Approximation methods for stochastic processes and directional statistics

 

Group leader and domains

  • Prof. R. Gatto

The activity of the group covers two areas. The first concerns approximation methods relying on asymptotic theory, stochastic simulation and numerical analysis, that apply to problems from stochastic processes (in particular to the study of first passge times) and to problems from mathematical statistics, relating to the evaluation of small inferential probabilities. We work in the fields of asymptotic analysis, large deviations theory and Monte Carlo importance sampling. The second area is the statistical analysis and the stochastic modelling of directional data, viz. of data in form of planar or spatial directions. Some major applications concern actuarial risk theory and medicine.

Three recent publications or preprints

  • Aguilar, J., Gatto, R. (2026), "Bridge change-of-measure for propagator estimation of diffusions", preprint, Institute of Mathematical Statistics and Actuarial Science, University of Bern. (DOI link)
  • Waller, R., Gatto, R. (2026), "Laplace transform inversion techniques for the ruin probability of the compound Poisson process perturbed by diffusion", Reseach Square. (DOI link)
  • Gatto, R. (2026), "Saddlepoint approximation to the distribution of the absorption time of the diffusion under resetting and reflection", preprint to appear in Methodology and Computing in Applied Probability, Research Square. (DOI link)

   Updated 21.10.26 - For complete up to date list see Publications list

Current group member

  • Raphael Waller

Local cooperation

  • PD D. Sanchez-Taltavull (Bern University Hospital)

External cooperation

  • Dr. Javier Aguilar (Abdus Salam International Centre for Theoretical Physics, Trieste)
  • Dr. Juan Magalan (Technical University Dortmund, Dortmund),
  • Prof. S. R. Jammalamadaka (University of California, Santa Barbara)
  • Prof. A. SenGupta (Indian Statistical Institute, Kolkata)
  • Dr. Laetitia Colombani (University of Lyon 1).

Former group members

  • Benjamin Baumgartner
  • Dr. Juan Antonio Magalang
  • Dr. Michael Mayer
  • Dr. Michael Mosimann
  • Chantal Peeters
  • Samuel Pfyffer
  • Dr. François-Xavier de Rossi
  • Dr. Sara Salvador
  • Dr. Riccardo Turin
  • Chantal Peeters