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
▷ 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
▷ 05/2024: New conference paper on Optimizing Non-Linear Kicker Injection Parameters using Machine Learning
▷ 12/2023: New preprint on Long-Run Behavior and Convergence of Dynamic Mean Field Equilibria
▷ 10/2023: New preprint on Generative Fractional Diffusion Models
▷ 10/2023: I joined Technical University of Munich as a Tenure Track Assistant Professor
▷ 09/2023: New preprint on Optimal Adaptive Control with Separable Drift Uncertainty
▷ 08/2023: I got married and changed my last name from Belak to Knochenhauer