New preprint: Bicausal optimal transport for SDEs with irregular coefficients, with Michaela Szölgyenyi, 2024
My name is Ben Robinson and I am a postdoc in the group of Mathias Beiglböck and Walter Schachermayer in the Mathematical Finance and Probability Theory Group at the University of Vienna.
My research interests lie in the areas of applied probability, stochastic analysis, and mathematical finance. In particular, my current research focuses on optimal transport with stochastic constraints, finding mimicking martingales for given marginal data, and the numerical analysis of stochastic differential equations.
I obtained my PhD in 2020 from the University of Bath under the supervision of Alexander Cox. Here is my thesis, titled Stochastic control problems for multidimensional martingales.
You can contact me at ben.robinson 'at' univie.ac.at, or see my full contact details below.
Here is my CV.
New preprint: Bicausal optimal transport for SDEs with irregular coefficients, with Michaela Szölgyenyi, 2024
Find me next at: 12th Bachelier World Congress, FGV, EMAp, Rio de Janeiro, 8–12 July 2024
A regularized Kellerer theorem in arbitrary dimension, with Gudmund Pammer and Walter Schachermayer Annals of Applied Probability (to appear) [PDF] [arXiv]
SDEs with no strong solution arising from a problem of stochastic control, with Alexander Cox Electronic Journal of Probability, 28 (2023), 1–24 [PDF] [arXiv]
Optimal control of martingales in a radially symmetric environment, with Alexander Cox
Stochastic Processes and their Applications, 159 (2023), 149–198 [PDF] [arXiv]
Bicausal optimal transport for SDEs with irregular coefficients, with Michaela Szölgyenyi [PDF] [arXiv] (submitted 2024)
Adapted Wasserstein distance between the laws of SDEs, with Julio Backhoff-Veraguas and Sigrid Källblad [PDF] [arXiv]
Stochastic control problems for multidimensional martingales [PDF], PhD thesis, 2020, University of Bath, supervised by Alexander Cox
Constrained optimal stopping problems [PDF], MRes report, 2016, University of Bath, supervised by Alexander Cox
Ergodicity of stochastic processes and the Markov chain central limit theorem [PDF], Master thesis, 2015, University of Bristol, supervised by Márton Balázs
Julio Backhoff-Veraguas, Márton Balázs, Alexander Cox, Sigrid Källblad, Gudmund Pammer, Walter Schachermayer, Michaela Szölgyenyi
Adapted Wasserstein distance between the laws of SDEs
Present | Postdoc in the group of Mathias Beiglböck and Walter Schachermayer in the Mathematical Finance and Probability Theory Group, Faculty of Mathematics, University of Vienna. |
2020 | PhD University of Bath, supervised by Alexander Cox. |
Member of the EPSRC Centre for Doctoral Training in Statistical Applied Maths at Bath [SAMBa] and Prob-L@b, the probability group at the University of Bath. | |
2020 | Research associate Institute for Mathematical Innovation, University of Bath. |
2015–2019 | Teaching assistant University of Bath |
Department of Mathematical Sciences, Mathematics Resource Centre, and School of Management. | |
2016 | MRes Statistical Applied Mathematics, University of Bath. |
2015 | MSci Mathematics, University of Bristol. |
Awarded the Howell Peregrine Prize for best undergraduate project. |
12th Bachelier World Congress of the Bachelier Finance Society, FGV EMAp, Rio de Janeiro, Brasil, 8th–12th July 2024
12th Austrian Stochastic Days, University of Innsbruck, 4th–6th September 2024
Probability Seminar, University of Leeds, UK, 29th February 2024 Invited talk — Bicausal optimal transport for SDEs with irregular coefficients
Stochastic Partial Differential Equations, ESI, University of Vienna, 12th–16th February 2024 Workshop Participant
21st Winter School on Mathematical Finance, Soesterberg, Netherlands, 22nd–24th January 2024 Poster presentation — Bicausal optimal transport for SDEs with irregular coefficients
Research School: Stochastic and Deterministic Analysis for Irregular Models, CIRM, France, 8th–12th January 2024 Contributed talk — Bicausal optimal transport for SDEs with irregular coefficients
Vienna Probability Seminar, Institute of Science and Technology, Austria, 20th November 2023 Invited talk — A regularized Kellerer theorem in arbitrary dimension
11th Austrian Stochastic Days, University of Klagenfurt, 7th September 2023 Contributed talk — A regularized Kellerer theorem in arbitrary dimension [PDF]
SIAM Conference on Financial Mathematics and Engineering, Philadelphia, PA, USA, 6th–9th June 2023 Invited talk in Optimal Transport minisymposium — An adapted distance between laws of SDEs [PDF]
Mathematical Finance and Stochastics: A conference in honor of David Nualart, San Sebastian, 29th–31st May 2023 Contributed talk — A regularized Kellerer theorem in arbitrary dimension [PDF]
AAU Doctoral Seminar, Klagenfurt, Austria, 24th May 2023 Invited talk — Distances between stochastic processes [PDF]
German Probability and Statistics Days, Essen, Germany, 7th–10th March 2023 Contributed talk in Finance, insurance and risk section — Adapted Wasserstein distance between the laws of SDEs [PDF]
20th Winter School on Mathematical Finance, Soesterberg, Netherlands, 23rd–25th January 2023 Poster presentation — Adapted Wasserstein distance between the laws of SDEs [PDF]
