Most branches of mathematics have big, sexy famous open problems. Number theory has the Riemann hypothesis and the Langlands program, among many others. Geometry had the Poincaré conjecture for a long time, and currently has the classification of 4-manifolds. PDE theory has the Navier-Stokes equation to deal with.
So what are the big problems in probability theory and stochastic analysis? I'm a grad student working in the field, but I can't name any major unsolved conjectures or open problems which are driving research. I've heard that stochastic Löwner evolutions are a big field of study these days, but I don't know what the conjectures or problems relating to them are.
Anyone have suggestions?