Stochastic Analysis and Applications

OMI is pleased to announce it is hosting a 5 day conference at the University of Oxford on Stochastic Analysis and Applications. The conference will mark the 60th birthday of Professor Terry Lyons, FRS, FRSE, Wallis Professor of Mathematics, University of Oxford.

Stochastic Analysis is the branch of mathematics that deals of the analysis of stochastic dynamical systems. It has emerged as a core area of late 20th century of mathematics and continued to strengthen its leading position in the first decade of the 21th century. It is now a common occurrence for researcher in this area to be awarded top Mathematics Prizes. Some recent example include:  Werner was awarded the Fields medal in 2006, Itô was awarded the Gauss price in 2006, Varadhan is the recipient of the 2007 Abel Prize, Barlow is the recipient of the 2009 CRM-Fields-PIMS Prize and, more recently, Smirnov was awarded the Fields Medal in 2010. 

The array of applications of Stochastic Analysis is vast and encompasses all aspects of life: From sensors monitoring heart beats, through to the management of the risks involved in using stocks to fund pensions, many systems can be profoundly affected by stochastic fluctuations, noise, and randomness. Undoubtedly, Stochastic Analysis will play a major role in successfully solving the problems that confront humanity: global warming, the rise of the superbugs (MRSA), the aversion of terrorist threats.  

The mathematical study of stochastic dynamical systems involves a wealth of tools such as martingales, conditional expectations, analysis of path spaces, Itô calculus, Malliavin calculus, stochastic integrals, large deviations, log-Sobolev inequalities, measure valued branching processes, stochastic partial differential equations, etc. Fundamental progress has been made in this area in the last decade and all the invited conference’s speakers have brought their contribution to the subject.

Organisers: Ben Hambly (Oxford), Dan Crisan (Imperial) and Thaleia Zariphopoulou (Oxford) 

Speaker(s):

Confirmed speakers:

Shigeki Aida (Tohoku); Dominique Bakry (Toulouse); Martin Barlow (UBC); Gérard Ben Arous (NYU); Jean Bertoin (UZH); René Carmona (Princeton); Ana Bela Cruzeiro (UTL); Sandy Davie (Edinburgh); K.David Elworthy (Warwick); Hans Föllmer (HU Berlin); Peter Friz (TU and WIAS Berlin); Masatoshi Fukushima (Osaka); Martin Hairer (Warwick); Ioannis Karatzas (Columbia); Yves Le Jan (Paris-Sud); David Nualart (University of Kansas); Etienne Pardoux (Aix-Marseille University); Michel Roeckner (Bielefeld); Marta Sanz-Solé (UB); Ronnie Sircar (Princeton); Nizar Touzi (École Polytechnique, Paris); Nicolas Victoir (J.P.Morgan, New York); Ofer Zeitouni (Weizmann Institute & NYU)

Start date:
Monday, September 23, 2013 - 09:00
End date:
Friday, September 27, 2013 - 14:00