Abdul-Lateef Haji-Ali

Seemingly random

I am an associate professor in the Maxwell Institute for Mathematical Sciences and the School of Mathematical and Computer Sciences, Heriot-Watt University. Before that, I was a Hooke Fellow in Mathematical Institute at the University of Oxford and a Fullford Junior Research Fellow in Somerville College. I obtained my PhD in Applied Mathematics in 2016 from King Abdullah University of Science and Technology, Saudi Arabia.

My research interests include: Uncertainty Quantification, ​Stochastic Differential Equation, Numerical methods for SDEs and PDEs, Multilevel Monte Carlo, Particle systems, Crowd modelling, Mean-field theory, Sparse Grids, Combination techniques, Multi-index techniques, Inverse problems, risk measures and adaptive sampling.

News

20 November 2024 I presented my talk on “Efficient Risk Estimation for the Credit Valuation Adjustment” in the “Probability Seminar at the University of Leeds”.
25 September 2024 New preprint “Bayesian computation with generative diffusion models by Multilevel Monte Carlo”.
4 September 2024 I presented a talk on “Efficient Risk Estimation for the Credit Valuation Adjustment” in the “Modern Applied and Computational Mathematics (MACM) Seminar in KIT”.
21 May 2024 I presented a talk on “Antithetic Milstein scheme for SPDEs” in the “Stochastic Numerics and Statistical Learning: Theory and Applications Workshop”.
29 February 2024 I presented a talk on “MLMC Techniques for Computing Probabilities” in the “SIAM Conference on Uncertainty Quantification” as part of the minisymposium “Theory and Simulation of Failure Probabilities and Rare Events”.
13-15 December 2023 I presented a talk on “An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equation” in the “Workshop on Monte Carlo methods”.
6-7 December 2023 I presented a talk on “An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equation” in the “The Linnaeus University Workshop on S(P)DEs, their numerics and applications”.
26 July 2023 New preprint “An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equations”.
04 February 2023 Paper published “State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables”.
14 January 2023 New preprint “Efficient Risk Estimation for the Credit Valuation Adjustment”.