(Diffusion-based / nonreversible) Markov chain Monte Carlo
Stochastic (partial) differential equations; especially stochastic Navier-Stokes equations with multiplicative noise
(Physically-based / real-time) rendering
(Real-time) global illumination (for games)
(Stochastic) fluid dynamics and animation
A variety of general problems in (constrained / multi-target / unbounded) optimization, functional / stochastic analysis, and (low-level / graphics) progamming; including gaming console graphics APIs