Close Menu

Stochastics

The research outcome of the stochastics group provides modeling tools for analysis, control, and numerical study of various stochastic systems that evolve in time and space, and are subject to randomness. Our study of structured dependence between stochastic processes helps to construct models of multivariate random dynamical systems with prescribed global structural features and prescribed marginal structural features. Random sequence comparison helps scientists to identify regions of similarity in the sequences of DNA, RNA, and proteins, or between strings in a natural language. Stochastic partial differential equations and stochastic dynamical systems serve as modeling tools for complex phenomena such as turbulent ows, climate change, and behavior of nancial markets. Our research in the area of mathematical nance provides quantitative models of nancial securities that allow pricing, hedging, and mitigating the risk of complex nancial products. 

Laboratory for Stochastics and Dynamics

Faculty with primary interests in stochastics:
Adler, Bielecki, Cialenco, Duan, Gong, Hickernell, Kang, Petrović, Stasi, Tier

Faculty with secondary interests in stochastics:
Ellis, Kaul