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Robert Dalang

EPFL SB MATH PROB
MA B2 493 (Bâtiment MA)
Station 8
1015 Lausanne

Robert Dalang, né en 1961, a reçu le diplôme de Mathématicien-EPFL en 1983 et est lauréat du Prix Dommer. Il passe l'année académique 1985-86 à Cornell University. En 1987, il termine son doctorat en mathématiques à l'EPFL sous la direction du professeur Cairoli.

Elected committee for the Pension fund PUBLICA

Elected to this committee in Fall 2007 and then reelected for 2009-2012, I have been participating in the efforts needed so that our pension fund can evolve in a manner that preserves as much as possible the interests of EPFL’s employees. The passage from a defined benefits system to a defined contributions system freed the Federal Government from its long-time promises, by putting the burden of risk on the employees and the employer. The challenges that we encounter are many. The stock market crisis of 2008 was one of the first. Thanks to PUBLICA’s prudent investment policy, our pension fund has obtained a better performance than most other Swiss pension funds. A second challenge concerned the decrease in the pension conversion rate. Our committee succeeded in attenuating the impact of this change by preventing the decrease of our pensions while avoiding any increase in the employee monthly contributions. One of the next challenges concerns the long term rates of returns of our invested assets, which is a problem that is common to all pension funds. Our committee must formulate realistic objectives, while reminding our employer of its responsibilities to its employees. I feel that it would be useful to let all employees benefit from the legal, actuarial and financial experience that I have acquired during five years of work on this committee. In order to guarantee the continuity of our effort, I hope that the employees of EPFL will allow me to continue to serve the EPFL community for the next four years. Information concerning the activities of this elected committee can be found at http://organeparitairepublica.epfl.ch/

Élu à ce comité à l’automne 2007, puis réélu pour la période 2009–2012, je participe aux efforts entrepris afin que notre caisse de pension puisse évoluer d’une manière qui préserve autant que possible les intérêts des employés de l’EPFL. Le passage d’un système à prestations définies à un système à cotisations définies a libéré la Confédération de ses engagements de longue date, en transférant les risques aux employés et à l’employeur.

Les défis auxquels nous faisons face sont nombreux. La crise boursière de 2008 en a été l’un des premiers. Grâce à la politique d’investissement prudente de PUBLICA, notre caisse de pension a obtenu de meilleures performances que la plupart des autres caisses de pension suisses. Un second défi a concerné la baisse du taux de conversion des rentes. Notre comité a réussi à atténuer l’impact de ce changement en évitant une diminution des rentes, tout en préservant le niveau des cotisations mensuelles des employés.

L’un des prochains défis porte sur les rendements à long terme de nos actifs investis, un problème commun à l’ensemble des caisses de pension. Notre comité doit formuler des objectifs réalistes, tout en rappelant à notre employeur ses responsabilités envers ses employés.

Je pense qu’il serait utile de faire bénéficier l’ensemble des employés de l’expérience juridique, actuarielle et financière que j’ai acquise au cours de ces cinq années de travail au sein de ce comité. Afin de garantir la continuité de nos efforts, j’espère que les employés de l’EPFL me permettront de continuer à servir la communauté de l’EPFL durant les quatre prochaines années.

Des informations concernant les activités de ce comité élu peuvent être consultées à l’adresse suivante : http://organeparitairepublica.epfl.ch/

Hitting with Probability One for Stochastic Heat Equations with Additive Noise

R. C. DalangF. Pu

Journal Of Theoretical Probability. 2024-06-06. DOI : 10.1007/s10959-024-01342-4.

Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs

C. ChongR. C. Dalang

Bernoulli. 2023-08-01. DOI : 10.3150/22-BEJ1521.

Parabolic stochastic PDEs on bounded domains with rough initial conditions: moment and correlation bounds

D. CandilL. ChenC. Y. Lee

Stochastics And Partial Differential Equations-Analysis And Computations. 2023-09-29. DOI : 10.1007/s40072-023-00310-z.

Chung-type law of the iterated logarithm and exact moduli of continuity for a class of anisotropic Gaussian random fields

C. Y. LeeY. Xiao

Bernoulli. 2023-02-01. DOI : 10.3150/22-BEJ1467.

Local Nondeterminism and Local Times of the Stochastic Wave Equation Driven by Fractional-Colored Noise

C. Y. Lee

Journal Of Fourier Analysis And Applications. 2022-04-01. DOI : 10.1007/s00041-022-09914-w.

Propagation of singularities for the stochastic wave equation

C. Y. LeeY. Xiao

Stochastic Processes And Their Applications. 2022-01-01. DOI : 10.1016/j.spa.2021.09.013.

The Hausdorff measure of the range and level sets of Gaussian random fields with sectorial local nondeterminism

C. Y. Lee

Bernoulli. 2022-02-01. DOI : 10.3150/21-BEJ1342.

Localization errors of the stochastic heat equation

D. J.-M. Candil / R. Dalang (Dir.)

Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-7742.

Hausdorff dimension of the boundary of bubbles of additive Brownian motion and of the Brownian sheet

R. C. DalangT. Mountford

Dissertationes Mathematicae. 2021-11-04. DOI : 10.4064/dm811-9-2021.

