Fields of Interest

• Stochastic finance, portfolio optimization, insurance mathematics
• Differential equations containing random parameters, random vibrations, heat propagation in random media
• Weakly correlated random functions
• Stationary solutions of random differential equations with polynomial nonlinearities
• Model reduction for large-scale systems of differential equations
• Statistics for grouped observations

Current Projects

1. Optimal investment strategies for portfolios under bounded shortfall risk and partial information on the drift
   with J. Sass (TU Kaiserslautern) and A. Gabih (Université Cadi Ayyad Marrakesch, Morocco)
2. Utility maximization under partial information of mixed type
   with R. Frey (Universität Leipzig) and A. Gabih (Université Cadi Ayyad Marrakesch, Morocco)
3. Portfolio optimization under bounded coherent risk
   with B. Rudloff (Princeton University, USA)
4. Stochastic Galerkin Methods: Fundamentals and Algorithms
   DFG Priority Programme 1324 - Mathematical methods for extraction of qualifiable information from complex systems
   with H.-J. Starkloff (WHZ Zwickau) and O. Ernst (TU Bergakademie Freiberg)
5. Optimal control of pension fonds in stochastic financial markets
   with F. Thießen (TU Chemnitz) and S. van den Bergh (Allianz, München)
6. Optimal portfolios under dynamic risk constraints
   with D. Akume (University of Buea, Cameroon)

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