I'm Professor for Probability and Statistics at the Department Of Mathematics, Christian-Albrechts University Kiel.
My research focuses on the theory of stochastic processes and data-driven stochastic control. I work on optimal stopping, impulse and singular control, dynamic and mean-field games, and time-inconsistent decision problems. A substantial part of my recent work combines probabilistic methods with machine learning techniques—particularly reinforcement learning and score-based diffusion models—to develop data-driven strategies for high-dimensional stochastic systems.
My research spans both theoretical developments (e.g., randomized equilibria in Dynkin games, first-passage problems, Markovian representations) and algorithmic approaches (e.g., learning to reflect or steer, model-free filtering, exploration–exploitation trade-offs). Applications include finance and economics, evolutionary biology and neuroscience, marine sciences, and various areas where stochastic modeling and decision-making under uncertainty play a central role.
See also my official webpage.
I am member of the editorial board of the Journal of Applied Probability and Advances in Applied Probability.