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
- Stochastic Integration
- Branching and Interacting Particle Systems
- Numerical Methods for Stochastic Processes
- Nonlinear Stochastic Filtering
- Propagation of Chaos
- Mathematical Finance
- Stochastic Portfolio Optimization
- Stochastic Volatility
- Monte-Carlo and Particle Methods
- Financial Time Series
- Other fields
- Parameter Estimation (Statistics)
- Magneto-hydrodynamics
- Non-linear Semigroups
- Harmonic Analysis on Lie Groups
- Optimal Control
