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Dr. T Sickenberger


Dr. Thorsten Sickenberger
Dipl. Math.

I studied Mathematics with Economics at the Technische Universität Darmstadt. My Diploma (≈ Master) thesis was about weak approximations of SDEs and supervised by Prof. Dr. Klaus Ritter. Thereafter I moved to Humboldt-University of Berlin and did a Ph.D. in Applied Mathematics supervised by Prof. Dr. Werner Römisch. We developed new numerical methods for strong approximation of SDAEs for application in circuit simulation. In 2008 I worked as a postdoc in the Group of Prof. Dr. Caren Tischendorf in Cologne before I moved to Edinburgh, where I had a two years postdoctoral position in the Group of Dr. Evelyn Buckwar at Heriot-Watt University. We have investigated stability issues of SDEs and their numerical algorithms.
After a most pleasant and inspiring time in Berlin, Cologne, and Edinburgh, I joined d-fine GmbH as Consultant.

See my professional network: Linkedin/de, Linkedin/en, xing
and my old homepages at HU Berlin, Cologne University and HWU Edinburgh

Further links: DMV, ST-Net, SDE-Net and AI
    E-Mailinfo (at) thorsten - sickenberger . de
Research
Interests
Computational stochastics: Numerical analysis and simulation of stochastic equations
• Numerical methods for stochastic differential equations (SDE) and stochastic differential algebraic equations (SDAE)
• Stochastic linear multi-step methods and Theta-Milstein methods
• Mean-square stability analysis and small noise analysis
• Local error estimation and step-size control
• Applications in: Circuit simulation, production networks, and computational finance
Projects • 2009 - 2010: postdoctoral Research Associate in the Department of Mathematics, Heriot-Watt University Edinburgh, Scotland:
  Investigation of stability issues for SDEs and for numerical algorithms for SDEs,
  with Dr. Evelyn Buckwar, completed, supported by The Leverhulme Trust
• 2008: Research Associate in the Mathematical Institute, University of Cologne, Germany:
  ICESTARS - Integrated Circuit/EM Simulation and design Technologies for Advances Radio Systems-on-chip:
  EM Analysis and Coupled EM-Circuit Analysis,
  with Prof. Dr. Caren Tischendorf, dropped out (project is completed),
  supported by EU within the 7th Research Framework Programme (FP7): Information and Communication Technologies (ICT)
• 2005 - 2007: Ph.D. student and Research Associate at the Department of Mathematics, Humboldt University of Berlin, Germany:
  Multiscale systems in microelectronics and optoelectronics: Efficient transient noise analysis in circuit simulation,
  with Prof. Dr. Werner Römisch, completed,
  supported by BMBF Mathprogram "Math & Industry" (project 03RONAVN)
Teaching • Spring 2010: F19NB2 - Numerical Analysis B (Approximation and Interpolation, Direct and Iterative Algorithms for Linear Systems, Eigenvalue Problems)
  Login to VISION, where learning materials can be found.
Theses Efficient Transient Noise Analysis in Circuit Simulation
  Dissertation (≈ PhD thesis), Humboldt Universität zu Berlin, under supervision of Prof. Dr. Werner Römisch,
  submitted Januar 08, 2008; defended April 25, 2008; published July 2008 by Logos Verlag Berlin, Germany,
  ISBN 978-3-8325-1954-4, 160 pages. [order or download]

Sparse Grid Methods for Weak Approximation of SDEs [in german]
  Diploma thesis (≈ Master thesis), Technische Universität Darmstadt, under supervision of Prof. Dr. Klaus Ritter,
  submitted and reviewed Sept 2004; unpublished

Papers Evelyn Buckwar and Thorsten Sickenberger:
  A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems, [prepress, preprint HWM10-21]
  In Applied Numerical Mathematics (APNUM) vol. 62(7) (2012), pp. 842-859. Software (MATLAB® files) to perform that stability analysis can be downloaded here.

