Engel John C. Dela Vega

Research

My research is in stochastic control and its applications in mathematical finance and insurance. Recent work concerns optimal dividend, reinsurance, and capital injection problems for insurers, including problems with ratcheting constraints and model uncertainty. Earlier work studied backward stochastic differential equations with regime-switching and sublinear expectations, conditional risk measures, and conic pricing, and duality methods for constrained stochastic control. I am also developing interests in stochastic differential games and mean-field games.

Academic Positions

• 2026 – present: Assistant Professor, Department of Mathematical and Statistical Sciences, University of Alberta

• 2024 – 2026: Postdoctoral Fellow, Department of Statistics and Actuarial Science, The University of Hong Kong

• 2021 – 2022: Research Associate, Department of Mathematics, Imperial College London

Education

• PhD in Mathematical Finance, University of South Australia, 2021 (Supervisor: Robert J. Elliott; Co-Supervisors: Gerald Cheang and Reza Bradrania)

• Master of Applied Mathematics (major in Mathematical Finance), Ateneo de Manila University, 2017

• BSc in Applied Mathematics (major in Mathematical Finance, minor in Economics), Ateneo de Manila University, 2016