School of Mathematics

People A-Z

Prof. Istvan Gyongy

  • Personal Chair in Probability

Contact details

Research Interests

Stochastic differential equations, stochastic partial differential equations and their applications in nonlinear filtering and stochastic control.

Numerical analysis of partial differential equations and stochastic partial differential equations. In particular, accelerated numerical methods.

Research Groups

Current and Recent PhD Students

James-Michael Leahy, Eric Hall, Boris Bocharov, David Siska, Fernando Goncalves, Xiaoli Chen, Anton Shmatkov

Recent Conference and Workshop Involvement

7th International Conference on Harmonic Analysis and Partial Differential Equations, El Escorial, Madrid (Spain) June 21-25, 2004.

Conference on Stochastic partial Differential Equations and Random Media, Bielefeld (Germany) April 4-9, 2005. Computational Aspects of Stochastic Partial Differential Equations, Salzburg, Austria, September 2006.

Workshop on ``Filtering and Control'', Warwick University, August 2007.

Semester on Stochastic Partial Differential Equations, Mittag-Leffler Mathematical Institute, Stockholm Fall 2007

Conference on ``Stochastic Partial Differential Equations and Applications'', organized by CIRM, Levico, Italy, January 2008. "Short course on SPDEs" at the instructional conference ``SPDES: Computations and Applications", Sep 29, 2008 - Oct 1, 2008.

Conference on "Numerical Analysis of Stochastic PDEs" ICMS Edinburgh, May 11-12, 2009. 7th International ISAAC Congress, Imperial College, London, July 13 to July 18, 2009.

Conference on ``Stochastic Partial Differential Equations: Modelling, Analysis, and Approximation", TU Darmstadt, August 24--28, 2009.

Workshop on ``Rough Paths, SPDEs and Related Topics", Newton Institute, Cambridge, UK, April 2010.

``Workshop on Filtering", Newton Institute, Cambridge, UK, June 2010.

Workshop on ``SPDEs: approximation, asymptotics and computation'', Newton Institute, Cambridge, UK, June 2010.

"34th Conference on Stochastic Processes and Their Applications, Osaka, Japan, September 6--10, 2010.

"9th Symposium on Large Scale Interacting Systems", Tokyo, Japan, September 13--17, 2010.

Workshop ``On numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs", Imperial College London, September 27-29, 2010.

Seventh Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, Switzerland, May 23--27, 2011.

Professional Activities

Visiting positions, fellowships:

Alexander von Humboldt Fellowship, Goethe University Frankfurt, West Germany, 1984-85

Visiting scholar, Carleton University, Ottawa, Canada, 1986

Visiting researcher, Mathematical Research Institute of the Soviet Academy of Sciences, Moscow, USSR, 1987-88

Invited Professor, Université de Provence, Marseilles, France, 1991-92

Visiting Professor, Universitat Autonoma de Barcelona, \newline Bellaterra, Spain, 1993 February-August

Visiting Professor, Universitat de Barcelona, Barcelona, Spain, October 1993- September 1994

Visiting Professor, University of Minnesota, School of Mathematics, Minneapolis, USA, spring 1994

Visiting Professor, Universitat de Barcelona Barcelona, Spain, 1994-95

Other invitations, short visits:

Mathematical Institute, ETH Zürich, A.-S. Sznitman, 1995

University of Barcelona, D. Nualart, 1996 Mathematical Research Institute, (Bellaterra, Barcelona) 1997

Center for Applied Mathematical Sciences, University of Southern California, B.L. Rozovskii, 1997

School of Mathematics, University of Minnesota, N. V. Krylov, 1997

Visiting Professor, School of Mathematics, University of Minnesota, N. V. Krylov, 2000

Visiting Professor, Department of Mathematics, University of Melbourne, K. Borovkov, 2002

Visiting Professor, Department of Mathematics, Université Paris X, A. Millet, 2003

Visiting Professor, School of Mathematics, University of Minnesota, N. V. Krylov, 2004

Visiting Professor, Department of Mathematics, Université Paris 1, A. Millet, 2005

Visiting Professor, Ecole Normale Superiore Cachan, A. Debussche, 2005

Visiting Professor, School of Mathematics, University of Minnesota, N. V. Krylov, April 2006,

Visiting Professor, Department of Mathematics, Université Paris 1, A. Millet, 2006

Visiting Professor, Department of Mathematics, Université Paris 1, A. Millet, 2011

Education Background

PhD in Mathematics, Moscow State University, 1981 Thesis title: Stochastic evolution equations Thesis advisor: Prof. N.V. Krylov Committee Chair: Prof. A.N. Kolmogorov

Postgraduate studies at Moscow State University 1978-81

Diploma with distinction in mathematics, Eötvös University Budapest, 1974 Thesis title: Random sequences (computational complexity) Thesis advisor: Prof. P. G\'acs

Graduate and undergraduate studies at Eötvös University Budapest 1969-74

Previous Employment

Professor /Docent/, Department of Probability Theory and Statistics, Eötvös University Budapest, 1985-1995

Associate Professor, Department of Algebra and Number Theory, Eötvös University, 1976-1985

Assistant Professor, Department of Mathematics, Faculty of Electrical Engineering, Budapest University of Technology, 1974-76