Lototsky, Sergey

University of Southern California, Los Angeles, CA, United States

The research goals of this project are to develop new analytical, statistical, and numerical methods for stochastic partial differential equations. There are three directions in the proposed research: Wiener Chaos decomposition for linear and nonlinear equations, analysis of stochastic partial differential equations in domains, and statistical inference for stochastic partial differential equations. Wiener Chaos decomposition is a stochastic analog of the classical Fourier method and is a powerful tool in the study of stochastic equations, from both analytical and numerical points of view. In particular, Wiener Chaos decomposition is the key component of several new numerical algorithms for nonlinear filtering and the stochastic Navier-Stokes equation. Analysis of stochastic partial differential equations in domains is necessary for development of a complete theory, similar to the one for deterministic partial differential equations. In addition to purely theoretical results about existence and uniqueness of solutions, this analysis leads to new numerical methods for such equations. Methods of statistical inference make it possible to relate an abstract equation to a concrete problem from applications. Unlike finite-dimensional systems, a consistent estimation in a stochastic partial differential equation is possible even when both the observation time and the amplitude of noise are fixed.

Stochastic partial differential equations are both an interesting mathematical object and an effective modelling tool in various branches of applied science, such as ecology, finance, meteorology, and navigation. Equations studied in this project can describe, for example, the term structure of interest rates, the propagation of an oil spill in the ocean, and the motion of the target on the radar screen. The research objectives of the project are to study mathematical properties of stochastic partial differential equations and to develop effective computational and statistical methods for relating an equation to a model. The educational objective of the project is to increase understanding of stochastic partial differential equations among the students and researchers both inside and outside of the mathematical community. This educational objective will be achieved by developing several basic and special topics graduate courses aimed at helping graduate students make a transition to independent research.

Stochastic partial differential equations (SPDEs) are both an interesting mathematical object and an effective modelling tool in various branches of applied science, such as ecology, finance, meteorology, and navigation. Equations studied in this project can describe, for example, the term structure of interest rates, the propagation of an oil spill in the ocean, and the motion of the target on the radar screen. The research objectives of the project are to study mathematical properties of stochastic partial differential equations and to develop effective computational and statistical methods for relating an equation to a model. The output over the four-year period is 15 publications. Beside the immediate topic of SPDEs, the result benefit other areas, such as functional analysis and asymptotic statistics. The educational objective of the project is to increase understanding of stochastic partial differential equations among the students and researchers both inside and outside of the mathematical community. Between Summer 2008 and Summer 2012, six special tropics graduate courses have been offered: Stochastic Partial Differential Equations, Stochastic Optimal Control, Ergodicity in Infinite-Dimensional Systems, Large Deviations, Malliavin Calculus, and Statistical Inference for Stochastic Partial Differential Equations. Enrollment in each class was about 10 students and often included students from outside the math department. A research-type graduate seminar in probability was developed by the PI and run every Fall and Spring semester starting with Fall 2010. Four students receive Ph.D. in Applied Mathematics under PI's supervision.

- Agency
- National Science Foundation (NSF)
- Institute
- Division of Mathematical Sciences (DMS)
- Application #
- 0803378
- Program Officer
- Tomek Bartoszynski

- Project Start
- Project End
- Budget Start
- 2008-07-01
- Budget End
- 2012-06-30
- Support Year
- Fiscal Year
- 2008
- Total Cost
- $180,000
- Indirect Cost

- Name
- University of Southern California
- Department
- Type
- DUNS #

- City
- Los Angeles
- State
- CA
- Country
- United States
- Zip Code
- 90089