Research interests
Applied probability and computational mathematics. In particular stochastic simulation, importance sampling, large deviation theroy, markov chain monte carlo methods and queueing theory.
I am also interested in general application of mathematical/computational tools in finance, physics, chemistry and such.
Papers
- 2014. Gudmundsson, T, Hult, H.:
Markov Chain Monte Carlo for rare-event simulation for light-tailed random walk.
Available in preprint.
- 2014. Gudmundsson, T, Hult, H.:
Markov chain Monte Carlo for rare-event simulation for stochastic recurrence equations with heavy-tailed innovations.
Available in preprint.
- 2012. Gudmundsson, T, Hult, H.:
Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk.
J. Appl. Prob. 51(2), 359 - 376, 2014.
Seminars / posters
- 10th International Workshop on Rare Event Simulation RESIM 2014, Jun 27-29 2014, Amsterdam, Netherlands. Link.
"MCMC Technique for Rare-Event Simulation for Heavy-Tailed SRE." Talk.
- Licentiat seminarium, Dec 17 2013, Stockholm, Sweden.
"Markov chain Monte Carlo for rare-event simulation in heavy-tailed settings." Thesis. Talk.
- 4th Northern Triangular Seminar, Mar 6-8 2013, Helsinki, Finland.
"Markov chain Monte Carlo for computing probabilities of rare events in a heavy-tailed random walk." Talk.
- Performance Analysis of Monte Carlo Methods, Nov 28-30 2012, Providence, Rhode Island, USA. Link.
"Markov chain Monte Carlo methodology for computing probabilities of rare events." Poster.
- 9th International Workshop on Rare Event Simulation RESIM 2012, Jun 25-27 2012, Trondheim, Norway. Link.
"Markov chain Monte Carlo for computing probabilities of rare events in a heavy-tailed random walk." Talk.
- 2011 INFORMS Simulation Society Research Workshop, Simulation in Complex Service Systems, Jul 18-20 2011, Montreal, Canada. Link.
"Markov chain Monte Carlo for computing probabilities of rare events in a heavy-tailed random walk." Poster.
- 3rd Northern Triangular Seminar, Apr 11-13 2011, St Petersburg, Russia. Link.
"Markov chain Monte Carlo for computing probabilities of rare events in a heavy-tailed random walk." Talk.
Office phone: +46-8-790-7136
Email: tgud at kth dot se
Department of Mathematics
Royal Institute of Technology
SE-100 44 Stockholm
Sweden
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