Polarity Of Almost All Points For Systems Of Nonlinear Stochastic Heat Equations In The Critical Dimension

R. C. DalangC. MuellerY. Xiao

Annals Of Probability. 2021-09-01. DOI : 10.1214/21-AOP1516.

The domain of definition of the Levy white noise

J. FageotT. Humeau

Stochastic Processes And Their Applications. 2021-05-01. DOI : 10.1016/j.spa.2021.01.007.

Multiple points of Gaussian random fields

R. C. DalangC. Y. LeeC. MuellerY. Xiao

Electronic Journal Of Probability. 2021-01-01. DOI : 10.1214/21-EJP589.

Optimal lower bounds on hitting probabilities for non-linear systems of stochastic fractional heat equations

R. C. DalangF. Pu

Stochastic Processes And Their Applications. 2021-01-01. DOI : 10.1016/j.spa.2020.07.015.

On the density of the supremum of the solution to the linear stochastic heat equation

R. C. DalangF. Pu

Stochastics And Partial Differential Equations-Analysis And Computations. 2020-09-01. DOI : 10.1007/s40072-019-00151-9.

The Almost-Sure Asymptotic Behavior Of The Solution To The Stochastic Heat Equation With Levy Noise

C. ChongP. Kevei

Annals Of Probability. 2020-05-01. DOI : 10.1214/19-AOP1401.

High-Frequency Analysis Of Parabolic Stochastic Pdes

C. Chong

Annals Of Statistics. 2020-04-01. DOI : 10.1214/19-AOS1841.

Normal approximation of the solution to the stochastic heat equation with Levy noise

C. ChongT. Delerue

Stochastics And Partial Differential Equations-Analysis And Computations. 2020-06-01. DOI : 10.1007/s40072-019-00148-4.

Optimal lower bounds on hitting probabilities for stochastic heat equations in spatial dimension k >= 1

R. C. DalangF. Pu

Electronic Journal Of Probability. 2020-01-01. DOI : 10.1214/20-EJP438.

Path properties of the solution to the stochastic heat equation with Levy noise

C. ChongR. C. DalangT. Humeau

Stochastics And Partial Differential Equations-Analysis And Computations. 2019-03-01. DOI : 10.1007/s40072-018-0124-y.

Richard V. Kadison (1925-2018) Obituary

R. C. Dalang

Expositiones Mathematicae. 2019-01-01. DOI : 10.1016/j.exmath.2019.05.002.

Random field solutions to linear SPDEs driven by symmetric pure jump Levy space-time white noises

R. C. DalangT. Humeau

Electronic Journal Of Probability. 2019-01-01. DOI : 10.1214/19-EJP317.

Low dose photodynamic therapy promotes a cytotoxic immunological response in a murine model of malignant pleural mesothelioma

S. CavinJ. FagetA. GkastiY. HaoE. Meylan  et al.

2019-05-01. 106th Annual Congress of the Swiss-Society-of-Surgery, Berne, SWITZERLAND, May 15-17, 2019. p. 20-20.

Global Solutions To Stochastic Reaction-Diffusion Equations With Super-Linear Drift And Multiplicative Noise

R. C. DalangD. KhoshnevisanT. Zhang

Annals Of Probability. 2019-01-01. DOI : 10.1214/18-AOP1270.

Srishti Dhar Chatterji (1935-2017): In Memoriam

V. S. VaradarajanR. C. Dalang

Expositiones Mathematicae. 2018-01-01. DOI : 10.1016/j.exmath.2018.09.005.

The stochastic heat equation: hitting probabilities and the probability density function of the supremum via Malliavin calculus

F. Pu / R. Dalang (Dir.)

Lausanne, EPFL, 2018. DOI : 10.5075/epfl-thesis-8695.

Optimal solution and asymptotic properties of a stochastic control problem arising in sailboat trajectory optimization

C. Ciccarella / R. Dalang (Dir.)

Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8149.

Stochastic partial differential equations driven by Lévy white noises

T. M. J.-B. Humeau / R. Dalang (Dir.)

Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8223.

Moments And Growth Indices For The Nonlinear Stochastic Heat Equation With Rough Initial Conditions

L. ChenR. C. Dalang

Annals Of Probability. 2015. DOI : 10.1214/14-Aop954.

Multiple Points Of The Brownian Sheet In Critical Dimensions

R. C. DalangC. Mueller

Annals Of Probability. 2015. DOI : 10.1214/14-Aop912.

Stochastic optimization of sailing trajectories in an upwind regatta

R. C. DalangF. DumasS. SardyS. MorgenthalerJ. Vila

Journal Of The Operational Research Society. 2015. DOI : 10.1057/jors.2014.40.

A Quickest Detection Problem With An Observation Cost

R. C. DalangA. N. Shiryaev

Annals Of Applied Probability. 2015. DOI : 10.1214/14-Aap1028.

Moment bounds and asymptotics for the stochastic wave equation

L. ChenR. C. Dalang

Stochastic Processes And Their Applications. 2015. DOI : 10.1016/j.spa.2014.11.009.

