Research Interests

  • Numerical Approximations to Rough (P)DEs
  • Lévy Processes
  • Stochastic Ordinary Differential Equations
  • Stochastic Evolution Equations
  • Model Reduction for Stochastic Systems
    - Balanced Truncation for Linear Controlled Stochastic Differential Equations with Lévy Noise
    - Singular Perturbation Approximation for Linear Controlled Stochastic Differential Equations with Lévy Noise
    - Error Bound and Stability Analysis for Model Order Reduction Methods for Stochastic Systems
  • Galerkin Schemes for Controlled Stochastic Partial Differential Equations with Lévy Noise