Frederi G. Viens

Professor of Statistics and Mathematics

Professor of Statistics and Mathematics

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