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

R. C. DalangL. Vinckenbosch

Stochastic Processes And Their Applications. 2014. DOI : 10.1016/j.spa.2014.07.016.

Modeling an America's Cup Regatta as a Sequential Stochastic Game

J.-B. Rossel / R. Dalang (Dir.)

Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5929.

Moments, Intermittency, and Growth Indices for Nonlinear Stochastic PDE's with Rough Initial Conditions

L. Chen / R. Dalang (Dir.)

Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5712.

Critical Brownian Sheet Does Not Have Double Points

R. C. DalangD. KhoshnevisanE. NualartD. WuY. Xiao

Annals Of Probability. 2012. DOI : 10.1214/11-AOP665.

Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization

L. Vinckenbosch / R. Dalang (Dir.)

Lausanne, EPFL, 2012. DOI : 10.5075/epfl-thesis-5381.

Predicting The Ultimate Supremum Of A Stable Levy Process With No Negative Jumps

V. BernykR. C. DalangG. Peskir

Annals Of Probability. 2011. DOI : 10.1214/10-AOP598.

Stochastic integrals for spde's: A comparison

R. C. DalangL. Quer-Sardanyons

Expositiones Mathematicae. 2011. DOI : 10.1016/j.exmath.2010.09.005.

Stochastic Optimization of Sailing Trajectories in an America's Cup Race

F. Dumas / R. Dalang (Dir.)

Lausanne, EPFL, 2010. DOI : 10.5075/epfl-thesis-4884.

Intermittency properties in a hyperbolic Anderson problem

R. C. DalangC. Müller

Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 2009. DOI : 10.1214/08-AIHP199.

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

R. C. DalangD. KhoshnevisanE. Nualart

Probability Theory and Related Fields. 2009. DOI : 10.1007/s00440-008-0150-1.

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

R. C. DalangM. Sanz-Solé

American Mathematical Society.

The stochastic wave equation

R. C. Dalang

A Minicourse on Stochastic Partial Differential Equations; Springer Verlag, 2009. p. 39-71.

Introduction à la théorie des probabilités

R. C. DalangD. Conus

Lausanne: Presses Polytechniques et Universitaires Romandes.

Proceedings of the Fifth Seminar on Stochastic Analysis, Random Fields and Applications

R. C. DalangF. RussoM. Dozzi

2008

A Feynman-Kac-type formula for the deterministic and stochastic wave equations and other P.D.E.'s

R. C. DalangC. MüllerR. Tribe

Transactions of the American Mathematical Society. 2008. DOI : 10.1090/S0002-9947-08-04351-1.

The non-linear stochastic wave equation in high dimensions

D. ConusR. C. Dalang

Electronic Journal of Probability. 2008. DOI : 10.1214/EJP.v13-500.

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

V. BernykR. C. DalangG. Peskir

Annals of Applied Probability. 2008. DOI : 10.1214/07-AOP376.

The non-linear stochastic wave equation in high dimensions

D. Conus / R. Dalang (Dir.)

Lausanne, EPFL, 2008. DOI : 10.5075/epfl-thesis-4265.

Dynamical Dirichlet Mixture Model

L. ChenD. BarberJ.-M. Odobez

2007

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

R. C. DalangD. KhoshnevisanE. Nualart

ALEA Latin American Journal of Probability and Mathematical Statistics. 2007.

An optimal prediction problem in financial modelling

V. Bernyk / R. Dalang (Dir.)

Lausanne, EPFL, 2007. DOI : 10.5075/epfl-thesis-3967.

Hitting properties of parabolic S.P.D.E.'s with reflection

R. C. DalangC. MüllerL. Zambotti

Annals of Applied Probability. 2006. DOI : 10.1214/009117905000000792.

Second-order hyperbolic S.P.D.E.'s driven by homogeneous Gaussian noise on a hyperplane

R. C. DalangO. Lévêque

Transactions of the American Mathematical Society. 2006. DOI : 10.1090/S0002-9947-05-03740-2.

Une démonstration élémentaire du théorème central limite

R. C. Dalang

Elemente der Mathematik. 2006. DOI : 10.4171/EM/34.

Regularity of the sample paths of a class of second-order SPDE's

R. C. DalangM. Sanz-Solé

Journal of Functional Analysis. 2005. DOI : 10.1016/j.jfa.2004.11.015.

Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)

R. C. DalangA. Chaabouni

Presses Polytechniques et Universitaires Romandes.

Proceedings of the Fourth Seminar on Stochastic Analysis, Random Fields and Applications

R. C. DalangF. RussoM. Dozzi

2004

Potential theory for hyperbolic SPDEs

R. C. DalangE. Nualart

Annals of Applied Probability. 2004. DOI : 10.1214/009117904000000685.

Second-order hyperbolic S.P.D.E.'s driven by boundary noises

R. C. DalangO. Lévêque

Seminar on Stochastic Analysis, Random Fields and Applications IV; Birkhäuser, 2004. p. 83-93.

Second-order linear hyperbolic SPDEs driven by isotropic Gaussian noise on a sphere

R. C. DalangO. Lévêque

Annals of Applied Probability. 2004. DOI : 10.1214/aop/1079021472.

