Entrance hall of the ICMS

Nonlinear PDEs, stochastic control and filtering: new methods and applications

May 29, 2017 - Jun 02, 2017

ICMS, 15 South College Street


Name Institution
Gyongy, Istvan University of Edinburgh
Rozovsky, Boris Brown University
Safonov, Mikhail University of Minnesota


The objective of this workshop is to revisit classical problems and explore new directions where real world problems have been and can be successfully studied by an exchange of ideas and methods from PDE, probability, and numerical analysis. The workshop will bring together world leading researchers who have made fundamental contributions to the theory of nonlinear PDEs, probability and numerical analysis, and young scientists at different stages of their career. The interplay between nonlinear PDEs, stochastic and numerical analysis was extremely fruitful in the development of these areas. The aim of the workshop is to present important new directions, ideas and methods, motivated by recent mathematical challenges arising in physics, engineering, biology, economics and finance, where bridges between diifferent mathematical fields can be used to make signifi cant progress.



If you would like to participate in this workshop you may apply using this form. The deadline for applications is 21 April 2017. There is a small amount of money available as a contribution towards the costs of your accommodation in Edinburgh. There is no financial support available for travel to Edinburgh. All participants are expected to pay the 100 GBP registration fee. The organisers will make a decision on the applications on 28 April and you will be informed by email after that date.

 Invited participants have been sent an invitation email from ICMS.

The workshop will be held at ICMS, 15 South College Street, Edinburgh. 

Poster session
There will be a poster session on Monday 29 May. If you would like to present a poster please enter the details of the poster on the application form (see above).

Talks and Audio/Visiual Equipment
All lectures will be held in the Newhaven Lecture Theatre.  The lecture theatre has a built in computer, data projector, and visualiser/document camera.  In addition, there are two blackboards.  The projector and one board may be used simultaneously.  We advise Speakers that, where possible, you bring your talk on a memory stick/USB to put onto our computer in advance of your session - either at the start of the day or during coffee/lunch breaks.   ICMS staff can help with this.   It is possible for you to use your own laptops but it is then your own responsibility to ensure that resolutions are changed on the laptops if necessary (ICMS will not change the resolution on our equipment).   If you use a MAC we expect you to bring your own adaptor. 

UK Visas
If you are travelling from overseas you may require an entry visa. A European visa does not guarantee entry to the UK. Please use this link to the UK Visas site to find out if you need a visa and if so how to apply for one. 

Information about travel to the UK and Edinburgh is available here.

Please note that it is your responsibility to have adequate travel insurance to cover medical and other emergencies that may occur on your trip.

A taxi directly from the airport will cost approximately 20.00 to 25.00 GBP to the city centre for a one-way journey.     There is also a bus service direct from the airport to the city centre which will cost 4.50 GBP single or 7.50 GBP return - the Airlink 100.  This is a frequent service (every 10 minutes during peak times) and will bring you close to Waverley Railway Station, and the workshop venue (see map in 'Venue' section above). 

Lothian buses charge £1.60 for a single, £4.00 for a day ticket. Please note that the exact fare is required and no change is given.

If travelling by train, please note that Edinburgh has several railway stations - Waverley Railway Station being the main station and closest to the workshop venue at 15 South College Street.  If you alight at Edinburgh Waverley, the workshop venue is an easy 10 minute walk over North and South Bridge. The second large railway station is called Haymarket and is at the West End of the city centre.    Please be aware that there is also an Edinburgh Park railway station but this is at the west side of the city some way from the city centre.  For ICMS, use Edinburgh Waverley.

Registration Fee
A registration fee of 100 GBP is payable by all participants (excluding Organisers).  Payment can be made on arrival at ICMS - at Registration we will accept cash, credit/debit card payments and sterling cheques (payable to “Heriot-Watt University”).  Unfortunately, we do not yet have an on-line payment system at ICMS.

Invited participants: ICMS will organise accommodation for invited participants.
All other participants: Other participants should book and pay for their own accommodation. Details regarding local accommodation can be found here. 

The workshop grant will cover refreshments throughout the event and lunch on Monday, Tuesday and Thursday. There will be an informal wine reception and poster session  on the Monday evening and the workshop dinner on the Thursday evening. 

Wireless Access
Access to wifi via Eduroam is available throughout the building. If you are not registered with Eduroam you will be given instructions and a code for accessing the wireless network.  For those without laptops, there will also be a couple of computers available for you to check your emails. 



