Prof. Harald Oberhauser
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
- C8.1 Stochastic Differential Equations
- B8.4 Information theory
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).
I am interested in mathematics that allows to understand, model and make inference about systems that evolve under the influence of randomness.
- 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)
For recent research, see my personal homepage.