Recurrent lines in two-parameter isotropic stable Lévy sheets

R. C. DalangD. Khoshnevisan

Stochastic Processes and Their Applications. 2004. DOI : 10.1016/j.spa.2004.05.008.

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

R. C. DalangM.-O. Hongler

Annals of Applied Probability. 2004. DOI : 10.1214/105051604000000747.

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

R. C. DalangV. Bernyk

Mathematical Scientist (The). 2004.

Topics in spatial stochastic processes

V. CapassoB. G. IvanoffM. DozziR. C. DalangT. S. Mountford  et al.

Berlin: Springer Verlag.

Some non-linear S.P.D.E.'s that are second order in time

R. C. DalangC. Müller

Electronic Journal of Probability. 2003. DOI : 10.1214/EJP.v8-123.

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

R. C. DalangT. S. Mountford

Transactions of the American Mathematical Society. 2003. DOI : 10.1090/S0002-9947-02-03138-0.

Level sets and excursions of the Brownian sheet

R. C. Dalang

2003. C.I.M.E. Summer School, Martina Franca, Italy, July 1-8, 2001. p. 167-208. DOI : 10.1007/978-3-540-36259-3_5.

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

R. C. DalangC. OsinskiW. Marty

The Journal of Performance Measurement. 2002.

Proceedings of the Third Seminar on Stochastic Analysis, Random Fields and Applications

R. C. DalangF. RussoM. Dozzi

2002

Time-reversal in hyperbolic S.P.D.E. 's

R. C. DalangJ. B. Walsh

Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107766.

Eccentric behaviors of the Brownian sheet along lines

R. C. DalangT. S. Mountford

Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107769.

Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)

R. C. DalangA. Chaabouni

Lausanne: Presses Polytechniques et Universitaires Romandes.

Jordan curves in the level sets of additive Brownian motion

R. C. DalangT. S. Mountford

Transactions of the American Mathematical Society. 2001. DOI : 10.1090/S0002-9947-01-02811-2.

Corrections to: Extending the martingale measure stochastic integral with applications to spatially homogeneous S.P.D.E. 's

R. C. Dalang

Electronic Journal of Probability. 2001.

Anomalous diffusion and homogenization on an infinite number of scales

H. Owhadi / G. Ben Arous (Dir.)

Lausanne, EPFL, 2001. DOI : 10.5075/epfl-thesis-2340.

Level sets, bubbles and excursions of a Brownian sheet

R. C. DalangT. S. Mountford

Infinite dimensional stochastic analysis (Amsterdam, 1999); R. Neth. Acad. Arts Sci., Amsterdam, 2000. p. 117-128.

Proceedings of the Second Seminar on Stochastic Analysis, Random Fields and Applications

R. C. DalangF. RussoM. Dozzi

1999

Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's

R. C. Dalang

Electronic Journal of Probability. 1999. DOI : 10.1214/EJP.v4-43.

The stochastic wave equation in two spatial dimensions

R. C. DalangN. E. Frangos

Annals of Applied Probability. 1998. DOI : 10.1214/aop/1022855416.

Points of increase of the Brownian sheet

R. C. DalangT. S. Mountford

Probability Theory and Related Fields. 1997. DOI : 10.1007/s004400050099.

On Markov property of Lévy waves in two dimensions

R. C. DalangQ. Hou

Stochastic Processes and Their Applications. 1997. DOI : 10.1016/S0304-4149(97)00087-2.

Sequential stochastic optimization

R. CairoliR. C. Dalang

New York: Wiley.

Local structure of level sets of the Brownian sheet

R. C. DalangJ. B. Walsh

Stochastic analysis: random fields and measure-valued processes (Ramat Gan, 1993/1995); Bar-Ilan Univ., 1996. p. 57-64.

Points of increase of functions in the plane

R. C. DalangT. S. Mountford

Real Analysis Exchange. 1996.

Nondifferentiability of curves on the Brownian sheet

R. C. DalangT. S. Mountford

Annals of Applied Probability. 1996. DOI : 10.1214/aop/1042644712.

Optimal switching between two Brownian motions

R. CairoliR. C. Dalang

Stochastic analysis (Ithaca, NY, 1993); American Mathematical Society, 1995. p. 53-63.

Optimal switching between two random walks

R. CairoliR. C. Dalang

Annals of Applied Probability. 1995. DOI : 10.1214/aop/1176987812.

The structure of a Brownian bubble

R. C. DalangJ. B. Walsh

Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01200206.

Geography of the level sets of the Brownian sheet

R. C. DalangJ. B. Walsh

Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01192131.

The sharp Markov property of Lévy sheets

R. C. DalangJ. B. Walsh

Annals of Applied Probability. 1992. DOI : 10.1214/aop/1176989793.

The sharp Markov property of the Brownian sheet and related processes

R. C. DalangJ. B. Walsh

Acta Mathematica. 1992. DOI : 10.1007/BF02392978.

Equivalent martingale measures and no-arbitrage in stochastic securities market models

R. C. DalangA. MortonW. Willinger

Stochastics and Stochastics Reports. 1990.

