Dr. Abdul-Lateef Haji-Ali, who defended his KAUST Ph.D. on May 19, 2016, has been awarded a Hooke research fellowship from the Mathematical Institute at Oxford University.
We present past results and future prospects inefficient evaluation of payoff functionals on randomly evolving dynamic quantities. In the presentation, we go through recent results in Fourier methods for exponential levy processes and derive an adaptive multi-level time stepper for simulating SDEs. We also discuss on-going research on optimal stopping for stochastic differential equations.
Alexander Litvinenko presented his work "Approximation of non-linear Bayesian update for inverse problems" at the 8th International Conference "Inverse Problems: Modeling and Simulation", May 23 – 28, 2016, in Fethiye, Turkey.
On May 19th, 2016, Abdul-Lateef Haji-Ali successfully defended his Ph.D. thesis entitled “Efficient Multilevel and Multi-index Sampling Methods for Stochastic Differential Equations”.
Prof. Raul Tempone (KAUST) and Prof. Fabio Nobile (EPFL) are organizing the KAUST UQ School on Numerical Methods for Direct and Inverse Problems, from May 22 to 28, 2016 at KAUST.
Efficient Multilevel and Multi-index Sampling Methods for Stochastic Differential Equations by Abdul Lateef Haji Ali, Ph.D. candidate of Prof. Raul Tempone (KAUST).
Joakim Beck has joined as a Post Doctoral Fellow the Stochastic Numerics Group and SRI Uncertainty Quantification Center at KAUST.
Joakim is an applied mathematician specializing in computational science and uncertainty quantification.
Pedro is a founding class member of KAUST. He obtained his Ph.D. in Applied Math in May 2015 under the supervision of Prof. Raul Tempone. During his Ph.D., Pedro coauthored several research articles in refereed journals related to numerical methods and algorithms for pure jump Markovian processes.
Carina Suciu has joined the Stochastic Numerics Group and SRI Uncertainty Quantification Center at KAUST. Carina is an Applied Mathematician and Computational Scientist specializing in numerical methods solving Populations Balance Systems (PBS). In 2007 she started to work in cooperation with chemical engineers and industrial partners, in the framework of a project “Coupled Simulations of Particle Populations in Turbulent Flows”.
Prof. Tempone is an invited speaker at the Uncertainty Quantification Workshop, from May 9 to 13, 2016. Institut Mittag-Leffler, Sweden.
Prof. Raul Tempone is an invited speaker at the Challenges in high-dimensional analysis and computation Workshop, from May 2 to 6, 2016. San Servolo, Venice, Italy.
Fabián Crocce joined the SRI-UQ and the Stochastics numerics group as a postdoctoral fellow in March 2014. For two years he worked on computational finance with Prof. Raul Tempone and his team.
Alexander Litvinenko is organizing a mini-symposia "Low-rank and Sparse Tensor Methods for Uncertainty Quantification" at SIAM UQ Conference, 5-8 April 2016, Lausanne, Switzerland.
Prof. Raul Tempone is an invited speaker at the "Advances in numerical and analytic approaches for the study of non-spatial stochastic dynamical systems in molecular biology" Workshop (SDBW03), from April 4 to 8, 2016. Isaac Newton Institute for Mathematical Sciences, Cambridge, UK.
Marco Ballesio successfully defended his Master Thesis "Indirect Inference for Scalar Time-homogeneous Stochastic Differential Equations Based on Moment Expansions" at Politecnico of Torino and Real Collegio Carlo Alberto. He wrote his Thesis at KAUST in the period July 2015 - January 2016 oriented by Raul Tempone, and Pedro Vilanova (Stochastic Numerics Research Group).