MLMC research in Oxford
Here I list those in the Mathematical Institute working on
multilevel Monte Carlo methods.
Academics
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Ruth Baker,
(Mathematical Biology) -- stochastic biochemical reactions; delay SDEs
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Patrick Farrell
(Numerical Analysis Group) -- elliptic SPDEs
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Mike Giles
(Mathematical and Computational Finance Group) -- SDEs, SPDEs, VaR, EVPPI/EVSI
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Ben Hambly
(Stochastic Analysis Group) -- particle methods
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Christoph Reisinger
(Mathematical and Computational Finance Group) -- SPDEs; particle methods
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Endre Suli
(Numerical Analysis Group) -- FENE long-chain molecules in solution
Some past members who are now elsewhere
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Abdul-Lateef Haji-Ali
(Assistant Professor, Actuarial Mathematics and Statistics, Heriott-Watt)
-- multi-index Monte Carlo, risk, VaR, EVPPI/EVSI
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Lukasz Szpruch
(Reader, School of Mathematics, Edinburgh) -- stochastic McKean-Vlasov
equations, particle methods, forward-backward SDE's
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Kit Yates
(Senior Lecturer, Dept of Mathematical Sciences, Bath) --
stochastic modelling in mathematical biology
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Wei Fang (Mathematical and Computational Finance Group) -- non-globally Lipschitz drifts
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Zhenru Wang (Mathematical and Computational Finance Group) -- SPDEs
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Casper Beentjes (Mathematical Biology) -- stochastic biochemical reactions, inverse binomial CDF function
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Matteo Croci (Numerical Analysis Group) -- elliptic SPDEs
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Oliver Sheridan-Methven (Numerical Analysis Group) -- MLMC with approximate random variables