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Short CV
Research
Teaching
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Research Topics:
- Optimal switching and applications in finance and economics.
- Numerical approximations of stochastic (partial) differential equations.
- Stochastic filtering.
Papers and Publications:
- Optimal switching problems under partial information (with K. Nyström and M. Olofsson), Monte Carlo Methods and Applications, Vol. 21, Issue 2, pp. 91-120, 2015.
- Generalised particle filters with Gaussian mixtures (with D. Crisan), Stochastic Processes and their Applications, Vol. 125, Issue 7, pp. 2643-2673, 2015.
- A central limit type theorem for the Gaussian mixture approximations to the nonlinear filtering problem (with D. Crisan), submitted, 2014. ArXiv:1401.6592.
- Generalised particle filtes with Gaussian measures (with D. Crisan), Proceedings of 19th European Signal Processing Conference, pp. 659-663, 2011. PDF.
[Ranked among the top papers (by the reviewers) of the conference]
- Generalised particle filters, Ph.D. Thesis, Imperial College London, 2013. PDF.
- Continuous time mean-variance portfolio selection problem, M.Sc. Dissertation, University of Oxford, 2008. PDF.
Conference and Seminar Presentations:
- 07/2015:
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(Contributed) 38th Conference on Stochastic Processes and their Applica-
tions, University of Oxford, Oxford, United Kingdom. |
- 06/2015:
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(Contributed) 5th International IMS-FIPS Workshop, Rutgers University, New Jersey, United States. |
- 12/2014:
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(Invited) Mathematics and Probability Seminar, Nankai University, Tianjin, China. |
- 08/2014:
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(Short Communication) International Congress of Mathematicians (ICM 2014), Coex, Seoul, Korea. |
- 07/2014:
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(Flash Talk) 16th Meeting of New Researchers in Statistics and Probability, Harvard University, Cambridge, Massachusetts, United States. |
- 07/2014:
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(Contributed) 11th International Vilnius Conference on Probability Theory and Mathematical Statistics, Vilnius, Lithuania. |
- 04/2014:
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(Invited) Workshop on Monte Carlo Inference for High-Dimensional Statistical Models, Isaac Newton Institute for Mathematical Sciences, Cambridge, United Kingdom. |
- 03/2013:
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(Invited) Analysis and Stochastics Seminar, Uppsala University, Uppsala, Sweden. |
- 03/2013:
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(Invited) Financial Mathematics Seminar, Uppsala University, Uppsala, Sweden. |
- 09/2012:
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(Invited) Data Assimilation Conference, University of Oxford, Oxford, United Kingdom. |
- 09/2011:
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(Contributed) 4th European Summer School in Financial Mathematics, ETH Zürich, Zürich, Switzerland. |
- 08/2011:
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(Invited) 19th European Signal Processing Conference, Barcelona, Spain. |
- 04/2011:
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(Contributed) Young Researchers' Meeting in Mathematics, University of Warwick, Coventry, United Kingdom. |
- 09/2010:
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(Invited) Workshop on Numerical Methods for Solving the Filtering Problem and High Order Methods for Solving Parabolic PDEs, Imperial College London, London, United Kingdom. |
- 07/2010:
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(Contributed) Probability at Warwick Workshop, University of Warwick, Coventry, United Kingdom. |
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