Frederi G. Viens
Education
- M.S., University of California, Mathematics, 1991
- Maîtrise de Mathématiques Pures, University of Paris, Mathematics, 1991
- Ph.D., University of California, Mathematics, 1996
Research Interests
- Stochastic Processes (Stochastic Partial Differential Equations, Fractional Brownian Motion, Branching and Interacting Particle Systems, Numerical Methods for Stochastic Processes, Nonlinear Stochastic Filtering, Propagation of Chaos)
- Probability Theory (Regularity of Random Fields, Malliavin Calculus, Spin Glasses, Products of Random Matrices)
- Mathematical Finance (Stochastic Portfolio Optimization, Stochastic Volatility, Monte-Carlo and Particle Methods, Financial Time Series)
- Others (Magneto-hydrodynamics, Non-linear Semigroups, Harmonic Analysis on Lie Groups, Optimal Control)
Ph.D. Students from Purdue University Department of Statistics
- Ionut Florescu
- Jesse Cunningham
- Nikita Tuzov
Ph.D. Students from Other Departments and Universities
- Ha-Young Kim, Department of Mathematics, Purdue University
- Andrew Vizcarra, Department of Mathematics, Purdue University
- Chao Yin, Department of Mathematics, Purdue University
- Songfu Zhang, Department of Mathematics, Purdue University
- Tao Zhang, Department of Mathematics, Purdue University
Awards/Honors
- Editorial Board, Annals of Finance
- Editorial Board, Communications on Stochastic Analysis
- National Defense Science and Engineering Fellowship, 1992-1996
- Honorary Fellowship, University of Wisconsin, 1996
- UC Irvine Connely Graduate Teaching Award, 1996
- NSF International Opportunities Fellowship, 1997
- NSF-NATO Postdoctoral Fellowship, 1998-1999
- Fulbright Scholar, 2004
For more information about Frederi G. Viens, please visit:
http://www.stat.purdue.edu/~viens/