Randomization in the two-armed bandit problem

R. C. Dalang

Annals of Applied Probability. 1990. DOI : 10.1214/aop/1176990946.

Optimal stopping of two-parameter processes on nonstandard probability spaces

R. C. Dalang

Transactions of the American Mathematical Society. 1989. DOI : 10.2307/2001425.

On randomized stopping points and perfect graphs

R. C. DalangL. E. J. TrotterD. de Werra

Journal of Combinatorial Theory, Series B. 1988. DOI : 10.1016/0095-8956(88)90076-7.

A prediction problem for the Brownian sheet

R. C. DalangF. Russo

Journal of Multivariate Analysis. 1988. DOI : 10.1016/0047-259X(88)90071-1.

On stopping points in the plane that lie on a unique optional increasing path

R. C. Dalang

Stochastics. 1988. DOI : 10.1080/17442508808833517.

On infinite perfect graphs and randomized stopping points on the plane

R. C. Dalang

Probability Theory and Related Fields. 1988. DOI : 10.1007/BF00334200.

Infoscience

Hitting with Probability One for Stochastic Heat Equations with Additive Noise

R. C. DalangF. Pu

Journal Of Theoretical Probability. 2024-06-06. DOI : 10.1007/s10959-024-01342-4.

Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs

C. ChongR. C. Dalang

Bernoulli. 2023-08-01. DOI : 10.3150/22-BEJ1521.

Parabolic stochastic PDEs on bounded domains with rough initial conditions: moment and correlation bounds

D. CandilL. ChenC. Y. Lee

Stochastics And Partial Differential Equations-Analysis And Computations. 2023-09-29. DOI : 10.1007/s40072-023-00310-z.

Chung-type law of the iterated logarithm and exact moduli of continuity for a class of anisotropic Gaussian random fields

C. Y. LeeY. Xiao

Bernoulli. 2023-02-01. DOI : 10.3150/22-BEJ1467.

Local Nondeterminism and Local Times of the Stochastic Wave Equation Driven by Fractional-Colored Noise

C. Y. Lee

Journal Of Fourier Analysis And Applications. 2022-04-01. DOI : 10.1007/s00041-022-09914-w.

Propagation of singularities for the stochastic wave equation

C. Y. LeeY. Xiao

Stochastic Processes And Their Applications. 2022-01-01. DOI : 10.1016/j.spa.2021.09.013.

The Hausdorff measure of the range and level sets of Gaussian random fields with sectorial local nondeterminism

C. Y. Lee

Bernoulli. 2022-02-01. DOI : 10.3150/21-BEJ1342.

Localization errors of the stochastic heat equation

D. J.-M. Candil / R. Dalang (Dir.)

Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-7742.

Hausdorff dimension of the boundary of bubbles of additive Brownian motion and of the Brownian sheet

R. C. DalangT. Mountford

Dissertationes Mathematicae. 2021-11-04. DOI : 10.4064/dm811-9-2021.

Polarity Of Almost All Points For Systems Of Nonlinear Stochastic Heat Equations In The Critical Dimension

R. C. DalangC. MuellerY. Xiao

Annals Of Probability. 2021-09-01. DOI : 10.1214/21-AOP1516.

The domain of definition of the Levy white noise

J. FageotT. Humeau

Stochastic Processes And Their Applications. 2021-05-01. DOI : 10.1016/j.spa.2021.01.007.

Multiple points of Gaussian random fields

R. C. DalangC. Y. LeeC. MuellerY. Xiao

Electronic Journal Of Probability. 2021-01-01. DOI : 10.1214/21-EJP589.

Optimal lower bounds on hitting probabilities for non-linear systems of stochastic fractional heat equations

R. C. DalangF. Pu

Stochastic Processes And Their Applications. 2021-01-01. DOI : 10.1016/j.spa.2020.07.015.

On the density of the supremum of the solution to the linear stochastic heat equation

R. C. DalangF. Pu

Stochastics And Partial Differential Equations-Analysis And Computations. 2020-09-01. DOI : 10.1007/s40072-019-00151-9.

The Almost-Sure Asymptotic Behavior Of The Solution To The Stochastic Heat Equation With Levy Noise

C. ChongP. Kevei

Annals Of Probability. 2020-05-01. DOI : 10.1214/19-AOP1401.

High-Frequency Analysis Of Parabolic Stochastic Pdes

C. Chong

Annals Of Statistics. 2020-04-01. DOI : 10.1214/19-AOS1841.

Normal approximation of the solution to the stochastic heat equation with Levy noise

C. ChongT. Delerue

Stochastics And Partial Differential Equations-Analysis And Computations. 2020-06-01. DOI : 10.1007/s40072-019-00148-4.

Optimal lower bounds on hitting probabilities for stochastic heat equations in spatial dimension k >= 1

R. C. DalangF. Pu

Electronic Journal Of Probability. 2020-01-01. DOI : 10.1214/20-EJP438.

Path properties of the solution to the stochastic heat equation with Levy noise

C. ChongR. C. DalangT. Humeau

Stochastics And Partial Differential Equations-Analysis And Computations. 2019-03-01. DOI : 10.1007/s40072-018-0124-y.