10th Austrian Stochastic Days, University of Vienna, 8th September 2022 Contributed talk — Adapted Wasserstein distance between the laws of SDEs
PIMS-IFDS-NSF Summer School on Optimal Transport, University of Washington, Seattle, 19th June – 1st July 2022 Contributed talk — Bicausal transport between laws of SDEs
Stochastic Games and Martingale Optimal Transport, Università degli Studi di Milano, 6th May 2022 Contributed talk — A regularized Kellerer theorem in arbitrary dimension
Internal Mathematical Finance Group Seminar, University of Vienna, 25th November 2021 Talk — Knothe–Rosenblatt couplings: From discrete to continuous
Vienna Seminar in Mathematical Finance and Probability, University of Vienna, 29th April 2021 Invited talk — Optimal control of martingales in a radially symmetric environment [PDF]
Bernoulli-IMS One World Symposium, online, 24th–28th August 2020 Prerecorded talk — Optimal control of martingales in a radially symmetric environment [YouTube]
SAMBa Conference, University of Bath, 7th July 2020 Prerecorded talk — Controlling a random walker [YouTube]
Prob-L@b Internal Monthly Seminar (PIMS), University of Bath, 15th June 2020 Invited talk — Optimal control of martingales in a radially symmetric environment and an SDE with no strong solution [PDF]
Winter School on Theory and Practice of Optimal Stopping and Free Boundary Problems, University of Leeds, 13th January 2020 Contributed talk — An SDE with no strong solution arising from the stochastic control of martingales in a radially symmetric environment [PDF]
2nd Leeds Conference on Stochastic Control and Games Under Ambiguity, University of Leeds, 9th April 2019 Contributed talk — Optimal control of martingales in a radially symmetric environment [PDF]
Hausdorff School: Optimal Transport Meets Economic Theory, Hausdorff Centre for Mathematics, Universität Bonn, 23rd–27th July 2018 Invited participant
Martingale Optimal Transport (and Friends), University of Oxford, 18th–19th September 2017 Invited participant
Conference on Stochastic Control, Ambiguity and Games, University of Leeds, 4th September 2017 Poster presentation — Stochastic optimal control problems related to martingale optimal transport [PDF]
SAMBa Summer Conference, University of Bath, 20th–21st June 2017 Poster presentation — Stochastic optimal control problems related to martingale optimal transport [PDF]
BUC-VIII, CIMAT, Guanajuato, Mexico, 1st June 2017 Invited talk — Stochastic optimal control problems related to martingale optimal transport
Postgraduate Seminar Series, University of Bath, 29th April 2021 Talk — Measuring distances between random processes
Postgraduate Seminar Series, University of Bath, 11th October 2018 Talk — When should I stop? An introduction to optimal stopping
Student Probability Seminar, University of Bath, 20th March 2018 Talk — Introduction to stochastic optimal control
Postgraduate Mathematical Analysis Seminar, University of Bath, 27th November 2017 Talk — Introduction to viscosity solutions
Postgraduate Seminar Series, University of Bath, on 5th October 2017 Talk — How to move a pile of sand: An introduction to optimal transport
Postgraduate Seminar Series, University of Bath, 23rd February 2017 Talk — Random motion and PDEs: What's the connection?
Postgraduate Seminar Series, University of Bath, 25th February 2016 Talk — Sea ice: Data, modelling and uncertainty [PDF]
24S | Stochastic Processes, Exercises Master Course, Department of Statistics, University of Klagenfurt Information for students: 312.181 Stochastic Processes (UE) |
23W | Stochastics for Engineers, Exercises (online) Master Course, Department of Statistics, University of Klagenfurt |
2019 | Senior peer tutor Mathematics Resource Centre (MASH), University of Bath |
Led a team of tutors to run drop-in session for first year Mathematics undergraduate students and provided mathematical and statistical support at drop-in sessions for students from all disciplines. | |
2016 | Part-time teaching fellow School of Management, University of Bath |
Led a weekly seminar for a group of 30 MSc Students from the School of Management for the Masters level course Financial Derivatives | |
2015–2019 | Casual teaching assistant Department of Mathematical Sciences, University of Bath |
Led weekly tutorials for groups of 16–40 first and second year Mathematics undergraduate students for the courses Analysis 1, Probability & Statistics 1A, Analysis 2A. | |
2014–2015 | Teaching support assistant School of Mathematics, University of Bristol |
Led weekly tutorials for a group of 6 first year Mathematics undergraduate students, covering Probability, Statistics and Linear Algebra. |
Referee for Annals of Applied Probability, Mathematics of Operations Research
Organiser of the SIAM UKIE National Student Chapter Conference, University of Bath, 18th–19th June 2018
Organiser of the Postgraduate Seminar Series, Department of Mathematical Sciences, University of Bath, 2017–2018
Organiser of the SAMBa Summer Conference, University of Bath, 20th–21st June 2017
Organiser of the Bath SIAM-IMA Student Conference, University of Bath, 1st March 2017
Treasurer of the University of Bath SIAM-IMA Student Chapter, 2016–2018