István Gyöngy (born 1951) is a Hungarian mathematician working in the fields of stochastic differential equations,

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 have ...

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 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 several values of h, we ...

. He obtained his Candidate degree at Moscow State University 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 ( hu, Eötvös Loránd Tudományegyetem, ELTE) 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 Hung ...

of Budapest, he is currently a professor at the

University of Edinburgh The University of Edinburgh ( sco, University o Edinburgh, gd, Oilthigh Dhùn Èideann; abbreviated as ''Edin.'' in post-nominals) is a public research university based in Edinburgh, Scotland. Granted a royal charter by King James VI in 15 ...

, 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