Probability and Stochastic Analysis - University of Bonn

S2F2- Bachelor Seminar / S4F2- Master Seminar: Extreme Values of Random Processes

Prof. Anton Bovier (lecturer) and Dr. Constanza Rojas-Molina (assistant)

Place and time: Tuesdays 14-16, Room 0.003, in addition some Tuesdays 16-18 in Room N0.007, see the talk schedule below.


The study of extreme events is of paramount importance for many aspects of our daily lives. It is a matter of survival to know how likely are floods near a river, or avalanches in a mountain region, or inundations caused by heavy rain. All these are examples of highly unpredictable phenomena, and in order to be prepared, we would like to look at past observations recorded throughout history and extrapolate information about the future. Faced to the lack of a clear pattern in which these events occur, we are forced to model them as a stochastic process, and hence, our predictions will be in nature statistical: we will make assertions on the probability of certain events. But note that the events we will be concerned with are rather particular: they will be rare events, and relate to the worst things that may happen, in other words, to extremes. As statisticians, we will be asked to answer questions like this: What is the probability that for the next 500 years the level of this river will not exceed a certain mark? To answer such questions, an entire branch of statistics, called extreme value statistics, was developed, and this is the subject of this course

Material: We will follow the notes by Prof. A. Bovier.

Additional Literature :  M.R. Leadbetter, G. Lindgren, and H. RootzĂ©n. Extremes and related properties of random sequences and processes. Springer Series in Statistics. Springer-Verlag, New York, 1983.

For questions contact bovier*at* or crojasm*at*

Talk schedule:

Date and subject. All talks are in the slot 14-16 in Room 0.003. In sessions marked with *, an extra talk is from 16-18 in Room N0.007.

10.10.2017 : Chapter 1 (1)

*17.10.2017: Chapter 1 (2)

Chapter 1 (3) (Room N0.007)

24.10.2017: Chapter 2 (1)

07.11.2017: Chapter 2 (2)

14.11.2017: Chapter 2 (3)

*21.11.2017: Chapter 3 (1)

Chapter 3 (2) (Room N0.007)

28.11.2017: Chapter 4 (1)

05.12.2017: Chapter 4 (2)

12.12.2017: Chapter 5 (1)

*19.12.2017: Chapter 5 (2)

Chapter 5 (3) (Room N0.007)

09.01.2018: Chapter 5 (4)

16.01.2018: Chapter 6 (1)

*23.01.2018: Chapter 6 (2)

Chapter 6 (3) (Room N0.007)

30.01.2018: Chapter 6 (4)