslavtseva@uni-passau.de

04/2021 - 09/2021 Substitute Professorship (W3) in Mathematical Data Science, University of Passau, Faculty of Computer Science and Mathematics.

10/2020 - 03/2021 Habilitation fellow of the Bavarian Gender Equality Grant. 

10/2019 - 09/2020 Substitute Professorship (W2) in Stochastics, University of Ulm, Faculty of Mathematics and Economics.

04/2019 - 09/2019 Substitute Professorship (W2) in Applied Stochastics, University of Ulm, Faculty of Mathematics and Economics.

01/2019 - 03/2019 Habilitation fellow of the Bavarian Gender Equality Grant. 

09/2018 - 12/2018 Lecturer, ETH Zurich, Department of Mathematics, Seminar for Applied Mathematics, Working group of Prof. A. Jentzen.

02/2018 - 07/2018 Visiting fellow, ETH Zurich, Department of Mathematics, Seminar for Applied Mathematics, Working group of Prof. A. Jentzen.

09/2017 - 08/2018 Habilitation fellow of the Bavarian Gender Equality Grant.

11/2016 - present  Habilitand, University of Passau, Faculty of Computer Science and Mathematics.

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, Otto-von-Guericke University Magdeburg, Faculty of Mathematics and Moscow State University, Faculty of Computational Mathematics and Cybernetics. Title of thesis: Nonclassical 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 in Mathematics, Moscow State University, Faculty of Computational Mathematics and Cybernetics. Title of thesis: Nonclassical limit theorems. Supervisor: Prof. V. Ulyanov.

09/2000 - 06/2005 Study of Mathematics (Diploma), Moscow State University, Faculty of Computational Mathematics and Cybernetics.

• Numerical methods for stochastic differential equations
• Stochastic analysis
• Monte-Carlo algorithms
• Complexity of continuous problems
• Central limit theorem, asymptotic expansions

• 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.

Associate Editor for the Journal of Complexity (JoC) (starting from October 2020).

1. L. Yaroslavtseva, An adaptive method of order 1 for SDEs with discontinuous drift coefficient. See arXiv: 2102.13155.
    
2. T. Müller-Gronbach, L. Yaroslavtseva, Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise, submitted. See arXiv:2010.00915.
    
3. A. Jentzen, B. Kuckuck, T. Müller-Gronbach, L. Yaroslavtseva, Counterexamples to local Lipschitz and local Hölder continuity with respect to the initial values for additive noise driven SDEs with smooth drift coefficient functions with at most polynomially growing derivatives, submitted. See arXiv:2001.03472.
    
4. A. Jentzen,  B. Kuckuck, T. Müller-Gronbach, L. Yaroslavtseva, On the strong regularity of degenerate additive noise driven stochastic differential equations with respect to their initial values. To appear in:  J. Math. Anal. Appl.
    
5. T. Müller-Gronbach, L. Yaroslavtseva, A strong order 3/4 method for SDEs with discontinuous drift coefficient. To appear in: IMA Journal of Numerical Analysis. See arXiv:2001.03472.
    
6. T. Müller-Gronbach, L. Yaroslavtseva, On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient, Annales de l’Institut Henri Poincaré (B) Probability and Statistics 56 (2020), 1162–1178.
    
7. T. Müller-Gronbach, L. Yaroslavtseva, A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives, J. Math. Anal. Appl. 467 (2018), 1013–1031.
   
   
8. L. Yaroslavtseva, On non-polynomial lower error bounds for adaptive strong approximation of SDEs, Journal of Complexity  42 (2017), 1-18.
    
9. 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.
    
10. A. Jentzen, T. Müller-Gronbach, L. Yaroslavtseva, On stochastic differential equations with arbitrary slow convergence rates for strong approximation, Communications in Mathematical Sciences  14 (2016), 1477-1500.
     
11. T. Müller-Gronbach, L. Yaroslavtseva, Deterministic quadrature formulas for SDEs based on simplified weak Ito-Taylor steps, Foundations of Computational Mathematics  16 (2016), 1325-1366.
     
