Theory and Computation Theory and Computation
Research: Computational Neuroscience
Areas of Research: Stochastic models and image analysis
- Stochastic Control and Stochastic Games (Probabilistic Approach to Mean Field Games)
- Stochastic PDEs (Random Media and Disordered Systems), Stochastic Flows, Numerical Simulations
Financial Mathematics / Engineering
- Energy and Commodity Markets
- High Frequency Markets and Systemic Risk
- Environmental Economics (Weather and Emissions Markets)
Signal / Image Analysis
- Time Frequency Transforms (Wavelet & Gabor): Speech Processing, Underwater Acoustic
- Medical Imagery, PDE and Global Optimization Approaches to Image Enhancement
- (with F. Delarue) Mean Field Forward-Backward Stochastic Differential Equations. Electronic Communications in Probability, 18 (2013) article #68, 1-15.
- (with K. Webster) High Frequency Market Making. Mathematical Finance (2012) submitted for publication
- (with F. Delarue) Control of McKean Vlasov Dynamics. Annals of Probability (2013) submitted for publication.
- (with M. Coulon and D. Schwarz) The valuation of clean spread options: linking electricity, emissions and fuels. Quantitative Finance,12 (12) (2012) 1951-1965
- (with M. Coulon and D. Schwarz) Electricity Price Modeling and Asset Valuation: a Multi-Fuel Approach. Mathematical and Financial and Economics, 7 (2012) 167-202.
- (with F. Delarue) Probabilistic Analysis of Mean Field Games. SIAM Journal on Control and Optimization, 51 (4) (2013) 2705 - 2734.
- (with J. Hinz) Least Squares Monte Carlo Approach to Convex Control Problems. IEEE Transactions on Automatic Control, (2011) under revision.
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