About me and News

I'm Professor for Stochastic Processes and their Applications at the Department of Mathematics, University of Hamburg.


My research covers the theory of stochastic processes and their applications in a wide variety of fields. In particular, I have studied optimal stopping, impulse-control and worst-case problems. Applications include pricing of American options, optimal harvesting, and portfolio optimization.
I furthermore work on numerical methods, sequential statistics, applications of probabilistic methods in Banach space theory, agent-based models, stochastic analysis, pattern recognition, design of clinical trials, applied statistics, and in the popular scientific field.

See also my official webpage.

Some News
  • A new popular scientific book "Achtung: Noch Mehr Statistik (und Mathematik)" (Springer, with B. Christensen) will be published soon.
  • I'm member of the organizing committee for the SIAM Conference on Control Theory and Its Applications (CT19) which will be held in Chengdu, China, June 19-21, 2019. 
  • Next semester, I give lectures on "Introduction to probability" (Mathematische Stochastik) and "Stochastic Analysis" at Hamburg University.
  • "Nonparametric Statistics meets Stochastic Control", Heidelberg, Germany, July 18-19, link.
Untergeordnete Seiten (1): Short CV