- Markov processes: optimal stopping, impulse control, stochastic control, numerical methods, incomplete information (filtering)
- Estimation and stochastic control for energy markets: storage and grid balancing
- Machine learning: theory and applications (biochemical, medical and marketing data)
- Time-inconsistent stochastic control (e.g., mean-variance): pre-commitment and time-consistent controls
- Financial markets with transaction costs: impulse control of Markov processes in discrete and continuous time
- Statistical inference for stochastic processes: MCMC, MCML, hidden Markov models, diffusions
Conference and research week, September 2017
Conference on Stochastic Control, Ambiguity and Games, September 4-5, 2017, is a two-day event on stochastic control, robust optimisation and stochastic games which will explore existing and new links across the different research areas. The conference will bring together participants of our research week and other international experts, and will feature contributed and invited talks, time for discussions and an evening get-together on the first day. Registration opens on April 25, 2017.
The conference will kick-start an intensive research week on Stopping Games for Ambiguity-Averse Players, September 5 – 9, 2017, held in the School of Mathematics at University of Leeds. Participation by invitation only.
I generally accept one new PhD student per year (already filled for the start in 2017). Please get in touch if you have a very good Mathematics degree (Masters or MMath level) with a strong component of probability or statistics courses. I am happy to supervise any topic related to my research interests. You can choose your own or select one from the list below:
Optimal stopping and optimal control of Markov processes - contact me if interested
Mathematical methods for Energy Management (stochastic optimal control) - contact me if interested
GrantsMy research is currently funded by the following grants:
- Co-investigator (joint with R. Ruddle (PI), G. Aivaliotis, M. Birkin, J. Keen, K. Macnish, A. Markham, Ch. Megone) "QuantiCode: Intelligent infrastructure for quantitative, coded longitudinal data" (EPSRC, EP/N013980/1, 2016-2018)
- Lead supervisor for University of Leeds funded PhD project (joint with G. Aivaliotis and A.Yu. Veretennikov, 2013-2017)
- Lead supervisor for Leeds-York NERC DTP funded PhD project (joint with T. Cockerill, P. Taylor, 2015-2019)
- Investigator (joint with Tiziano De Angelis) "Stopping games with ambiguity-averse players" (Heilbronn Institute, September 2017)
- Co-investigator (joint with A. Palczewski (PI)) "Modern assert management for non-Gaussian distributions" (Polish Research Council, 2015-2017)
- LIDA internship "Machine learning versus classical survival analysis" (joint with G. Aivaliotis, M. Morris, 2016)
- LIDA internship "Food wastage reduction for Jet2" (joint with G. Aivaliotis, 2016)
- Co-investigator (joint with L. Stettner (PI)) "Stochastic control problems with applications to mathematics of finance" (Polish Research Council, 2013-2016)
- Summer bursary project (joint with G. Aivaliotis), "Propensity modelling" (EPSRC and Callcredit Ltd., 2014)
- Co-investigator (joint with L. Stettner (PI)) "Problems of stochastic control with applications to financial mathematics" (Polish Research Council, 2009-2011)
- Conference on Stochastic Control, Ambiguity and Games, September 4-5, 2017, was a two-day event on stochastic control, robust optimisation and stochastic games which explored existing and new links across the different research areas. The conference brought together participants of our research week and other international experts, and featured contributed and invited talks, time for discussions and an evening get-together on the first day.
- An intensive research week on Stopping Games for Ambiguity-Averse Players was held on September 5 – 9, 2017, in the School of Mathematics at University of Leeds and featured intensive discussions between 15 academics about problems and tools in stochastic games in which players face some kind of ambiguity, for example, about payoffs or the dynamics of the underlying process.
Workshop on Mathematics of Energy Management held on the 14th June 2016 at the School of Mathematics, University of Leeds. The workshop
brought together researchers interested in mathematical aspects of energy systems:
- short- and long-term management,
- pricing of ancilliary services,
- investment planning,
- trading in energy markets.