Prof. Harald Oberhauser
Academic Faculty
Associate member of the Oxford-Man Institute
Tutorial fellow at St. Hugh's College
+44 1865 615176
Address
Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research Interests:
I am interested in mathematics that allows to understand, model and make inference about systems that evolve under the influence of randomness.
Further Details:
I am looking for DPhil (PhD) students: if you are interested, do not hesitate to contact me as soon as possible (application deadlines are relatively early).
Teaching:
- C8.1 Stochastic Differential Equations
- B8.4 Communication theory
Major / Recent Publications:
- Kernels for sequentially ordered data with F. Kiraly. arXiv:1601.08169 (2016)
- Splitting methods for SPDEs: from robustness to financial engineering, optimal control and nonlinear filtering with C. Bayer. Springer Handbook on Splitting methods, 2016 (Editors R. Glowinski, S. Osher, W. Yin)
- Root’s barrier, viscosity solutions of obstacle problems and reflected FBSDEs with P. Gassiat, G. dos-Reis. Stoch. Proc. Appl. Vol 125 (2015)
- The functional Itō formula under the family of continuous semimartingale measures. Stoch. and Dyn., Vol 16, (2016)
- Rough path stability of (semi-)linear SPDEs with P. Friz. PTRF Vol 158 (2015)
- Robust filtering: Correlated noise and multidimensional observation with D. Crisan, J. Diehl, P. Friz Ann. Appl. Probab. Volume 23, Number 5 (2013)