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.
Upcoming events
- PhD Course and Workshop on Extremes in Space and Time in Copenhagen, May 27-31 2013.
Link.
- PDE & Mathematical Finance V in Stockholm, Jun 10-13 2013.
Link.
Papers
- 2012. Gudmundsson, T, Hult, H.:
Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk.
Submitted.
Arxiv.
Work in progress
- 2012. Gudmundsson, T, Hult, H.:
MCMC rare-event simulation study on light-tailed random walk.
- 2012. Gudmundsson, T, Hult, H.:
MCMC rare-event simulation study on stochastic recursive equations with heavy-tailed innovations.
Seminars / posters
- 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.
Conference / Workshops / Summer schools
- ICERM. Computational Challenges in Probability, Oct 29 - Dec 7 2012, Providence, Rhode Island, USA. Link.
- Summer School in Random Geometry, Aug 8-12 2011, Reykjavik, Iceland. Link.
- INFORMS Applied Probability Society Conferance, Jul 6-8 2011, Stockholm, Sweden. Link.
- Stockholm-Uppsala symposium 13, May 24 2011, Uppsala, Sweden. Link.
- Recent Developments in Mathematical Finance, May 9-10 2011, Stockholm, Sweden. Link.
- 6th International Conference on Levy Processes: Satellite Summer School, Jul 22-24 2010, Braunschweig, Germany. Link.
- 2nd Northern Triangular Seminar, Mar 15-17 2010, Stockholm, Sweden. Link.
Office phone: +46-8-790-6619
Email: tgud at kth dot se
Office room: 3438
Office hours: Fridays 13-15 (please call/email ahead)
Department of Mathematics
Royal Institute of Technology
SE-100 44 Stockholm
Sweden
|