To be announced


Presentation Details
Bogachev, Vladimir
Distances between solutions to Fokker-Planck-Kolmogorov equations and applications to nonlinear FPK equations
View Abstract Down
Brzezniak, Zdzislaw
Weak Solutions of a Stochastic Landau-Lifshitz-Gilbert Equation Driven by Pure Jump Noise
View Abstract Down
Da Prato, Giuseppe
Integral inequality for invariant measures of some SPDEs
View Abstract Down
Dong, Hongjie
Schauder and Dini type estimates for nonlocal fully nonlinear equations
View Abstract Down
Flandoli, Franco
From KR to LPS condition
View Abstract Down
Friedlin, Mark
Asymptotic problems for PDE's and a motion on the simplex of invariant measures.
View Abstract Down
Hausenblas, Erika
Nonlinear Filtering with Levy processes
View Abstract Down
Jensen, Max
Convergent semi-Lagrangian methods for the simple Monge-Ampère equation
View Abstract Down
Jentzen, Arnulf
Efficient stochastic numerical approximation algorithms for high-dimensional nonlinear PDEs
View Abstract Down
Kim, Kyeong-Hun
On the Lp boundedness of stochastic singular integral operators
View Abstract Down
Lee, Kijung
On the heat diffusion starting with degeneracy
View Abstract Down
Malioutov, Mikhail
SCOT approximations and asymptotic inference
View Abstract Down
Pardoux, Etienne
Nonlinear filtering with singular noise
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Pop, Camelia
Transition probabilities for degenerate diffusions arising in population genetics
View Abstract Down
Rozovsky, Boris
On Distribution Free Stochastic Analysis
View Abstract Down
Veretennikov, Alexander
On Poisson equations in the whole space
View Abstract Down
Wentzell, Alexander
On diffusions in media with pockets of large diffusivity
View Abstract Down


Name Institution
Bahl, Raj Kumari University of Edinburgh
Bakas, Odysseas University of Edinburgh
Bogachev, Vladimir Moscow State University
Brzezniak, Zdzislaw University of York
Cheung, Kelvin MIGSAA
Da Prato, Giuseppe Scuola Normale Superiore
Dalang, Robert Ecole Polytechnique Fédérale de Lausanne
Dareiotis, Konstantinos University of Uppsala
Davie, Alexander University of Edinburgh
Dobson, Paul MIGSAA
Dong, Hongjie Brown Unviversity
dos Reis, Goncalo University of Edinburgh
Elworthy, David University of Warwick
FAN, QIANZHU University of Edinburgh
Flandoli, Franco Università di Pisa
Forlano, Justin MIGSAA
Friedlin, Mark University of Maryland
Gerencsér, László MTA SZTAKI (Hungarian Academy of Sciences,Institute for Computer Science and Control)
Gerencsér, Máté Institute of Science and Technology Austria
Giaquinta, Mariano Scuola Normale Superiore
Gyongy, Istvan University of Edinburgh
Hammersley, William MIGSAA
Hausenblas, Erika University Leoben
Jensen, Max University of Sussex
Jentzen, Arnulf ETH Zurich
JUNHWA, JUNG Brown university
Kim, Doyoon Korea University
Kim, Ildoo Korea Institute for Advanced Study
Kim, Kyeong-Hun Korea University
kok, Tayfun University of York
Krylov, Nicolai University of Minnesota
Kuksin, Sergei Université Paris
Leahy, James-Michael University of Southern California
Lee, Kijung Ajou University
Li, Zongyuan Brown University
Malioutov, Mikhail Northeastern University
Maximilian, König TU Berlin & Berlin Mathematical School (BMS)
Menoukeu Pamen, Olivier University of Liverpool and African Institute of Mathematical Sciences Ghana
Millet, Annie Université Paris
Mosincat, Razvan University of Edinburgh
Neelima, Neelima University of Edinburgh
Oh, Tadahiro University of Edinburgh
Otto, Felix Max Planck Institute for Mathematics in the Sciences, Leipzig
Pardoux, Etienne Institut de Mathématiques de Marseille
Pelloni, Beatrice Heriot-Watt University
Phonsom, Chukiat University of Southern California
Pop, Camelia University of Minnesota
Rana, Nimit University of York
Randrianasolo, Tsiry Montanuniversität Leoben
Röckner, Michael Universität Bielefeld
Rozovsky, Boris Brown University
Sabanis, Sotirios University of Edinburgh
Sahu, Smita Durham University
Salkeld, William University of Edinburgh
Siska, David University of Edinburgh
Szpruch, Lukasz University of Edinburgh
Tan, Shuren 1991
Trenberth, William Maxwell Institute Graduate School
Uda, Kenneth University of Edinburgh
Veretennikov, Alexander University of Leeds
Wentzell, Alexander Tulane University
Wresch, Lukas Bielefeld University
Yuzhao, Wang University of Edinburgh
Zhang, Xiling University of Edinburgh
Zhang, Ying MIGSAA