12. 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.
     
13. 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.
     
14. T. Müller-Gronbach, K. Ritter, L. Yaroslavtseva, A derandomization of the Euler scheme for scalar stochastic differential equations, Journal of Complexity  28 (2012), 139-153.
     
15. L. Yaroslavtseva, Nonclassical error bounds for asymptotic expansions in the central limit theorem, Theory Probab. Appl. (in Russian)  53 (2009), 365-367.
     
16. L. Yaroslavtseva, Nonclassical bound of the rate of convergence in the multidimensional central limit theorem, Mosc. Univ. Comput. Math. Cybern.  2 (2006), 24-30.

2020

Faculty of Mathematics and Physics of the University of Stuttgart, February 4, Stuttgart, Germany.

Faculty of Mathematics of the University of Vienna, June 18, Vienna, Austria.

MCQMC 2020, 14th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, August 10-14, Oxford, United Kingdom.

2019

Brown Bag Seminar of the Institute for Statistics and Mathematics of the Vienna University of Economics and Business, March 27, Vienna, Austria.

Dagstuhl Seminar, Algorithms and Complexity for Continuous Problems, August 19-23, Schloss Dagstuhl, Germany.

2018

Faculty of Natural Sciences II of the Martin Luther University of Halle-Wittenberg, May 22, Halle, Germany.

MCQMC 2018, 13th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, July 1-6, Rennes, France.  

Austrian Stochastics Days, September 13-14, 2018, Wien, Austria (plenary talk).

Mathematical Colloquium of the Faculty of Mathematics and Economics of the University of Ulm, December 14, Ulm, Germany.

2017

Probability Seminar of the Faculty of Mathematics of the University of Duisburg-Essen, December 12, Essen, Germany.

Oberwolfach Mini-Workshop,  Stochastic Differential Equations: Regularity and Numerical Analysis in Finite and Infinite Dimensions, February 6-10, Oberwolfach, Germany.

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.

MCQMC 2016, 12th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in ScientificComputing, August 14-19, Stanford, USA.

2015

Information-based Complexity, April 26 - May 2, Bedlewo, Poland.

MCM 2015, 10th IMACS Seminar on Monte Carlo Methods, July 6-10, Linz, Austria.

Dagstuhl Seminar, Algorithms and Complexity for Continuous Problems, September 20-25, Schloß Dagstuhl, Germany.

Zürich Colloquium in Applied and Computational Mathematics, ETH Zürich, December 9, Zürich, Switzerland.

2014 

GPSD Ulm, 11th German Probability and Statistics Days, March 4-7, Ulm, Germany.

MCQMC 2014, 11th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, April 6-11, KU Leuven, Belgium.

NMA 2014, 8th International Conference on Numerical Methods and Applications, August 20-24, Borovets, Bulgaria.

ICERM Workshop, Information-Based Complexity and Stochastic Computation, September 15-19, Providence, USA.

FoCM'14, Foundations of Computational Mathematics, December 11-20, Montevideo, Uruguay.

2013

MCM 2013, 9th IMACS Seminar on Monte Carlo Methods, July 15-19, Annecy, France.

Dirichlet Forms and Applications, German-Japanese Meeting on Stochastic Analysis, September 9-13, Leipzig, Germany.

SciCADE 2013, International Conference on Scientific Computation and Differential Equations, September 16-20, Valladolid, Spain.

2012

Dagstuhl Seminar, Algorithms and Complexity for Continuous Problems, September 23-28, Schloß Dagstuhl, Germany.

MCQMC 2012, 10th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, February 13-17, Sydney, Australia.

2011

NIM11, Workshop Rough Paths and Numerical Integration Methods, September 21-23, Marburg, Germany.

FoCM'11, Foundations of Computational Mathematics, July 4-14, Budapest, Hungary.