Simone Göttlich, Stephan Martin and Thorsten Sickenberger:
  Production Networks with Stochastic Machinery Default, [prepress]
  In M. Günther, A. Bartel, M. Brunk, S. Schöps, M. Striebel (Eds.), Progress in Industrial Mathematics at ECMI 2010 (Wuppertal), pp. 247 - 254. Springer, Berlin, 2012.
  ISBN: 978-3-642-25099-6, [springer.de, amazon.de, amazon.com]

Evelyn Buckwar and Thorsten Sickenberger:
  A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods, [preprint HWM09-13, arxiv]
  In Mathematics and Computers in Simulation vol. 81(6) (2011), pp. 1110-1127.

Simone Göttlich, Stephan Martin and Thorsten Sickenberger:
  Time-continuous production networks with random breakdowns, [prepress, preprint HWM10-9]
  In Networks and Heterogeneous Media (NHM) vol. 6(4) (2011), pp. 695 - 714.

Simone Göttlich und Thorsten Sickenberger:
  Modelling the Storage Capacity of 2d Pixel Mosaics,
  In Juergen Maasz und John O’Donoghue (Eds.), Real-World Problems for Secondary School Mathematics Students, pp. 99-112. Springer, Berlin, 2011.
  ISBN: 978-9-460-91541-3 [springer.de, amazon.de, amazon.com]

Werner Römisch, Thorsten Sickenberger, and Renate Winkler:
  Simultaneous step-size and path control for efficient transient noise analysis, [prepress]
  In J. Roos, L.R. Costa (Eds.), Scientific Computing in Electrical Engineering SCEE 2008 (Helsinki), pp. 167-174. Springer, Berlin, 2010.
  ISBN: 978-3-642-12293-4, [springer.de, amazon.de, amazon.com]

• Thorsten Sickenberger, Ewa Weinmüller and Renate Winkler:
  Local error estimates for moderately smooth problems: Part II - SDEs and SDAEs with small noise, [preprint 07-07],
  In BIT Numerical Mathematics vol. 49(1) (2009), pp. 217 - 245. Springer, Berlin, 2009.

Christoph Ableitinger, Simone Göttlich und Thorsten Sickenberger:
  Can paper talk? A modeling problem on the topic "Storage capacity of 2D pixel mosaics" [in german],
  In Materialien für einen realitätsbezogenen Mathematikunterricht, ISTRON-Schriftenreihe Band 14, S. 113 - 123. Verlag Franzbecker, Hildesheim, Berlin, 2009.

Christoph Ableitinger, Simone Göttlich und Thorsten Sickenberger:
  A modeling task on the topic "Optimal capacity utilization of airplanes" [in german],
  In Materialien für einen realitätsbezogenen Mathematikunterricht, ISTRON-Schriftenreihe Band 14, S. 83 - 94. Verlag Franzbecker, Hildesheim, Berlin, 2009.

• Thorsten Sickenberger and Renate Winkler:
  Stochastic oscillations in circuit simulation, [prepress]
  Proceedings on Applied Mathematics and Mechanics (PAMM), ICIAM07 and GAMM Annual Meeting, Zürich 2007, vol. 7(1) (2008), pp. 4050023-4050024.

• Georg Denk, Werner Römisch, Thorsten Sickenberger, and Renate Winkler:
  Efficient transient noise analysis in circuit simulation, [prepress]
  In W. Jäger and H.-J. Krebs (Eds.): Mathematics - Key Technology for the Future, pp. 39-49. Springer, Berlin, 2008.
  ISBN: 978-3-540-77202-6, [springer.de, amazon.de, amazon.com]

• Thorsten Sickenberger and Renate Winkler:
  Adaptive Methods for Transient Noise Analysis, [prepress]
  In G. Ciuprina, D. Ioan (Eds.), Scientific Computing in Electrical Engineering SCEE 2006, pp. 403-410. Springer, Berlin, 2007.
  ISBN: 978-3-540-71979-3, [springer.de, amazon.de, amazon.com]

• Thorsten Sickenberger, Ewa Weinmüller and Renate Winkler:
  Local error estimates for moderately smooth problems: Part I - ODEs and DAEs, [prepress, preprint 06-01],
  In BIT Numerical Mathematics vol. 47(1) (2007), pp. 157 - 187. Springer, Berlin, 2007.

