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Stochastic Analysis and Applications

June 13-15, 2008, Princeton, NJ

Modern applied mathematics seeks to understand and quantify a broad range of phenomena throughout the physical, biological, engineering, industrial, and economic worlds. Due to the inherent complexity and random nature of many of the phenomena and systems which are studied, the use of techniques which directly take into account and exploit their stochastic properties to understand their behavior are very powerful and widely used. 

This international conference, sponsored by the National Science Foundation, the Office of Naval Research, the ORFE Department and the Bendheim Center for Finance at Princeton University, brought together many leading applied mathematicians working in these and related areas, to report on recent developments of broad interest, and to point the way for exciting directions for future research. There were also a number of talks by prominent junior researchers.

Topics

  • Random Schrödinger operators in mathematical physics
  • Wavelets and signal analysis
  • Stochastic partial differential equations
  • Particle transport
  • Wave propagation in random media
  • Stochastic filtering
  • Mathematical finance

Speakers

  • Yacine Aït-Sahalia (Princeton University)
  • Anestis Antoniadis (Universite Joseph Fourier, Grenoble)
  • Sara Biagini (University of Pisa)
  • Erhan Çinlar (Princeton University)
  • Albina Danilova (Oxford University)
  • Ingrid Daubechies (Princeton University)
  • Damir Filipovic (Vienna Institute of Finance)
  • Jean-Pierre Fouque (University of California at Santa Barbara)
  • Leonard Gross (Cornell University)
  • Elliott Lieb (Princeton University)
  • Mike Ludkovski (University of Michigan)
  • Terry Lyons (Oxford University)
  • Stanislav Molchanov (University of North Carolina at Charlotte)
  • David Nualart (University of Kansas)
  • Anastasia Papavasiliou (Warwick University)
  • Boris Rozovsky (Brown University)
  • Nizar Touzi (Ecole Polytechnique)
  • Frederi Viens (Purdue University)

Guest of Honor

The conference theme is inspired by the unique career trajectory of Professor René Carmona, and we intend to use the occasion of the conference also to celebrate his 60th birthday. René Carmona over the past 30 years has had a great impact in developing and applying stochastic methods to a wide array of problems, from Mathematical Physics, to Computational Statistics, Signal Processing, and recent interests in Mathematical Finance. Through his influence on students, postdoctoral associates, junior faculty, and senior colleagues, Professor Carmona has advanced application of stochastic analysis in a unique and far-reaching manner.