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Dan Crisan

Professor of Mathematics

Imperial College London

Department of Mathematics

180 Queen's Gate

London SW7 2AZ, UK

d.crisan@imperial.ac.uk

0207 594 8489



Mini-courses and Talks

International lectures series/mini-courses:
  • Particle Filters in High Dimensions, The Henri Lebesgue Center for Mathematics, Rennes, June 2018
  • Data assimilation using Particle Filters, Kick-Off Workshop, SFB 1294 Data Assimilation, Potsdam, July 2017
  • Cubature Methods and Applications, CEMRACS 2017, Numerical methods for stochastic models: control, uncertainty quantification, mean-field, Marseille, July 2017
  • Particle filters in the continuous time framework. Applications of cubature methods, Edinburgh, September 2016
  • Convergence of particle filters and relation to data assimilation, Bangalore, January 2014
  • Stochastic Filtering, Second school of CREMMA, Tunis, April 2012
  • Cubature methods and applications, Institut Henri Poincare, Paris, February-April 2010
  • Stochastic filtering: theory and algorithms, Chemnitz, June 2009
  • Stochastic filtering: theory and algorithms, Berlin, June 2008
  • Particle filters - a theoretical perspective, Madrid, April 2008
  • Invited Talks (last 6 years):
    • 2018
      • Solution Properties of a 3D Stochastic Euler Fluid Equation Probability and Statistics Seminar School of Mathematics University of Manchester 26 September 2018
      • Integration: Past, Present and Future, Imperial College London 15 September 2018
      • Smoothing properties of McKean-Vlasov SDEs Workshop on BSDEs, Information and McKean-Vlasov equations 10-12 September Leeds
      • Particle Filters in High Dimensions Bayesian Computation for High-Dimensional Statistical Models Opening Workshop 27-31 August 2018
      • Long-Time Behaviour of Degenerate Diffusions, Workshop on Stochastic Dynamical Systems and Ergodicity Loughborough University 23-27 July 2018
      • Solution Properties of a 3D Stochastic Euler Fluid Equation The 12th AIMS Conference on Dynamical Systems, Differential Equations and Applications July 5 - July 9, 2018 Taipei, Taiwan Special Session 81 Stochastic Systems, SDEs/SPDEs and Games with Numerics and Application
      • Time discretizations of the solution of the non-linear filtering problem The 12th AIMS Conference on Dynamical Systems, Differential Equations and Applications July 5 - July 9, 2018 Taipei, Taiwan Special Session 61 Stochastic filtering, Optimal Control and their applications
      • Well-posedness properties of SPDEs with transport noise, Scuola Normale Superiore of Pisa, 27 June 2018
      • High order discretizations for the solution of the nonlinear filtering problem, 40th Conference on Stochastic Processes and Their Applications 11-15 June 2018 Chalmers Conference Center Gothenburg, Sweden
      • High order discretizations for the solution of the nonlinear filtering problem, Simons Semester ”PDEs/SPDEs and Functional Inequalities 1 April - 30 June 30 2018 Stefan Banach International Mathematical Center Warsaw, Poland
      • 3D Stochastic Euler Fluid Equation, Workshop on PDEs/SPDEs and Functional Inequalities” Bedlewo, 22-28 April 2018
      • Solution Properties of a 3D Stochastic Euler Fluid Equation, A 21-a CONFERINTA A SOCIETATII DE PROBABILITATI SI STATISTICA DIN ROMˆANIA Academia de Studii Economice din Bucuresti Centrul de Cercetari Matematice Fundamentale si Aplicative 13-14 aprilie 2018
      • Asset pricing through competing traders valuations, CeQuFin Seminar Series, LT3, Grimond Building, University of Kent, 9 March 2018
    • 2017
      • Two-dimensional pseudo-gravity model: particles motion in a non-potential singular force field, 9 November 2017, Mathematical Institute, University of Oxford
      • Principled Data Assimilation, Deutscher Wetterdienst Offenbach, 3 November 2017.
      • Data Assimilation using Ensemble Based Methods, IMA Conference on Inverse Problems, 19 - 21 September 2017 CMS, University of Cambridge (Keynote lecture).
      • Stochastic Modelling of Transport Noise, SIAM Conference on Mathematical and Computational Issues in the Geosciences, Erlangen, September 11-14, 2017.
      • Large time asymptotics for diffusion semigroups gradient bounds, Workshop on Asymptotics for Stochastic Dynamical Systems, Swansea, 29-31 August 2017.
      • Cubature Methods for McKean-Vlasov SDEs with Smooth Scalar Interaction, International Workshop on BSDEs and SPDEs, Edinburgh, 3-7 July 2017.
      • Data Assimilation for Stochastic Transport Models, 12TH INTERNATIONAL ENKF WORKSHOP, Bergen, 12-14 June, 2017.
