CA24104 - Stochastic Differential Equations: Computation, Inference, Applications (STOCHASTICA)

Stochastic differential equations (SDEs) are used to model phenomena under the influence of random
noise and uncertainty and are useful in an extraordinary range of applications. In health, SDE models of
tumour growth can help medical practitioners design interventions. In clean energy, they can model airflow
around wind turbine blades, and enable multiscale modelling of entire wind farms and energy grids by
representing small scale effects as noise. In computing, SDEs can be used to develop training algorithms
for deep learning algorithms.
The development and effective deployment of stochastic models requires input from a broad range of
specialist experts: applied modellers, theoretical mathematicians, numerical analysts, and statisticians, all
guided by the needs of stakeholders in academia and industry. However, in the current European research
landscape, there is no large scale framework enabling these communities to interact, and opportunities for
goal-driven research progress that is informed by all relevant expertise are being lost.
Under the umbrella of computational stochastics, STOCHASTICA will bring together members of all of
these communities to create a network of researchers with common goals informed by academic and
industry partners. The work of the Action will generate a computational toolbox including a database of test
problems, implementation guidance, and accessible descriptions of mathematical quality that empower nonspecialist
experts to make appropriate and routine use of stochastic models in applications such as natural
resource management, renewable energy transmission, medical and public health applications including
epidemiology and models of tumour growth.