Program
in Probability and Its Applications
Workshop on Numerical Methods
and Stochastics
Tuesday April 20, 1999 -- Friday April 23, 1999
Organizing Committee
T. Lyons
(Imperial
College), T. Salisbury
(York University) A wide variety of numerical
techniques are increasingly being used in stochastic analysis and other areas
of probability. For example, neural networks and approximations arising from the
theory of interacting particle systems have been used as numerical methods. Numerical
solutions to stochastic differential equations are widely studied, and recent
work has looked at numerical techniques for filtering and other stochastic partial
differential equations.
From Tuesday, April 20 to Friday, April 23, the
workshop will survey the directions current research is taking, and will attempt
to focus attention on problems that will be of importance in the future.
The
workshop will be preceded by a Symposium on Numerical Stochastics in Finance
on Monday, April 19, 1999.
Speakers
- Dr. D. Crisan (University
of Cambridge)
- Dr. P. Del Moral (Université Paul Sabatier)
- Dr.
J. Gaines (University of Edinburgh)
- Dr. A. Guionnet (Université
de Paris Sud)
- Prof. T.J. Lyons (Imperial College, London)
- Dr.
L. Miclo (Université de Toulouse)
- Prof. P. Protter (Purdue University)
- Prof. J.B. Walsh (University of British Columbia)
- Dr. F. Viens
(University of North Texas)
