- Aalto University
- School of
Art and Design - School of Chemical Technology
- School of
Economics - School of Electrical Engineering
- School of
Engineering - School of
Science
Department of Mathematics and Systems Analysis
Stochastics
Stochastic analysis and modeling are key methodologies for analyzing random interactions in today's financial and information systems. The stochastics research group applies and develops methods in stochastic analysis, optimization, martingale theory, Markov processes, and mathematical statistics. The main research themes are limits of random processes, coupling techniques, and numerical stochastic methods. The main applications are in mathematical finance, risk management, information networks, and statistics.
People
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Lecturer Milla Kibble |
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Docent Karl Sigman |
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PhD student Igor Morlanes |
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Lecturer Ilkka Mellin |
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PhD student Helena Aro |
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PhD student Ari-Pekka Perkkiö |
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Docent Teemu Pennanen |
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PhD student Zhe Chen |
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PhD student Lauri Viitasaari |
Part-time PhD students: Matias Leppisaari, Mika Sirviö.
Former members of the group
Lasse Leskelä
Amitava Mukherjee
Ehsan Azmoodeh
Heikki Tikanmäki
Projects
Publications
Publications of the group can be found on the arXiv preprint server and MathSciNet database. The most up-to-date information is available on the members' personal web pages.
Selected articles
- A-P. Perkkiö, T. Pennanen. Stochastic programs without duality gaps. Mathematical Programming DOI: 10.1007/s10107-012-0552-9, 2012.
- T. Pennanen. Introduction to convex optimization in financial markets. Mathematical Programming 134:157-186, 2012.
- H. Tikanmäki. Integral representations of some functionals of fractional Brownian motion. Communications on Stochastic Analysis 6(2):193-212, 2012.
- H. Aro, T. Pennanen. A user-friendly approach to stochastic mortality modelling. European Actuarial Journal 1:151-167, 2011.
- Y. Mishura, E. Valkeila. An extension of the Lévy characterization to fractional Brownian motion. Annals of Probability 39(2): 439-470, 2011.
- K. Sigman. Exact simulation of the stationary distribution of the FIFO M/G/c queue. Journal of Applied Probability 48A:209-213, 2011.
- M. Anttila, K. Ball, I. Perissinaki. The central limit problem for convex bodies. Transactions of the American Mathematical Society 355(12):4723-4735, 2003.
Teaching
The group members teach undergraduate and advanced courses in probability and statistics. The undergraduate courses are usually given in Finnish. The offered stochastics courses are eligible as a basis for an SHV degree in insurance mathematics.
Collaboration
The group has numerous international and domestic research contacts. The group is affiliated with the following international research networks:
- AMaMeF - Advanced Mathematical Methods for Finance
- DYNSTOCH - Statistical Methods for Dynamical Stochastic Models
Events
- Course: Information theory and statistics, March - April 2013
- 4th Northern Triangular Seminar, Aalto University, 6-8th March 2013
- Stochastic Sauna Seminar, 19 December 2012
- Course: Statistical inference, November - December 2012
- Course: Statistical learning, March - June 2012
- Minicourse: Limit Theorems in Financial Mathematics, 17 Oct - 7 Nov 2011
- Minicourse: Functional change of variables formula and Ito calculus, 30 May - 1 Jun 2011
- 3rd Northern Triangular Seminar, Euler International Mathematical Institute, St.Petersburg, 11-13 Apr 2011,
- More...