From May 19 through May 23, the CIRM (Centre International de Rencontres Mathématiques) held a conference titled “Probability, Finance, and Signal” in honor of René Carmona, Princeton University’s Paul M. Wythes ’55 Professor of Engineering and Finance.
Hosted at CIRM in the south of France, the conference brought together international specialists related to the scientific work of Carmona. The topics discussed covered stochastic analysis, and more generally, probability theory and its connections with partial differential equations, with a particular focus on models of rational agents in mean-field interaction and their applications to financial mathematics. Several presentations also addressed signal theory, another area Carmona has worked on throughout his career.
CIRM is a a facility which attracts leading scientists to Marseille to disseminate the latest developments in mathematics and acts as an incubator for ambitious projects in interaction with other sciences.
René Carmona obtained a Ph.D. in probability from Marseille University where he held his first academic job. After time spent at Cornell and Princeton, he moved to the University of California at Irvine in 1981 and eventually returned to Princeton University in 1995. At Princeton, Carmona is a professor in the department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics and a member of the Program in Applied and Computational Mathematics. Carmona also spent several years as the Director of Graduate Studies of the Bendheim Center for Finance where he oversaw the Master in Finance program.
Carmona has been a Fellow of the Institute of Mathematical Statistics (IMS) since 1984, of the Society for Industrial and Applied Mathematics (SIAM) since 2009, and of the American Mathematical Society (AMS) since 2020. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering, a founding editor of the Electronic Journal & Communications in Probability, and the SIAM Journal on Financial Mathematics. He is on the editorial board of several peer-reviewed journals and book series and on the scientific board of several research institutes, including, more recently, the NSF Institute for Mathematical and Statistical Innovation (IMSI) in Chicago.
His publications include over one hundred fifty articles and eleven books in probability, statistics, mathematical physics, signal analysis, and financial mathematics. He has developed computer programs for teaching and research. He has worked on the commodity and energy markets as well as the credit markets, and he is recognized as a leading researcher and consultant in these areas. Over the last decade, Carmona’s research focused on the development of a probabilistic approach to Mean Field Games and Mean Field Control. His two-volume book on the subject, co-authored with F. Delarue, was the recipient of the J.L. Doob Prize, awarded every three years by the American Mathematical Society.