AA


Welcome

Short CV

Research

Teaching



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:
  • (Contributed) 38th Conference on Stochastic Processes and their Applica- tions, University of Oxford, Oxford, United Kingdom.
  • 06/2015:
  • (Contributed) 5th International IMS-FIPS Workshop, Rutgers University, New Jersey, United States.
  • 12/2014:
  • (Invited) Mathematics and Probability Seminar, Nankai University, Tianjin, China.
  • 08/2014:
  • (Short Communication) International Congress of Mathematicians (ICM 2014), Coex, Seoul, Korea.
  • 07/2014:
  • (Flash Talk) 16th Meeting of New Researchers in Statistics and Probability, Harvard University, Cambridge, Massachusetts, United States.
  • 07/2014:
  • (Contributed) 11th International Vilnius Conference on Probability Theory and Mathematical Statistics, Vilnius, Lithuania.
  • 04/2014:
  • (Invited) Workshop on Monte Carlo Inference for High-Dimensional Statistical Models, Isaac Newton Institute for Mathematical Sciences, Cambridge, United Kingdom.
  • 03/2013:
  • (Invited) Analysis and Stochastics Seminar, Uppsala University, Uppsala, Sweden.
  • 03/2013:
  • (Invited) Financial Mathematics Seminar, Uppsala University, Uppsala, Sweden.
  • 09/2012:
  • (Invited) Data Assimilation Conference, University of Oxford, Oxford, United Kingdom.
  • 09/2011:
  • (Contributed) 4th European Summer School in Financial Mathematics, ETH Zürich, Zürich, Switzerland.
  • 08/2011:
  • (Invited) 19th European Signal Processing Conference, Barcelona, Spain.
  • 04/2011:
  • (Contributed) Young Researchers' Meeting in Mathematics, University of Warwick, Coventry, United Kingdom.
  • 09/2010:
  • (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:
  • (Contributed) Probability at Warwick Workshop, University of Warwick, Coventry, United Kingdom.