About me

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, including finance and economics. 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.
Untergeordnete Seiten (1): Short CV