• Thorsten Sickenberger:
  Mean-square convergence of stochastic multi-step methods with variable step-size, [prepress, preprint 05-20]
  In J. Comput. Appl. Math., vol. 212(2) (2008), pp. 300 - 319.

• Prof. Dr. Werner Römisch, Thorsten Sickenberger und Dr. Renate Winkler:
  Mathematik - Grips für Chips: Effiziente transiente Rauschanalyse in der Schaltungssimulation [in german],
  in Der Schlüssel zur Hochtechnologie - Mathematik für Innovationen in Industrie und Diensteistungen, BMBF, 2007.

• Thorsten Sickenberger and Renate Winkler:
  Efficient transient noise analysis in circuit simulation, [prepress]
  Proceedings on Applied Mathematics and Mechanics (PAMM), GAMM Annual Meeting 2006 - Berlin, vol. 6(1) (2006), pp. 55-58.

Posters • Poster on Asymptotic MS-Stability Analysis for Linear Systems of SDEs,
  presented at the Workshop on Stochastic Partial Differential Equations: Approximation, Asymptotics and Computation,
  28.06 - 02.07.2010, Isaac Newton Institute for Mathematical Sciences, Cambridge, UK.

• Poster on Time-continuous Production Networks with Random Breakdowns,
  presented at the Workshop on Simulation of Stochastic Networks,
  21. - 23.06.2010, Isaac Newton Institute for Mathematical Sciences, Cambridge, UK.

• Poster on Efficient Transient Noise Analysis in Circuit Simulation,
  presented at the Workshop on SPDEs: Computations and Applications,
  29.09. - 01.10.2008, ICMS, Edinburgh, UK.

Events16th European Conference on Mathematics for Industry (ECMI 2010),
  including a mini symposium on "Stochastic phenomena in modern applications: Modelling and numerical simulation" (part a, part b)
  Organizers: Simone Göttlich and Thorsten Sickenberger
  26. - 30.07.2010, Wuppertal, Germany.

Workshop on Stochastic Partial Differential Equations: Approximation, Asymptotics and Computation,
  part of the program "Stochastic Partial Differential Equations (SPDEs)",
  28.06 - 02.07.2010, Isaac Newton Institute for Mathematical Sciences, Cambridge, UK.

Workshops on Simulation and Statistics of Stochastic Networks,
  part of the program "Stochastic Processes in Communication Sciences",
  21. - 25.06.2010, Isaac Newton Institute for Mathematical Sciences, Cambridge, UK.

Modelling week with sixth formers, on the initiative of Felix Klein Zentrum für Mathematik
  Topic: Ash cloud modelling.
  13. - 18.06.2010, DJH Kaub am Rhein, Germany.

edikt2010 Symposium - Using computing in your research,
  28.04.2010, e-Science Institute, Edinburgh, UK.

Joint BMC/BAMC Meeting of 2010, including the Young Researchers' Event (Organizers: Nikola Popovic & TS),
  06. - 09.04.2010, Maxwell Institute, Edinburgh, UK.

33rd Conference on Stochastic Processes and Their Applications (SPA) 2009,
  27. - 31.07.2009, TU Berlin, Germany.

Modelling week with sixth formers, on the initiative of Felix Klein Zentrum für Mathematik
  Coached Topic: Pitching and Putting - How to make the right golf club choice.
  28.06. - 03.07.2009, Pfalzakademie, Lambrecht/Pfalz, Germany.

23rd Biennial Numerical Analysis conference 2009,
  23. - 26.06.2009, University of Strathclyde, Glasgow, Scotland, UK.

Int. Conf. on SCIentific Computation And Differential Equations (SCICADE) 2009,
  25. - 29.05.2009, Beijing Friendship Hotel, Beijing, China.

Workshop on Numerical Analysis of Stochastic PDEs (NASPDE09),
  11. - 12.05.2009, ICMS, Edinburgh, UK.