      • Integration: Past, Present and Future, Essex - Greenwich – London, Applied \& Numerical Mathematics Workshop, Greenwich, 9 June 2107.
      • Solution Properties of a 3D Stochastic Euler Fluid Equation, Nonlinear PDEs, Stochastic Control and Filtering, Conference in honour of the 75th birthday of NICOLAI KRYLOV, ICMS, Edinburgh, 29 May - 2 June 2017.
      • Two-dimensional pseudo-gravity model: particles motion in a non-potential singular force field, PDE & Probability Methods for Interactions, Inria (Sophia Antipolis), 30-31 March 2017.
      • Smoothing properties of McKean-Vlasov SDEs, Paris Bachelier Seminar, Institut Henri Poincare, 17 February 2017.
      • Particle representations for SPDEs with boundary conditions, 1 February 2017, BERLINER KOLLOQUIUM, WAHRSCHEINLICHKEITSTHEORIE, Berlin, 1 February 2017.
      • Principled Data Assimilation: A Dream or Reality, MPE Wednesday, Reading, 18 January 2017.
    • 2016
      • Particle representations for SPDEs with boundary conditions, Numerics for SPDE and their Applications, Special Semester on Computational Methods in Science and Engineering, The Johann Radon Institute for Computational and Applied Mathematics, Linz, December 12-16, 2016.
      • Exponential Decay of Gradient Bounds for Diffusion Semigroups, School of Stochastic Dynamical Systems and Ergodicity, Loughborough, 5-9 December 2016. Towards a stable Particle Filter in High-Dimension. Take Two, Mathematical and Algorithmic Aspects of Data, Assimilation in the Geosciences, 1640 Oberwolfach Workshop, 2-8 October 2016.
      • High order discretizations for the solution of the nonlinear filtering problem, Imperial ETH Workshop on Mathematical Finance, Zurich, 26-28 September 2016.
      • Integration: Past, Present and Future, MIGSAA 2nd Annual Colloquium , Edinburgh, 23 September 2016.
      • Variational principles for stochastic parameterisations in geophysical fluid dynamics, Nonlinearity in Climate and the Geosciences, A Special Session Honouring Peter Lax, The 11th AIMS Conference on Dynamical Systems, Differential Equations and Applications, Orlando 1 - 5 July 2016.
      • Particle representations for SPDEs with boundary conditions, SPDEs/SDEs and Stochastic Systems with Control/Optimization and Applications, The 11th AIMS Conference on Dynamical Systems, Differential Equations and Applications, Orlando 1 - 5 July 2016.
      • Particle filters in High Dimension, Data assimilation and nonlinear filtering, The 11th AIMS Conference on Dynamical Systems, Differential Equations and Applications, Orlando 1 - 5 July 2016.
      • Nested particle filters for online parameter estimation, ATI Workshop "MCMC and Diffusion Techniques", London, 9-10 June 2016.
      • Particle filters in High Dimension, Analysis, Geometry and Stochastics for Planet Earth, University of Bath, 26 February 2016.
      • Particle representations for SPDEs with boundary conditions, Stochastic Analysis, Rough Paths, Geometry, London, 7-9 January 2016.
    • 2015
      • Integration: Past, Present and Future, LMS Graduate Student Meeting BMA House, Tavistock Square, WC1H 9JP, 13 November 2015.
      • Gradient bounds for the solution of the filtering equation, Stochastic calculus, Monte-Carlo methods and Mathematical Finance CONFERENCE IN HONOR OF PROFESSOR VLAD BALLY Le Mans, Institut du Risque et de l’Assurance 6 - 9 October 2015.
      • Towards a stable Particle Filter in High-Dimension, Minisymposium on Nonlinear Dynamical Aspect Data Assimilation XXXV Dynamics Days Europe 2015, Exeter, 6-10 September 2015.
      • Nested particle filters for online parameter estimation, SMC2015: Sequential Monte Carlo workshop ENSAE, Paris, 26-28 August 2015.
      • Particle filters in High Dimension, 38th Conference on Stochastic Processes and their Applications University of Oxford 13th - 17th July 2015.
      • Inverse problems for stochastic transport equations, Equadiff 2015 Universite Claude Bernard Lyon, 7 July 2015.
      • Sharp gradient bounds for the solutions of a class of linear SPDEs, Numerical probabilistic methods for non-linear PDEs. Imperial College London, 30 June 2015.
      • Particle filters in High Dimension, Reading-Warwick Data Assimilation meeting, Data Assimilation Research Centre, 22 June 2015.
      • Particle approximations for partially observed 2D Navier-Stokes equations, Workshop Classic and Stochastic Geometric Mechanics Lausanne, CIB-EPFL, 8-11 June 2015.
      • Robust Filtering, 45th Annual John H. Barrett Memorial Lectures Stochastic Filtering, Computations and Their Applications University of Tennessee, Knoxville May 13-16, 2015 (plenary talk).