Richard V. Kadison (1925-2018) Obituary

R. C. Dalang

Expositiones Mathematicae. 2019-01-01. DOI : 10.1016/j.exmath.2019.05.002.

Random field solutions to linear SPDEs driven by symmetric pure jump Levy space-time white noises

R. C. DalangT. Humeau

Electronic Journal Of Probability. 2019-01-01. DOI : 10.1214/19-EJP317.

Low dose photodynamic therapy promotes a cytotoxic immunological response in a murine model of malignant pleural mesothelioma

S. CavinJ. FagetA. GkastiY. HaoE. Meylan  et al.

2019-05-01. 106th Annual Congress of the Swiss-Society-of-Surgery, Berne, SWITZERLAND, May 15-17, 2019. p. 20-20.

Global Solutions To Stochastic Reaction-Diffusion Equations With Super-Linear Drift And Multiplicative Noise

R. C. DalangD. KhoshnevisanT. Zhang

Annals Of Probability. 2019-01-01. DOI : 10.1214/18-AOP1270.

Srishti Dhar Chatterji (1935-2017): In Memoriam

V. S. VaradarajanR. C. Dalang

Expositiones Mathematicae. 2018-01-01. DOI : 10.1016/j.exmath.2018.09.005.

The stochastic heat equation: hitting probabilities and the probability density function of the supremum via Malliavin calculus

F. Pu / R. Dalang (Dir.)

Lausanne, EPFL, 2018. DOI : 10.5075/epfl-thesis-8695.

Optimal solution and asymptotic properties of a stochastic control problem arising in sailboat trajectory optimization

C. Ciccarella / R. Dalang (Dir.)

Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8149.

Stochastic partial differential equations driven by Lévy white noises

T. M. J.-B. Humeau / R. Dalang (Dir.)

Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8223.

Moments And Growth Indices For The Nonlinear Stochastic Heat Equation With Rough Initial Conditions

L. ChenR. C. Dalang

Annals Of Probability. 2015. DOI : 10.1214/14-Aop954.

Multiple Points Of The Brownian Sheet In Critical Dimensions

R. C. DalangC. Mueller

Annals Of Probability. 2015. DOI : 10.1214/14-Aop912.

Stochastic optimization of sailing trajectories in an upwind regatta

R. C. DalangF. DumasS. SardyS. MorgenthalerJ. Vila

Journal Of The Operational Research Society. 2015. DOI : 10.1057/jors.2014.40.

A Quickest Detection Problem With An Observation Cost

R. C. DalangA. N. Shiryaev

Annals Of Applied Probability. 2015. DOI : 10.1214/14-Aap1028.

Moment bounds and asymptotics for the stochastic wave equation

L. ChenR. C. Dalang

Stochastic Processes And Their Applications. 2015. DOI : 10.1016/j.spa.2014.11.009.

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

R. C. DalangL. Vinckenbosch

Stochastic Processes And Their Applications. 2014. DOI : 10.1016/j.spa.2014.07.016.

Modeling an America's Cup Regatta as a Sequential Stochastic Game

J.-B. Rossel / R. Dalang (Dir.)

Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5929.

Moments, Intermittency, and Growth Indices for Nonlinear Stochastic PDE's with Rough Initial Conditions

L. Chen / R. Dalang (Dir.)

Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5712.

Critical Brownian Sheet Does Not Have Double Points

R. C. DalangD. KhoshnevisanE. NualartD. WuY. Xiao

Annals Of Probability. 2012. DOI : 10.1214/11-AOP665.

Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization

L. Vinckenbosch / R. Dalang (Dir.)

Lausanne, EPFL, 2012. DOI : 10.5075/epfl-thesis-5381.

Predicting The Ultimate Supremum Of A Stable Levy Process With No Negative Jumps

V. BernykR. C. DalangG. Peskir

Annals Of Probability. 2011. DOI : 10.1214/10-AOP598.

Stochastic integrals for spde's: A comparison

R. C. DalangL. Quer-Sardanyons

Expositiones Mathematicae. 2011. DOI : 10.1016/j.exmath.2010.09.005.

Stochastic Optimization of Sailing Trajectories in an America's Cup Race

F. Dumas / R. Dalang (Dir.)

Lausanne, EPFL, 2010. DOI : 10.5075/epfl-thesis-4884.

Intermittency properties in a hyperbolic Anderson problem

R. C. DalangC. Müller

Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 2009. DOI : 10.1214/08-AIHP199.

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

R. C. DalangD. KhoshnevisanE. Nualart

Probability Theory and Related Fields. 2009. DOI : 10.1007/s00440-008-0150-1.

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

R. C. DalangM. Sanz-Solé

American Mathematical Society.

The stochastic wave equation

R. C. Dalang

A Minicourse on Stochastic Partial Differential Equations; Springer Verlag, 2009. p. 39-71.

Introduction à la théorie des probabilités

R. C. DalangD. Conus

Lausanne: Presses Polytechniques et Universitaires Romandes.

