István Gyöngy (born 1951) is a Hungarian mathematician working in the fields of

stochastic differential equation A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs have many applications throughout pure mathematics an ...

stochastic partial differential equation Stochastic partial differential equations (SPDEs) generalize partial differential equations via random force terms and coefficients, in the same way ordinary stochastic differential equations generalize ordinary differential equations. They hav ...

s and their applications to nonlinear filtering and stochastic control. Recently, he has focused his attention on numerical analysis and especially accelerated numerical methods, making use of

Richardson extrapolation In numerical analysis, Richardson extrapolation is a Series acceleration, sequence acceleration method used to improve the rate of convergence of a sequence of estimates of some value A^\ast = \lim_ A(h). In essence, given the value of A(h) for se ...

. He obtained his Candidate degree at

Moscow State University Moscow State University (MSU), officially M. V. Lomonosov Moscow State University,. is a public university, public research university in Moscow, Russia. The university includes 15 research institutes, 43 faculties, more than 300 departments, a ...

in 1981 under the supervision of Nicolai V. Krylov. Formerly at the Department of Probability Theory and Statistics of the

Eötvös Loránd University Eötvös Loránd University (, ELTE, also known as ''University of Budapest'') is a Hungarian public research university based in Budapest. Founded in 1635, ELTE is one of the largest and most prestigious public higher education institutions in ...

of Budapest, he is currently a professor at the

University of Edinburgh The University of Edinburgh (, ; abbreviated as ''Edin.'' in Post-nominal letters, post-nominals) is a Public university, public research university based in Edinburgh, Scotland. Founded by the City of Edinburgh Council, town council under th ...

, where he is head of the Probability and Stochastic Analysis research group.University of Edinburgh School of Mathematics Research Group Webpage, http://www.maths.ed.ac.uk/research/psa.

References

{{DEFAULTSORT:Gyongy, Istvan Living people 20th-century Hungarian mathematicians 21st-century Hungarian mathematicians Academics of the University of Edinburgh Probability theorists 1951 births