MIGSAA Graduate Course on Stochastic Pathwise Integration and Stochastic Particle Systems
Gonçalo dos Reis, University of Edinburgh
Lukasz Szpruch, University of Edinburgh
We were delighted to host two renowned researchers: Mireille Bossy, INRIA Sophia Antipolis, and Peter Imkeller, Humboldt-Universität.
Bossy and Imkeller delivered courses on pathwise integration which relates heavily to the recent Fields Medal attributed to Martin Hairer and with strong links to physics and finance.They also spoke on stochastic particle systems and McKean-Vlasov type equations. These equations provide a probabilistic tool to study many nonlinear PDEs (Burgers Equations, Navier-Stokes Equations) and recently has been proved to be extremely useful in the study of classical solutions of the Master Equations that arise in the theory of Mean Field Games by J.-M. Lasry and P. Lions.