Proceedings of the Fifth Seminar on Stochastic Analysis, Random Fields and Applications

R. C. DalangF. RussoM. Dozzi

2008

A Feynman-Kac-type formula for the deterministic and stochastic wave equations and other P.D.E.'s

R. C. DalangC. MüllerR. Tribe

Transactions of the American Mathematical Society. 2008. DOI : 10.1090/S0002-9947-08-04351-1.

The non-linear stochastic wave equation in high dimensions

D. ConusR. C. Dalang

Electronic Journal of Probability. 2008. DOI : 10.1214/EJP.v13-500.

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

V. BernykR. C. DalangG. Peskir

Annals of Applied Probability. 2008. DOI : 10.1214/07-AOP376.

The non-linear stochastic wave equation in high dimensions

D. Conus / R. Dalang (Dir.)

Lausanne, EPFL, 2008. DOI : 10.5075/epfl-thesis-4265.

Dynamical Dirichlet Mixture Model

L. ChenD. BarberJ.-M. Odobez

2007

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

R. C. DalangD. KhoshnevisanE. Nualart

ALEA Latin American Journal of Probability and Mathematical Statistics. 2007.

An optimal prediction problem in financial modelling

V. Bernyk / R. Dalang (Dir.)

Lausanne, EPFL, 2007. DOI : 10.5075/epfl-thesis-3967.

Hitting properties of parabolic S.P.D.E.'s with reflection

R. C. DalangC. MüllerL. Zambotti

Annals of Applied Probability. 2006. DOI : 10.1214/009117905000000792.

Second-order hyperbolic S.P.D.E.'s driven by homogeneous Gaussian noise on a hyperplane

R. C. DalangO. Lévêque

Transactions of the American Mathematical Society. 2006. DOI : 10.1090/S0002-9947-05-03740-2.

Une démonstration élémentaire du théorème central limite

R. C. Dalang

Elemente der Mathematik. 2006. DOI : 10.4171/EM/34.

Regularity of the sample paths of a class of second-order SPDE's

R. C. DalangM. Sanz-Solé

Journal of Functional Analysis. 2005. DOI : 10.1016/j.jfa.2004.11.015.

Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)

R. C. DalangA. Chaabouni

Presses Polytechniques et Universitaires Romandes.

Proceedings of the Fourth Seminar on Stochastic Analysis, Random Fields and Applications

R. C. DalangF. RussoM. Dozzi

2004

Potential theory for hyperbolic SPDEs

R. C. DalangE. Nualart

Annals of Applied Probability. 2004. DOI : 10.1214/009117904000000685.

Second-order hyperbolic S.P.D.E.'s driven by boundary noises

R. C. DalangO. Lévêque

Seminar on Stochastic Analysis, Random Fields and Applications IV; Birkhäuser, 2004. p. 83-93.

Second-order linear hyperbolic SPDEs driven by isotropic Gaussian noise on a sphere

R. C. DalangO. Lévêque

Annals of Applied Probability. 2004. DOI : 10.1214/aop/1079021472.

Recurrent lines in two-parameter isotropic stable Lévy sheets

R. C. DalangD. Khoshnevisan

Stochastic Processes and Their Applications. 2004. DOI : 10.1016/j.spa.2004.05.008.

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

R. C. DalangM.-O. Hongler

Annals of Applied Probability. 2004. DOI : 10.1214/105051604000000747.

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

R. C. DalangV. Bernyk

Mathematical Scientist (The). 2004.

Topics in spatial stochastic processes

V. CapassoB. G. IvanoffM. DozziR. C. DalangT. S. Mountford  et al.

Berlin: Springer Verlag.

Some non-linear S.P.D.E.'s that are second order in time

R. C. DalangC. Müller

Electronic Journal of Probability. 2003. DOI : 10.1214/EJP.v8-123.

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

R. C. DalangT. S. Mountford

Transactions of the American Mathematical Society. 2003. DOI : 10.1090/S0002-9947-02-03138-0.

Level sets and excursions of the Brownian sheet

R. C. Dalang

2003. C.I.M.E. Summer School, Martina Franca, Italy, July 1-8, 2001. p. 167-208. DOI : 10.1007/978-3-540-36259-3_5.

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

R. C. DalangC. OsinskiW. Marty

The Journal of Performance Measurement. 2002.

Proceedings of the Third Seminar on Stochastic Analysis, Random Fields and Applications

R. C. DalangF. RussoM. Dozzi

2002

Time-reversal in hyperbolic S.P.D.E. 's

R. C. DalangJ. B. Walsh

Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107766.

Eccentric behaviors of the Brownian sheet along lines

R. C. DalangT. S. Mountford

Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107769.

Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)

R. C. DalangA. Chaabouni

Lausanne: Presses Polytechniques et Universitaires Romandes.

Jordan curves in the level sets of additive Brownian motion

R. C. DalangT. S. Mountford

Transactions of the American Mathematical Society. 2001. DOI : 10.1090/S0002-9947-01-02811-2.

Corrections to: Extending the martingale measure stochastic integral with applications to spatially homogeneous S.P.D.E. 's

R. C. Dalang

Electronic Journal of Probability. 2001.

