Chaire de Probabilités - PROB

Chaire de Probabilités PROB

Prof. Robert C. Dalang

Robert Dalang a reçu le diplôme de Mathématicien-EPFL en 1983 et est lauréat du Prix Dommer. Il passe l'année 1985-86 à Cornell University (USA) comme chercheur invité. Il obtient le doctorat au Département de mathématiques de l'EPFL en 1987. Son domaine de spécialisation est la théorie des processus stochastiques.

En 1987, Robert Dalang est nommé professeur assistant au Département de statistiques de l'Université de Californie à Berkeley (USA). En 1988, il reçoit une bourse post-doctorale du Fonds national scientifique américain et effectue des recherches sur les propriétés markoviennes de processus stochastiques à plusieurs paramètres.

En 1990, il est nommé à Tufts University (Boston, USA). Il est promu professeur associé en mai 1993. Une partie importante de ses recherches se font dans le cadre de contrats avec le Fonds national scientifique américain et l'Office de la recherche de l'armée américaine. En collaboration avec le Prof. R. Cairoli du Département de mathématiques de l'EPFL, il a écrit un livre sur l'optimisation stochastique séquentielle publié en 1996 aux éditions John Wiley.

M. Dalang est nommé professeur extraordinaire de probabilités au Département de mathématiques en 1995 puis professeur ordinaire en 1998. Il y poursuit des travaux de recherche en théorie des processus stochastiques et en probabilités appliquées et participe à l'enseignement des processus stochastiques, de la théorie des probabilités et des cours de mathématiques aux sections d'ingénieurs.

PUBLICATIONS DEPUIS 1999

Research articles

Extending the martingale measure stochastic integral with applications to spatially homogeneous s.p.d.e.'s.

Electronic J. of Probab. 4-6 (1999), 1-29.

Level sets, bubbles and excursions of a Brownian sheet.

with T. Mountford.

Proceedings of Akademie Colloquium "Infinite Dimensional Stochastic Analysis" February 11-12, 1999.

Ph. Clément, F. den Hollander, J. van Neerven and B. de Pagter, eds, Royal Netherlands Akademie of Arts and Sciences, Amsterdam, (2000), pp. 117-128.

Corrections to: Extending the martingale measure stochastic integral with applications to spatially homogeneous s.p.d.e.'s.

Electronic J. of Probab. 6 (2001), 5pp.

Jordan curves in the level sets of additive Brownian motion.

with T. Mountford.

Trans. Amer. Math. Soc. 353-9 (2001), 3531-3545.

Eccentric behaviors of the Brownian sheet along lines.

with T. Mountford.

Annals Probab. 30-1 (2002), 293-322.

Time-reversal in hyperbolic s.p.d.e.'s.

with J.B. Walsh.

Annals Probab. 30-1 (2002), 213-252.

Performance of quantitative versus passive investing: a comparison in global markets.

with C. Osinski and W. Marty.

The Journal of Performance Measurement 6-2 (2002), 29-44.

Non-independence of excursions of the Brownian sheet and of additive Brownian motion.

with T. Mountford.

Trans. Amer. Math. Soc. 355 (2003), 967-985

Some non-linear s.p.d.e.'s that are second order in time.

with C. Mueller.

Electronic Journal of Probability 8-1 (2003), 1-21.

Potential theory for hyperbolic spde's.

with E. Nualart.

Annals Probab. 32 (2004), 2099-2148.

Second-order linear hyperbolic s.p.d.e.'s driven by isotropic Gaussian noise on a sphere.

with O. Lévèque.

Annals Probab. 32 (2004), 1068-1099.

Second-order hyperbolic SPDE's driven by boundary noises.

with O. Lévèque.

Seminar on Stochastic Analysis, Random Fields and Applications IV, Ascona, Switzerland 2002.

R.C. Dalang, M. Dozzi and F. Russo, eds, Progress in Probability 58, Birkhäuser (2004), 83-93.

The right time to sell a stock whose price is driven by Markovian noise.

with M.-O. Hongler.

Annals Applied Probab. 14-4 (2004), 2176-2201.

A mathematical model for `Who wants to be a millionaire?'.

with V. Bernyk.

