Research Interests

Frederi Viens's research deals principally with stochastic analysis. The following is a more detailed list by theme.

Probability Theory
Regularity of Random Fields
Malliavin Calculus
Spin Glasses
Products of Random Matrices
Stochastic Processes
Stochastic Partial Differential Equations
Fractional Brownian Motion and long-memory processes
Stochastic Integration
Branching and Interacting Particle Systems
Numerical Methods for Stochastic Processes
Nonlinear Stochastic Filtering
Propagation of Chaos
Quantitative Finance
Stochastic Portfolio Selection
Option Pricing
High-frequency Finance
Stochastic Volatility
Monte-Carlo and Particle Methods
Financial Time Series
Other fields
Parameter Estimation and Asymptotics
Climatology and Environmental Statistics
Magneto-hydrodynamics
Non-linear Semigroups
Harmonic Analysis on Lie Groups
Optimal Control