Anomalous diffusion and homogenization on an infinite number of scales

H. Owhadi / G. Ben Arous (Dir.)

Lausanne, EPFL, 2001. DOI : 10.5075/epfl-thesis-2340.

Level sets, bubbles and excursions of a Brownian sheet

R. C. DalangT. S. Mountford

Infinite dimensional stochastic analysis (Amsterdam, 1999); R. Neth. Acad. Arts Sci., Amsterdam, 2000. p. 117-128.

Proceedings of the Second Seminar on Stochastic Analysis, Random Fields and Applications

R. C. DalangF. RussoM. Dozzi

1999

Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's

R. C. Dalang

Electronic Journal of Probability. 1999. DOI : 10.1214/EJP.v4-43.

The stochastic wave equation in two spatial dimensions

R. C. DalangN. E. Frangos

Annals of Applied Probability. 1998. DOI : 10.1214/aop/1022855416.

Points of increase of the Brownian sheet

R. C. DalangT. S. Mountford

Probability Theory and Related Fields. 1997. DOI : 10.1007/s004400050099.

On Markov property of Lévy waves in two dimensions

R. C. DalangQ. Hou

Stochastic Processes and Their Applications. 1997. DOI : 10.1016/S0304-4149(97)00087-2.

Sequential stochastic optimization

R. CairoliR. C. Dalang

New York: Wiley.

Local structure of level sets of the Brownian sheet

R. C. DalangJ. B. Walsh

Stochastic analysis: random fields and measure-valued processes (Ramat Gan, 1993/1995); Bar-Ilan Univ., 1996. p. 57-64.

Points of increase of functions in the plane

R. C. DalangT. S. Mountford

Real Analysis Exchange. 1996.

Nondifferentiability of curves on the Brownian sheet

R. C. DalangT. S. Mountford

Annals of Applied Probability. 1996. DOI : 10.1214/aop/1042644712.

Optimal switching between two Brownian motions

R. CairoliR. C. Dalang

Stochastic analysis (Ithaca, NY, 1993); American Mathematical Society, 1995. p. 53-63.

Optimal switching between two random walks

R. CairoliR. C. Dalang

Annals of Applied Probability. 1995. DOI : 10.1214/aop/1176987812.

The structure of a Brownian bubble

R. C. DalangJ. B. Walsh

Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01200206.

Geography of the level sets of the Brownian sheet

R. C. DalangJ. B. Walsh

Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01192131.

The sharp Markov property of Lévy sheets

R. C. DalangJ. B. Walsh

Annals of Applied Probability. 1992. DOI : 10.1214/aop/1176989793.

The sharp Markov property of the Brownian sheet and related processes

R. C. DalangJ. B. Walsh

Acta Mathematica. 1992. DOI : 10.1007/BF02392978.

Equivalent martingale measures and no-arbitrage in stochastic securities market models

R. C. DalangA. MortonW. Willinger

Stochastics and Stochastics Reports. 1990.

Randomization in the two-armed bandit problem

R. C. Dalang

Annals of Applied Probability. 1990. DOI : 10.1214/aop/1176990946.

Optimal stopping of two-parameter processes on nonstandard probability spaces

R. C. Dalang

Transactions of the American Mathematical Society. 1989. DOI : 10.2307/2001425.

On randomized stopping points and perfect graphs

R. C. DalangL. E. J. TrotterD. de Werra

Journal of Combinatorial Theory, Series B. 1988. DOI : 10.1016/0095-8956(88)90076-7.

A prediction problem for the Brownian sheet

R. C. DalangF. Russo

Journal of Multivariate Analysis. 1988. DOI : 10.1016/0047-259X(88)90071-1.

On stopping points in the plane that lie on a unique optional increasing path

R. C. Dalang

Stochastics. 1988. DOI : 10.1080/17442508808833517.

On infinite perfect graphs and randomized stopping points on the plane

R. C. Dalang

Probability Theory and Related Fields. 1988. DOI : 10.1007/BF00334200.

Teaching & PhD

Past Phd As Director

Adriana Climescu-Haulica, Olivier Lévêque, Yannick Zufferey, Eulalia Nualart Dexeus, Violetta Bernyk, Daniel Conus, Frédéric Dumas, Laura Vinckenbosch, Jean-Benoît Rossel, Le Chen, Thomas Humeau, Carlo Ciccarella, Fei Pu, David Jean-Michel Candil

Courses

Analysis III (for SV, MT)

MATH-203(a)

The course studies the fundamental concepts of vector analysis and Fourier-Laplace analysis with a view to their use in other courses and for solving multidisciplinary problems in science and engineering.

Analysis IV (for SV, MT)

MATH-207(a)

This course is an introduction to the theory of Fourier series, Fourier transforms (including for tempered distributions) and Laplace transforms, and to their use in the resolution of ordinary differential equations and partial differential equations.

Theory of stochastic calculus

MATH-431

Introduction to the mathematical theory of stochastic calculus: construction of the Ito stochastic integral, proof of the Ito formula, introduction to stochastic differential equations, Girsanov's theorem and the Feynman-Kac formula, the martingale representation theorem.