Programme leaders: L.F.M. de Haan, M.S. Keane
Research in this programme is carried out in a very broad
range of topics, covering most of the aspects of the
mathematical discipline of probability theory and its
applications to other mathematical areas, other sciences,
and industry and technology. The basic themes of the
research comprise among others extreme value theory and
applications, optimal stopping, infinitely divisible
distributions, stochastic recurrence, stochastic geometry,
percolation and particle systems, modelling and simulation
of geological structures, branching processes, queueing
theory and applications, diffusions, ergodic theory,
stochastic dynamical systems, fractal geometry and coding,
noncommutative probability theory, stochastic
inequalities, and simulation.
Probability theory and its applications develops
mathematically precise models for quantitatively
describing uncertain situations, and applies these models
in order to arrive at optimal or nearly optimal decision
procedures. Research carried out in this domain in The
Netherlands, and in particular in the Stieltjes Institute,
is broad-ranging. Inside of the Institute, there are
common interests and collaborations with the programmes
Statistics, Stochastic Operations Research, Topology and
Dynamical Systems and Number Theory.