The Mathematical Scientist 29 (2004), 85-100.

Recurrent lines in two-parameter isotropic stable Lévy sheets.

with D. Khoshnevisan.

Stochastic Processes and Their Applications 114 (2004), 81-107.

Regularity of the sample paths of a class of second order spde's.

with M. Sanz-Solé.

J. Functional Analysis 227 (2005), 304-337.

Second-order hyperbolic s.p.d.e.'s driven by homogeneous Gaussian noise on a hyperplane.

with O. Lévèque.

Transactions of the American Mathematical Society 368 (2006), 2123-2159.

Hitting properties of parabolic s.p.d.e.'s with reflection.

with C. Mueller and L. Zambotti.

Annals Probab. 34 (2006), 1423-1450.

Une démonstration élémentaire du théorème central limite.

Elemente der Mathematik 61 (2006), 65-73.

Hitting probabilities for systems of non-linear stochastic heat equations with additive noise.

with D. Khoshnevisan and E. Nualart.

ALEA 3 (2007), 231-271.

The law of the supremum of a stable Lévy process with no negative jumps.

with V. Bernyk and G. Peskir.

Annals Probab. 36-5 (2008), 1777-1789.

The non-linear stochastic wave equation in high dimensions.

with D. Conus.

Electronic Journal of Probability 13 (2008), 629-670.

A Feynman-Kac-type formula for the deterministic and stochastic wave equations and other p.d.e.'s.

with C. Mueller and R. Tribe.

Transactions of the American Mathematical Society 360 (2008), 4681-4703.

Hölder-Sobolev regularity of the solution to the stochastic wave equation in dimension 3.

with M. Sanz-Solé.

Memoirs of the American Mathematical Society 199-931 (2009), 72 pages.

Hitting probabilities for systems of non-linear stochastic heat equations with multiplicative noise.

with D. Khoshnevisan and E. Nualart.

Probab. Theory and Rel. Fields 144 (2009), 371-427.

Intermittency properties in a hyperbolic Anderson problem.

with C. Mueller.

Annales de l'Institut Henri Poincaré 45-4 (2009), 1150-1164.

Criteria for hitting probabilities with applications to systems of stochastic wave equations.

with M. Sanz-Solé.

The Bernoulli Journal 16-4 (2010), 1343-1368.

Stochastic integrals for spde's: a comparison.

with L. Quer-Sardanyons.

Expositiones Mathematicae 29-1 (2011), 67-109.

Predicting the Ultimate Supremum of a Stable Lévy Process with No Negative Jumps.

with V. Bernyk and G. Peskir.

Annals Probab. 39-6 (2011).

Critical Brownian sheet does not have double points.

with D. Khoshnevisan, E. Nualart, D. Wu, Y. Xiao.

Annals Probab. 40-4 (2012).

Hitting probabilities for systems of non-linear stochastic heat equations in spatial dimension k >= 1.

with D. Khoshnevisan and E. Nualart.

Stochastic PDEs Analysis and Computations (2013), 94-151.

Hitting probabilities for non-linear systems of stochastic waves.

with M. Sanz-Solé.

Memoirs of the American Mathematical Society (2015), VOl.237.

The nonlinear stochastic heat equation with rough initial data: a summary of some new results.

with Le Chen.

(preprint) (2012).

Optimal expulsion and optimal confinement of a Brownian particle with a switching cost.

with L. Vinckenbosch.

Stochastic Processes and Their Applications (2014), 4050-4079.

A quickest detection problem with an observation cost.

with A.N. Shiryaev.

Annals of Applied Probability (2015), 1475-1512.

Stochastic optimization of sailing trajectories in an upwind regatta.

with F. Dumas, S. Morgenthaler and S. Sardy.

Journal of the Operational Research Society (2015), 807-821.

Multiple points of the Brownian sheet in critical dimensions.

with C. Mueller.

Annals Probab. (2015), 1577-1593.

Holder continuity of solutions to SPDEs with reflection.

with T. Zhang.

Communications in Probability and Statistics 1-2 (2013), 133-142.

Moments and growth indices for the nonlinear stochastic heat equation with rough initial conditions.

with L. Chen.