2010

MCQMC 2010, 9th International Conference on Monte Carlo and Quasi-Monte Carlo Methods, August 15-20, Warsaw, Poland.

SS 21

5812UE Stochastische Simulation/Stochastic Simulation
5812V Stochastische Simulation/Stochastic Simulation
5814UE Wahrscheinlichkeitstheorie
5814V Wahrscheinlichkeitstheorie

SS 20

Monte Carlo Methods (Lecture, in English) 4 SWS

Applied Stochastics I (Lecture, in German) 2 SWS

University of Ulm

WS 19/20                                   

Stochastics for Economists (Lecture, in German) 4 SWS

Applied Stochastics II (Lecture, in German) 2 SWS

University of Ulm 

SS 19                                     

Numerical methods for SDEs (Lecture, in English) 4 SWS

Stochastic Analysis (Lecture, in English) 2 SWS

University of Ulm

WS 18/19

Numerical methods for SDEs

ETH Zurich (Lecture, in English, jointly with Prof. A. Jentzen) 3 SWS

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 

25.09. - 01.10.2022   

Stefan Banach International Mathematical Center Workshop Numerical analysis and applications of SDEs, Bedlewo, Poland.
https://www.impan.pl/en/activities/banach- center/conferences/20-numerical

Organizers:

Mario Hefter, University of Kaiserslautern
Pawel Przybylowicz, AGH University of Science and Technology
Michaela Szölgyenyi, University of Klagenfurt
Larisa Yaroslavtseva, University of Passau

16.08. - 20.08.2020

Virtual MCM 2021 Conference, Special Session Stochastic computation and complexity.

https://www.uni-mannheim.de/mcm-2021/

Organizers:

Stefan Heinrich, University of Kaiserslautern
Thomas Müller-Gronbach, University of Passau
Larisa Yaroslavtseva, University of Passau

10.08. - 14.08.2020

Virtual MCQMC 2020 Conference, Special Session Stochastic computation and complexity.

mcqmc20.web.ox.ac.uk

Organizers:

Stefan Heinrich, University of Kaiserslautern
Thomas Müller-Gronbach, University of Passau
Larisa Yaroslavtseva, University of Ulm

08.07. - 12.07.2019             

MCM 2019 Conference, Special Session Stochastic computation and complexity, Sydney, Australia.

http://www.mcm2019.unsw.edu.au/index.html/

Organizers:

Stefan Heinrich, University of Kaiserslautern
Thomas Müller-Gronbach, University of Passau
Larisa Yaroslavtseva, University of Ulm

01.07. - 06.07.2018 

MCQMC 2018 Conference, Special Session Numerical approximation of SDEs under non-standard assumptions, Rennes, France.

http://mcqmc2018.inria.fr/

Organizers:

Mario Hefter, University of Kaiserslautern
Larisa Yaroslavtseva, ETH Zurich

05.02. - 11.02.2017             

Oberwolfach Mini-Workshop Stochastic Differential Equations: Regularity and Numerical Analysis in Finite and Infinite Dimensions, Oberwolfach, Germany.

http://www.mfo.de/www/schedule/2017/mini

Organizers:

Martin Hutzenthaler, University of Duisburg-Essen
Annika Lang, Chalmers University of Technology
Lukasz Szpruch, University of Edinburgh
Larisa Yaroslavtseva, University of Passau

18.07. - 22.07.2016             

7th European Congress of Mathematics, Mini-Symposium Numerical methods for SDEs, Berlin, Germany.

http://www.7ecm.de/home.html

Organizers:

Raphael Kruse, Technical University of Berlin
Larisa Yaroslavtseva, University of Passau

20.09. - 25.09.2015             

Dagstuhl Seminar Algorithms and Complexity for Continuous Problems, Schloss Dagstuhl, Germany.

http://www.dagstuhl.de/15391

Organizers:

Aicke Hinrichs, Johannes Kepler University Linz
Joseph F.Traub, Columbia University
Henryk Wozniakowski, Columbia University
Larisa Yaroslavtseva, University of Passau