About me and News

I'm Professor for Stochastic Processes and their Applications at the Department of Mathematics, University of Hamburg. From April 1st 2019, I will be professor for Probability and Statistics at the Department Of Mathematics, Christian-Albrechts University Kiel.


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: Mathe und Statistik" (Springer, with B. Christensen, in German) is available online now: link.
    https://www.springer.com/de/book/9783662577387?utm_campaign=3_23901395&utm_content=de_2018-10_BA&utm_medium=email&utm_source=nba&wt_mc=Alerts.NBA.DE.2018-10.BA#otherversion=9783662577394
  • 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. 
  • This 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.
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