I completed my PhD at the Humboldt University in Berlin, with affiliation to the Berlin Mathematical School and Matheon.
My research motivation is the following:
- to establish links between stochastic analysis and real-world problems; this includes stochastic optimal control, and pricing and hedging in incomplete financial markets, and the resolution of partial differential equations in fluid dynamics, mathematical chemistry, and statistical mechanics;
- to undergo a rigorous mathematical treatment of the above named models using probability theory and stochastic analysis;
- to develop novel numerical algorithms rooted in stochastic analysis for these problems;
- to provide rigorous mathematics for the behaviour of the algorithms, including explicit error estimates and algorithm optimization, and to continuously strive to improve the status quo performance of these algorithms;
- to develop usable and reliable software which can be employed to solve large scale problems both at academic and industrial levels.
My main research interest are in:
- stochastic analysis, particularly the theory of backward stochastic differential equations;
- computational finance and numerical probability;
- partial differential equations;
- non-parametric statistics.