Numerical methods for stochastic models: control, uncertainty quantification, mean-field

July 17 - August 25, CIRM, Marseille

CEMRACS concept

The CEMRACS is a scientific event of the SMAI (the french Society of Applied and Industrial Mathematics). The Cemracs concept was initiated in 1996 by Yvon Maday and Frédéric Coquel and takes place every year at CIRM in Luminy (Marseille, France) during 6 weeks. The goal of this event is to bring together scientists from both the academic and industrial communities and discuss these topics.
During the first week, a classical summer school is proposed. It consists of several lectures given by leading scientists and related to the topics of the research projects. The remaining 5 weeks are dedicated to working on the rechearch projects, possibly after a morning seminar.


Cemracs'17 will be the twenty-second of the series, devoted this year to the study of advanced numerical methods for the analysis of stochastic models associated with stochastic control problems, uncertainty propagation analysis or mean-field type interaction phenomena. These models are echoes many industrial applications (production optimization systems, life sciences, neuroscience, geophysics, fluid mechanics, risk management in finance, etc.). The main difficulty is the non-linearity or the high dimension of the problems encountered in practice.
Academic research has been very active in recent years, offering different approaches in parallel. However, it remains relatively compartmentalized in disciplinary or application fields. The objective of this CEMRACS is to take stock of various techniques among the most advanced (both from the academic and applicative view-points), and to encourage interactions between the different communities working on these topics.
Cemracs'17 will consist of two joint events:


Bruno Bouchard (CEREMADE, Paris Dauphine),
Jean-Francois Chassagneux (LPMA, Université Paris Diderot),
Francois Delarue (LJAD, Univ. Nice),
Emmanuel Gobet (CMAP, Ecole Polytechnique),
Jérome Lelong (LJK, Ensimag).

To contact the organizers :

Scientific committee

Rainer Buckdahn (LMB, Université de Bretagne Occidentale)
Josselin Garnier (CMAP, Ecole Polytechnique)
Antoine Lejay (TOSCA, INRIA Nancy)
Tony Lelièvre (CERMICS, ENPC)
Huyen Pham (LPMA, Université Paris Diderot)


ANR CEREMADE CMAP Laboratoire JA Dieudonné Laboratoire Jean Kuntzmann Laboratoire de Probabilités et Modèlles Aléatoires Institut Louis Bachelier