Welcome!
I am an Assistant Professor for Mathematical Finance at Technical University of Munich.
Most of my research is positioned at the intersection of Stochastic Analysis and Partial Differential Equations with applications in Finance. In particular, I am interested in the following topics:
▷ Stochastic Control Theory and Stochastic Games
▷ Viscosity Solutions of Partial Differential Equations
▷ Optimal Investment Problems
▷ Numerical Methods for High-Dimensional Partial Differential Equations
News
▷ 06/2025: New preprint on An Explicit Solution for the Problem of Optimal Investment with Random Endowment
▷ 01/2025: Our paper on Optimal Adaptive Control with Separable Drift Uncertainty was accepted in SIAM Journal on Control and Optimization
▷ 10/2024: Our paper on Long-Run Behavior and Convergence of Dynamic Mean Field Equilibria was accepted in Dynamic Games and Applications
▷ 09/2024: Our paper on Generative Fractional Diffusion Models was accepted at the 38th Annual Conference on Neural Information Processing Systems
▷ 09/2024: New preprint on Optimal Investment with Costly Expert Opinions
▷ 08/2024: New preprint on Continuous-Time Dynamic Decision Making with Costly Information