I'm a Courant Instructor/Assistant Professor at the Courant Institute of Mathematical Sciences, New York University.


I am interested in many areas of probability and applied mathematics, including data assimilation, multiscale modelling, SPDEs and rough path theory.

You can find my cv here.



Nov 2016 - New article! Ergodicity and Accuracy of Optimal Particle Filters for Bayesian Data Assimilation.

Jan 2016 - New article! Fluctuations in the heterogeneous multiscale methods for fast-slow systems.

Jan 2016 - Rough path recursions published in AoAP.


David Kelly
Courant Institute of Mathematical Sciences
New York University
251 Mercer Street
New York, N.Y. 10012-1185

Email: dtbkelly@gmail.com