RESEARCH INTERESTS
I'm currently working on stochastic (partial) differential equations (S(P)DEs) and am particularly interested in processes driven by random martingale measures. My most recent project focused on establishing analytical properties for conditional densities of partially observed jump diffusion processes.
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I also recently got interested in rough path theory and the fascinating new tools it provides. In a current project we try to use these to obtain an approximation for the prediction density, associated to the conditional expectation of a future state.
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Apart from probability and stochastics I'm also interested in estimation for (nonlinear) infinite-dimensional systems. In my Master's project we derived an observer for a class of semilinear infinite-dimensional systems, based on the extended Kalman filter.
RESEARCH
Papers and preprints
with I. Gyongy
On partially observed jump diffusions III. Regularity of the filtering density,
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with I. Gyongy
with I. Gyongy
with M. Sabate-Vidales
Learning the conditional law: signatures and conditional GANs in filtering and prediction of diffusion processes.,
arXiv:2204.00611, submitted to 61st IEEE Conference on Decicion and Control 2022
with S. Afshar and K. Morris
Extended Kalman filter based observer design for semilinear infinite-dimensional systems, (2022)
with S. Afshar and K. Morris
Well-posedness of Extended Kalman Filter equations for semilinear infinite-dimensional systems,
59th IEEE Conference on Decision and Control (CDC), 2020, pp. 1210-1215,
Doctoral Dissertation
On conditional densities of partially observed jump diffusions (2022)