Interests
My general interest is in probability theory and its applications. As I have barely embarked on my travels into this exciting area of mathematics, I have yet to find my own path and specific interests. My aim is to try and master the trade of probability theory as best I can, and use the acquired skills for real world problems. Eventually, I hope to delve into mathematical statistics and perhaps do some research in that area as well.My research thus far has been on theoretical analysis of stochastic simulation algorithms. More specifically, I have been studying performance of importance sampling algorithms from a large deviation perspective.
Areas in which I am currently working are large deviations theory, empirical processes, importance sampling and stochastic simulation.
Papers
- Moderate deviations for empirical processes from importance sampling algorithms [In preparation]
- Large deviations for weighted empirical measures arising in importance sampling (with H. Hult) [Preprint]
Upcoming professional travel and meetings
- "Computational Challenges in Probability", Oct 27th - Dec 8th 2012, ICERM, Providence, RI Link
- "4th Northern Triangle Seminar", 6-8 March, 2013, Helsinki, Finland.
Talks and presentations
- 9th International Workshop on Rare Event Simulation, 25-27 June 2012, Trondheim Link
"Large deviations for weighted empirical measures from importance sampling"[ Talk] - INFORMS Simulation Society Research Workshop - Simulation in complex service systems, 18-20 July 2011, Montreal, Canada Link [ Poster]
- Stockholm-Uppsala symposium 13, 24 May 2011, Uppsala University Link
"Large deviations for weighted empirical measures from importance sampling" [ Talk] - 3rd Northern Triangle Seminar, 11-13 April 2011, St. Petersburg,
Russia Link
"Large deviations for weighted empirical measures from importance sampling" [ Talk]
Meetings
- INFORMS Applied Probability Society Conference, 6-8 July 2011,
Stockholm, Sweden Link
- Recent developments in mathematical finance, 9-10 May 2011,
Stockholm, Sweden Link
- IMS 73rd Annual Meeting, Aug. 9-13 2010, Gothenburg, Sweden Link
- 6th International Conference on Levy Processes: Satellite Summer School, July 22-24 2010, Braunschweig, Germany Link