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Numerical methods for high-dimensional path-dependent PDEs driven by stochastic Volterra integral equations
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Probabilistic numerical methods for fully nonlinear PDEs and related topics
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Pathwise stochastic analysis and related topics
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Model, identification & analysis of complex stochastic systems: applications in stochastic partial differential equations and multiscale mechanics
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Topics on set-valued backward stochastic differential equations
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Algorithms for stochastic Galerkin projections: solvers, basis adaptation and multiscale modeling and reduction
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Some mathematical problems for the stochastic Navier Stokes equations
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Iterative path integral stochastic optimal control: theory and applications to motor control
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Parameter estimation problems for stochastic partial differential equations from fluid dynamics
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Asymptotic problems in stochastic partial differential equations: a Wiener chaos approach
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Forward-backward stochastic differential equations with discontinuous coefficient and regime switching term structure model
Zero-sum stochastic differential games in weak formulation and related norms for semi-martingales
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Monte Carlo methods of forward backward stochastic differential equations in high dimensions
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On spectral approximations of stochastic partial differential equations driven by Poisson noise
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Regularity of solutions and parameter estimation for SPDE's with space-time white noise
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Estimation of random input to semi-linear abstract parabolic systems with application to quantitative description of drinking behavior based on trans-dermal alcohol concentration
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Path dependent partial differential equations and related topics
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Some topics on continuous time principal-agent problem
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Risk assessment, intrinsic interpolation and computationally efficient models for systems under uncertainty
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Effect of basis functions in least-squares Monte Carlo (LSM) for pricing options
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Linear filtering and estimation in conditionally Gaussian multi-channel models
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An abstract hyperbolic population model for the transdermal transport of ethanol in humans: estimating the distribution of random parameters and the deconvolution of breath alcohol concentration
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Physics-based data-driven inference
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Pricing OTC energy derivatives: credit, debit, funding value adjustment, and wrong way risk
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Two essays on the valuation of options: A martingale analysis
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