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.
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.
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, Universit\'e 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 Z\"urich, 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, Universit\'e Paris X, A. Millet, 2003
Visiting Professor, School of Mathematics, University of Minnesota, N. V. Krylov, 2004
Visiting Professor, Department of Mathematics, Universit\'e 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, Universit\'e Paris 1, A. Millet, 2006
Visiting Professor, Department of Mathematics, Universit\'e Paris 1, A. Millet, 2011
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
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