Research

Probability Teaching
probability

Probability theory is the mathematical description of random phenomena. Probability plays an increasingly important role in almost all areas of engineering and science. Probability research in ORFE ranges from theoretical to applied, with particular emphasis on stochastic analysis and its applications in various areas including financial mathematics, stochastic networks and queueing, signal and image processing, and stochastic control.

Faculty Research Interests

  • René Carmona
    stochastic analysis (SPDEs, BSDEs, FBSDEs, stochastic control and stochastic differential games), financial mathematics (models for the equity, fixed income and credit markets, commodity, energy and emission markets), environmental finance
  • Patrick Cheridito
    security pricing, stochastic processes, stochastic modeling, mathematical finance, risk analysis
  • Erhan Çınlar
    stochastic models and queuing theory, renewals, martingales, Markov processes, stochastic differential equations, dynamic point processes, mass transport by stochastic flows, applications to mathematics of insurance and finance, reliability of complex systems, modelling and estimation of natural hazards
  • William Massey
    stochastic models and queuing theory, performance and pricing models for telecommunications systems, asymptotic analysis and stochastic bounds for queueing networks, theories of queues with time-varying rates, stochastic networks
  • Warren Powell
    approximate dynamic programming and optimal learning, with applications in energy, homeland security, health and complex resource allocation problems
  • Ramon Van Handel
    probability theory, stochastic analysis, Markov processes, ergodic theory, mathematical statistics, information theory, nonlinear filtering, mathematical physics, applied mathematics
  • Robert Vanderbei
    convex optimization, interior-point methods, efficient frontiers associated with L¹ risk measures, optimal stopping and related differential equations, high-contrast imaging, celestial mechanics, stability of Saturn's rings, political mapping