      • Limit Theorems in Stochastic Filtering, Probability Seminar Queen Mary University of London, 22 April 2015.
      • Limit Theorems in Stochastic Filtering, Limit Theorems in Probability A conference in honour of Nick Bingham’s 70th birthday, Imperial Probability Centre, 23 - 26 March 2015.
      • A second order time discretization of the solution of the non-linear filtering problem, North British Probability Seminar, Edinburgh, 13 February 2015.
      • Kusuoka-Stroock bounds for the solution of the filtering problem, Mathematical Finance and Stochastic Analysis Seminar York University, 10 February 2015.
    • 2014
      • Asset pricing through competing traders valuations, 12nd CFM-Imperial Workshop on Quantitative Finance, London 20 October 2014.
      • High order discretizations for the filtering problem, Workshop on “Partial Information and Filtering” Thematic Semester on “Information in Finance and Insurance” Institut Henri Poincare, Paris, 6 October 2014.
      • Asset pricing through competing traders valuations, NUS-U of Tokyo Workshop on Quantitative Finance Tokyo 25-26 September 2014.
      • Kusuoka-Stroock bounds for the solution of the filtering problem, UK-Japan Stochastic Analysis School JSPS Core-to-Core programme Warwick, 1-5 September 2014.
      • High order approximations for the filtering problem, The 10th AIMS Conference on Dynamical Systems Differential Equations and Applications Madrid, Spain 7-11 July 2014.
      • Runge-Kutta schemes for backward stochastic differential equations, Stochastic Numerics and Random Dynamical systems Festschirft in honour of Peter Kloeden’s 65th Birthday Mannheim 25-27 June 2014.
      • Runge-Kutta schemes for backward stochastic differential equations, The 7th International Symposium on Backward SDEs Shandong University 22-27 June 2014.
      • Stochastic filtering - a brief historical account, Advanced Monte Carlo Methods for Complex Inference Problems Isaac Newton Institute for Mathematical Sciences 22 Apr-16 May 2014.
      • Classical and modern results in the theory and applications of stochastic filtering, 50th anniversary of the Journal of Applied Probability, Sheffield, 9 April 2014.
    • 2013
      • Kusuoka-Stroock bounds for the solution of the stochastic filtering problem with applications to particle filters, From Spectral Gaps to Particle Filters, Reading, 17-18 September 2013.
      • Data Assimilation and Stochastic Filtering, Reading, 11 September 2013.
      • A brief introduction to stochastic filtering, Thalesian Society Dockmaster’s House Canary Wharf, London, 4 September 2013
      • Kusuoka-Stroock gradient bounds for solutions of a class of stochastic PDEs, Anniversary Conference, Faculty of Science 150 years, Bucharest, August 29 - September 1, 2013.
      • Generalized Particle Filters, Data Assimilation Research Centre, Reading, 5 June 2013.
      • Conditional distributions, exchangeable particle systems and stochastic partial differential equation, 14th Linnaeus University Workshop in Stochastic Analysis and Applications, 22-24 May 2013.
      • BSDEs and smoothness of solutions for degenerate semilinear PDEs, Imperial-ETH Workshop on Mathematical Finance Imperial College London 6-7 March 2013
      • Generalized Particle Filters, Probability and Statistics seminar Department of Mathematics University of Bristol, 22 February 2013.
      • A mathematician’s view on Asimov’s psychohistory, Imperial College London, 23 January 2013 (inaugural talk).
    • 2012
      • Particle versus Gaussian Approximations: What is the difference?, Workshop on Mathematical and Algorithmic Aspects of Atmosphere-Ocean Data Assimilation Oberwolfach 2-8 December, 2012.
      • Cubature Filters, Workshop Sequential Mote Carlo Methods and Efficient Simulation in Finance Ecole Polytechnique & INRIA Bordeaux Paris, 10-12 October 2012.
      • Solving semilinear partial differential equations using the cubature method, Beijing-London Workshop on Stochastic Analysis King’s College London 5 October 2012.
      • Solving semilinear partial differential equations using the cubature method, The 8th World Congress in Probability and Statistics Istanbul 9-14 July, 2012
      • Gradient bounds for solutions of Semi-Linear Partial Differential Equations, Probabilistic Methods for Partial Differential Equations 6th European Congress of Mathematics Krakow, July 2-7, 2012.
      • Particle Approximations for the Solution of The Filtering Problem, International Conference on Controlled Deterministic and Stochastic Systems Iasi, 2-7 July 2012