British Applied Mathematics Colloquium 2009 (BAMC09),
  07. - 09.04.2009, University of Nottingham, Nottingham, UK.

Workshop on Adaptivity, robustness and complexity of multiscale algorithms,
  30.03. - 03.04.2009, ICMS, Edinburgh, UK.

SIAM Conference on Computational Science and Engineering (CSE09)
  01. - 06.03.2009, Miami Hilton Hotel, Miami, Florida, USA.

Workshop in Edinburgh: Molecular Dynamics, Thermostats and Convergence to Equilibrium
  12. - 14.11.2008, ICMS, Edinburgh, UK.

SCEE 2008,
  28.09. - 03.10.2008, Helsinki University of Technology, Espoo, Finland.

Workshop on SPDEs: Computations and Applications,
  29.09. - 01.10.2008, ICMS, Edinburgh, UK.

17th Annual Meeting of Scottish Computational Mathematics Symposium (SCMS),
  10.09.2008, Heriot-Watt University Edinburgh, UK.

Modelling week with sixth formers, see Mathematik erleben [in german], Fraunhofer magazine, page 10.
  Coached Topic: The new world of pixel mosaics - Optimisation of QR Codes.
  01.06. - 06.06.2008, Pfalzakademie, Lambrecht/Pfalz, Germany.

NASPDE 2008,
  16.05. - 17.05.2008, ETH, Zurich, Switzerland.

ICESTARS Kick-Off Meeting,
  21.02. - 22.02.2008, NXP, High Tech Campus, Eindhoven, the Netherland

Talk Arbeitsgemeinschaft Numerische Simulation,
  20.02.2008, University of Cologne, Math. Institute.

Int. Workshop on Stochastic Evolutionary Problems: Theory, Modelling and Numerics,
  31.10. - 02.11.2007, University of Chester, Chester, UK.

Visit and TechTalk @ Qimonda,
  17. - 21.09.2007, Qimonda AG, Munich, Germany.

6th International Congress on Industrial and Applied Mathematics (ICIAM) 2007,
  16. - 20.07.2007, ETH, Zurich, Switzerland.

Int. Conf. on SCIentific Computation And Differential Equations (SCICADE) 2007,
  9. - 13.07.2007, Le Palais du Grand Large, Saint-Malo, France.

Gemeinsame Jahrestagung DMV und GDM 2007,
  25. - 30.03.2007, Institut für Mathematik, Humboldt-Universität zu Berlin.

Int. Conf. SEMIC 2007 and 1st CoMSON demonstrator platform course,
  05. - 07.02.2007 & 07.02.2007 - 09.02.2007, Bergische Univeristät Wuppertal.

BMBF Statusseminar "Mathematik für Innovationen in Industrie und Dienstleistungen",
  13. - 14.12.2006, Forschungszentrum Jülich, Jülich.

Int. Workshop on "Numerics and Theory for Stochastic Evolution Equations",
  22. - 24.11.2006, Bielefeld University, Department of Mathematics, Bielefeld.

6th International Conference of "Scientific Computing in Electrical Engineering" (SCEE) 2006,
  17. - 22.09.2006, Sinaia, Romania.

Int. Workshop on Securitization of Weather and Climate Risk,
  31.08. - 02.09.2006, Humboldt-Universität zu Berlin.

Annual Meeting of "Gesellschaft für Angewandte Mathematik und Mechanik e.V. (GAMM) 2006",
  27. - 31.03.2006, Technische Universität Berlin.

Berliner Workshop 2006 "Numerische Simulation von Multiskalenmodellen für HF-Schaltungen im Zeitbereich",
  16. - 17.01.2006, Technische Universität Berlin.

Int. Workshop on "Computational Stochastic Differential Equations",
  19. - 24.09.2005, Bedlewo, Poland.

7. Workshop über Deskriptorsysteme,
  15. - 18.03.2005, Liborianum Paderborn.

Wuppertaler Workshop 2004 "Multiskalensysteme in Mikro- und Optoelektronik",
  25. - 26.11.2004, Bergische Universität Wuppertal.