Dan Crisan

Professor of Mathematics

Imperial College London

Department of Mathematics

180 Queen's Gate

London SW7 2AZ, UK


0207 594 8489

Stochastic Analysis Group

Welcome to Dan Crisan's Homepage

I am currently Professor of Mathematics at the Department of Mathematics of Imperial College London and Director of the EPSRC Centre for Doctoral Training in the Mathematics of Planet Earth http://mpecdt.org/. My long-term research interests lie broadly in Stochastic Analysis, a branch of Mathematics that looks at understanding and modelling systems that behave randomly. To get an idea of my current research interests, here are some recent (yet to be published) papers:

• Stochastic PDEs

o D. Crisan, DD Holm, Wave breaking for the Stochastic Camassa-Holm equation, arXiv preprint arXiv:1707.09000
o D Crisan, F Flandoli, DD Holm, Solution properties of a 3D stochastic Euler fluid equation, arXiv preprint arXiv:1704.06989

• Particle representations/approximations to (stochastic) PDEs

o J Barre, D Crisan, T Goudon, Two-dimensional pseudo-gravity model, arXiv preprint arXiv:1610.01296
o D Crisan, C Janjigian, TG Kurtz, Particle representations for stochastic partial differential equations with boundary conditions, arXiv preprint arXiv:1607.08909

• Nonlinear filtering

o D Crisan, S Ortiz-Latorre, A high order time discretization of the solution of the non-linear filtering problem, arXiv preprint arXiv:1711.08012

• Forward Backward Differential Equations

o JF Chassagneux, D Crisan, F Delarue, Numerical Method for FBSDEs of McKean-Vlasov Type arXiv preprint arXiv:1703.02007

• Probabilistic Numerical Methods (including MC, SMC, Particle Filters)

o D Crisan, E McMurray, Cubature on Wiener Space for McKean-Vlasov SDEs with Smooth Scalar Interaction, arXiv preprint arXiv:1703.04177
o D Crisan, J Miguez, Nested particle filters for online parameter estimation in discrete-time state-space Markov models, arXiv preprint arXiv:1308.1883
o D Crisan, J Houssineau, A Jasra, Unbiased Multi-index Monte Carlo, arXiv preprint arXiv:1702.03057
o D Paulin, A Jasra, D Crisan, A Beskos, Optimization Based Methods for Partially Observed Chaotic Systems, arXiv preprint arXiv:1702.02484

In addition, I have an ongoing research project, joint work with Colin Cotter and Darryl Holm, devoted to the development of rigorously validated Data Assimilation methodologies for high–dimensional systems. The project is funded by an EPSRC grant.