Harald Oberhauser

Associate Professor at the Mathematical Institute

Harold is interested in developing new mathematics that helps to understand, model and make inference about systems that evolve under the influence of randomness and uncertainty. Much of his recent research focuses around developing recent ideas and tools from stochastic process theory in the context of statistical learning, and vice-versa, using ideas from statistical learning to think about questions that arise in the theory of stochastic processes. This covers a wide range of applications such as time series, stochastic differential equations, or text to name a few.

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Working Paper

Diehl, J., Oberhauser, H. and Riedel, S. (2014). A joint levy for rough paths and BM and applications.
Oberhauser, H. and Bayer, C. (2014). From robustness to splitting up methods.
Bayer, C. and Oberhauser, H. (2015). The splitting method for SPDEs from robustness to applications in financial engineering, optimal control and nonlinear filtering.
Gassiat, P., Oberhauser, H. and Reis, G. (2014). Root's barrier, viscosity solutions of obstacle problems and reflected FBSDE.
Oberhauser, H. (2014). The functional Ito formula under a family of non-dominated measures.

Published Research

Friz, P., Diehl, J. and Oberhauser, H. (2014). Regularity theory for rough differential equations and parabolic comparison revisited. Forthcoming. TBC. TBC.
Oberhauser, H. and Bayer, C. (2014). The splitting methods for SPDES. Springer Book. TBC. TBC.
Gassiat, P., Mijatovic, A. and Oberhauser, H. (2013). An integral equation for Root's barrier and the generation of Brownian increments. Annals of Applied Probability. TBC. TBC.
Diehl, J., Oberhauser, H. and Riedel, S. (2014). A Levy-area between Brownian motion and rough paths with applications to robust non-linear filtering and RPDEs. Stochastic Processes and their Applications. 125 (1). 161-181.
Oberhauser, H. and Dos Reis, G. (2013). Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs. Forthcoming. TBC. TBC.
Diehl, J., Oberhauser, H. and Riedel, S. (2015). A Levy-area between Brownian motion and rough paths with applications to robust non-linear filtering and rough partial de . Stochastic Processes and their Applications. 125 (1). 161-181.
Diehl, J., Friz, P.K. and Oberhauser, H. (2014). Parabolic comparison revisited and applications. In: Crisan, D. Hambly, B. and Zariphopoulou, T. Stochastic Analysis and Applications 2014. London: Springer. 203-238.
Lyons, T. Ni, H. and Oberhauser, H. (2014). A feature set for streams and a demonstration on high-frequency financial tick data. Proceedings of the 2014 International Conference on Big Data Science and Computing. New York, NY, USA: ACM. Article 5.
Boedihardjo, H. and Geng, X. (2015). Simple piecewise geodesic interpolation of simple and Jordan curves with applications. Constructive Approximation. 42 (1). 161-180.