Analysis, Probability, Martingales, Stochastic Calculus and Differential Equations. Applications in finance and in other areas of pure mathematics.
Stochastic Analysis in all shapes and forms. Computing for mathematics (at a high level in C++). I run a weekly seminar for graduate students in Stochastic Analysis throughout the year as well as a weekly Stochastic Analysis seminar (typically on Tuesdays in the morning) with two outside speakers every Monday afternoon in term. Many of the Stochastic Analysis Graduate students are at St Anne’s and come to this so I get to know most of them.
Professor Lyons teaches the following courses: