Computational methods for stochastic models and directional statistics

Selected publications

  1. Aguilar, J., Gatto, R. (2024), "A unified perspective on sampling algorithms for rare trajectories of discrete Markov processes", Physical Review E. [arXiv]
  2. Gatto, R. (2023), "Stationary jump and diffusion processes for planar directions obtained by wrapping", Markov Processes and Related Fields, 29, 403-433. [Polymat Publishing Company, Moscow, Russia]
  3. Gatto, R. (2020), "The stability of the probability of ruin", Stochastic Models, 36, 112-133. [DOI:10.1080/15326349.2019.1695135]
  4. Gatto, R. (2017), "Saddlepoint approximations to the distribution of the total distance of the multivariate isotropic and von Mises-Fisher random walks", Mathematical Methods of Statistics, 26, 20-36. [DOI:10.3103/S1066530717010021]
  5. Gatto, R., Jammalamadaka, S. R. (2015), "On two-sample tests for circular data based on spacing-frequencies", Geometry Driven Statistics, in honor of Kanti Mardia, editors Kent and Dryden, Wiley and Sons, Part two, Chapter 6, 129-145. [ISBN:978-1-118-86657-3]

Group leader: Prof. Dr. Riccardo Gatto

The activity of the group covers two areas. The first concerns computational methods relying on asymptotic theory, stochastic simulation or numerical analysis, that apply to problems from stochastic processes (in particular to the study of first passge times) and from mathematical statistics (in particular to the evaluation of small inferential probabilities). This is mainly concerned with the theory of large deviations and the simulation of rare events. The second area is the statistical analysis and the stochastic modelling of directional data, viz. data in in form of planar or spatial directions. Some major applications concern actuarial risk theory, condensed matter and medicine.

The group has a close local cooperation with the Bern University Hospital, with PD Dr. D. Sanchez-Taltavull. External collaborators include Distinguished Professor S. R. Jammalamadaka (Statistics and Applied Probability, University of California, Santa Barbara), Prof. A. SenGupta (Indian Statistical Institute, Kolkata), Dr. Javier Aguilar Sánchez (Institute for Cross-Disciplinary Physics and Complex Systems, Palma de Mallorca), Dr. Laetitia Colombani (Ecole Polytechnique, Paris) and Prof. D. Fouskakis (National Technical University, Athens).

Group members

Former members

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