Annals Probab. (2015), 3006-3051.

Holder-continuity for the nonlinear stochastic heat equation with rough initial conditions.

with L. Chen.

Stochastic PDEs: Analysis and Computations. (2015), 316-352.

Moment bounds and asymptotics for the stochastic wave equation.

with L. Chen.

Stoch. Proc. and Their Applications. (2015), 1605-1628.

Moments, Intermittency and Growth Indices for the Nonlinear Fractional Stochastic Heat Equation.

with L. Chen.

Stochastic PDEs: Analysis and Computations. (2015), 360-397.

Hausdorff Dimension of the boundary of bubbles of additive Brownian motion and of the Brownian sheet.

with T. Mountford.

(in preparation) (2012).

Monograph

Sequential Stochastic Optimization.

with R. Cairoli.

10 chapters, xii + 327 pages, (1996), Wiley, New York.

Lecture Notes

Level sets and excursions of the Brownian sheet.

CIME 2001 summer school Topics in Spatial Stochastic Processes (Merzbach, E., ed) Lect. Notes in Math. 1802, Springer Verlag (2003), 167-208.

The stochastic wave equation.

A Minicourse on Stochastic Partial Differential Equations Salt Lake City, Utah, 2006 (Khoshnevisan, D. and Rassoul-Agha, F., eds) Lect. Notes in Math. 1962, Springer Verlag (2008), 39-71.

Conference proceedings edited

Seminar on Stochastic Analysis, Random Fields and Applications (Ascona, Switzerland 1996).

with M. Dozzi and F. Russo.

Progress in Probability 45, Birkhäuser (1999) (20 articles).

Seminar on Stochastic Analysis, Random Fields and Applications III (Ascona, Switzerland 1999).

with M. Dozzi and F. Russo.

Progress in Probability 52, Birkhäuser (2002) (21 articles).

Seminar on Stochastic Analysis, Random Fields and Applications IV (Ascona, Switzerland 2002).

with M. Dozzi and F. Russo.

Progress in Probability 58, Birkhäuser (2004) (19 articles).

Seminar on Stochastic Analysis, Random Fields and Applications V (Ascona, Switzerland 2005).

with M. Dozzi and F. Russo.

Progress in Probability 59, Birkhäuser (2008) (28 articles).

Seminar on Stochastic Analysis, Random Fields and Applications VI (Ascona, Switzerland 2008).

with M. Dozzi and F. Russo.

Progress in Probability 63, Birkhäuser (2011) (26 articles).

Seminar on Stochastic Analysis, Random Fields and Applications VII (Ascona, Switzerland 2011).

with M. Dozzi and F. Russo.

Progress in Probability 67, Birkhäuser (2013) (23 articles).

Stochastic Analysis, a Series of Lectures (Centre Interfacultaire Bernoulli, EPFL).

with M. Dozzi and F. Russo.

Progress in Probability 68, Birkhäuser (2015) (13 articles).

Textbook

Algèbre linéaire: Aide-mémoire, exercices et applications.

with A. Chaabouni.

16 chapters, xii + 322 pages, (2001), Presses Polytechniques et Universitaires Romandes.

Algèbre linéaire: Aide-mémoire, exercices et applications 2ème éd.

with A. Chaabouni.

17 chapters, xii + 348 pages, (2004), Presses Polytechniques et Universitaires Romandes.

Introduction à la théorie des probabilités.

with D. Conus.

11 chapters, xii + 204 pages, (2008), Presses Polytechniques et Universitaires Romandes.

Introduction à la théorie des probabilités (2nd ed).

with D. Conus.

11 chapters, xii + 212 pages, (2015), Presses Polytechniques et Universitaires Romandes.

  • Managing Editor, Expo. Math. (2001 - present).
  • Associate Editor, EJP/ECP (2004 - present).
  • Coorganiser of the Seminars 2 to 7 on Stochastic Analysis and Applications, Ascona, Switzerland.

Contact

Prof. Robert C. Dalang

Institut de mathématiques
EPFL
Station 8
CH-1015 Lausanne

robert.dalang@epfl.ch
Tél : +41 (0) 21 69 325 51
Fax : +41 (0) 21 69 353 80