About me and News

I'm 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 study optimal stopping, impulse-control, mean-field, time-inconsistent and worst-case problems. Applications include pricing of American options, optimal harvesting, and portfolio optimization. 
I furthermore work on reinforcement learning, 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
  • March 2020: Due to the current spread of the SARS-CoV-2 infection, all my courses sill start with online-distance-teaching
  • March 2020: I will give a new course on statistical learning next semester. 
  • January 2020: In the summer term, there will be a student seminar with a special topic: Design of exhibits for a statistics- & risks-exhibition in shopping centers. The seminar is in cooperation with a company and the art college.
  • December 2019: Facundo Oliu (Universidad de la República, Uruguay) spends one month in my group
  • November 2019: I have been awarded "Prof of the Night" at the the "night of the Profs" at Kiel university, see here
  • October 2019: Oscar Hallmann has joint the group
  • September 2019: My newest book is out: "Statistik klipp & klar" (Springer, in German): link.
  • September 2019: This month, I have uploaded 5 new preprints, see here. Topics are 
    • an application of nonparametric statistics to stochastic control problems with an exploration vs exploitation dilemma,
    • interesting new results on the old Chow-Robbins-Game, containing the explicit calculation of the stopping boundary up to time n=100.000 i nearly closed form,
    • two new results on time-inconsistent control, and
    • a new method for the solution of impulse control problems for jump processes.
  • June 2019: Simon Fischer has joint the group
  • April 1st, 2019, I start my new job in Kiel.
  • A 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. 
  • "Nonparametric Statistics meets Stochastic Control", Heidelberg, Germany, July 18-19, link.
Untergeordnete Seiten (1): Short CV