Welcome to my website. I am a tenure track Assistant Professor (Laufbahnstelle) at TU Wien in the Institute of Analysis and Scientific Computing (ASC). You can reach me at mate.gerencser*at*tuwien.ac.at

My research interest lies in stochastic analysis: stochastic PDEs, regularity structures, rough paths, regularisation by noise, and numerical aspects of stochastic equations.

Open positions: Predoctoral (PhD student) and postdoctoral positions are available in my group, interested parties are encouraged to contact me directly.

Publications


  1. Quantifying a convergence theorem of Gyöngy and Krylov
    with K. Dareiotis and K. Lê
    arXiv:2101.12185
  2. Regularisation by regular noise
    arXiv:2009.08418
  3. Singular paths spaces and applications
    with C. Bellingeri and P. K. Friz
    arXiv:2003.03352
  4. Porous media equations with multiplicative space-time white noise
    with K. Dareiotis and B. Gess
    Ann. Inst. H. Poincarée Probab. Statist, to appear (2021+), arXiv:2002.12924
  5. Approximation of SDEs - a stochastic sewing approach
    with O. Butkovsky and K. Dareiotis
    Probab. Theory Related Fields, to appear (2021+), arXiv:1909.07961
  6. Nondivergence form quasilinear heat equations driven by space-time white noise
    Ann. Inst. H. Poincaré Anal. Non Linéaire (2020), doi:10.1016/j.anihpc.2020.01.003 arXiv:1902.07635
  7. On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
    with K. Dareiotis
    Electron. J. Probab. (2020), doi:10.1214/20-EJP479, arXiv:1812.04583
  8. Entropy solutions for stochastic porous medium equations
    with K. Dareiotis and B. Gess
    J. Differential Equations (2019), doi:10.1016/j.jde.2018.09.012, arXiv:1803.06953
  9. A solution theory for quasilinear singular SPDEs
    with M. Hairer
    Comm. Pure Appl. Math. (2019), doi:10.1002/cpa.21816, arXiv:1712.01881
  10. Boundary regularity of stochastic PDEs
    Ann. Probab. (2019), doi:10.1214/18-AOP1272, arXiv:1705.05364
  11. Singular SPDEs in domains with boundaries
    with M. Hairer
    Probab. Theory Related Fields (2019), doi:10.1007/s00440-018-0841-1, arXiv:1702.06522
  12. On stochastic differential equations with arbitrarily slow convergence rates for strong approximation in two space dimensions
    with A. Jentzen and D. Salimova
    Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. (2017) doi:10.1098/rspa.2017.0104, arXiv:1702.03229
  13. A Feynman-Kac formula for stochastic Dirichlet problems
    with I. Gyöngy
    Stochastic Process. Appl. (2019) doi:10.1016/j.spa.2018.04.003, arXiv:1611.04177
  14. Localization errors in solving stochastic partial differential equations in the whole space
    with I. Gyöngy
    Math. Comp. (2017), doi:10.1090/mcom/3201, arXiv:1508.05535
  15. Local L-estimates, weak Harnack inequality, and stochastic continuity of solutions of SPDEs
    with K. Dareiotis
    J. Differential Equations (2016), doi:10.1016/j.jde.2016.09.038, arXiv:1503.04472
  16. On the solvability of degenerate stochastic partial differential equations in Sobolev spaces
    with I. Gyöngy and N. V. Krylov
    Stoch. PDE: Anal. Comp. (2015), doi:10.1007/s40072-014-0042-6, arXiv:1404.4401
  17. On the boundedness of solutions of SPDEs
    with K. Dareiotis
    Stoch. PDE: Anal. Comp. (2015), doi:10.1007/s40072-014-0043-5, arXiv:1312.3843
  18. Finite difference schemes for stochastic partial differential equations in Sobolev spaces
    with I. Gyöngy
    Appl. Math. Optim. (2015), doi:10.1007/s00245-014-9272-2, arXiv:1308:4614

Teaching


I am currently teaching the course Stochastic differential equations and their numerics at TU Wien (21/22 Winter Semester). Detailed information to follow on TISS & TUWEL in due time.

Master projects in theoretical and numerical aspects of stochastic analysis are available, further information is available via e-mail.

Past teaching (TU Wien)
  • Stochastic PDEs 20/21 SS
  • Stochastic differential equations and their numerics 20/21 WS

Projects


I am currently leading the FWF Stand-Alone project P 34992 Regularisation by noise in discrete and continuous systems. Open positions are available, further information is available via e-mail.