Stochastic Analysis Takes off at New HSE Laboratory

In February-March 2014, the HSE launched six new international laboratories following a tender of three-year projects under the supervision of leading international researchers. One of the projects that was approved is the Laboratory of Stochastic Analysis and its Applications.

The international laboratory team gathers researchers from various countries (e.g., Germany, France, Russia, UK) and from different schools but who are all linked by close research interests. Denis Belomestny, Lead Research Fellow at the Laboratory of Stochastic Analysis and its Applications, agreed to shed some light on his work and plans at the HSE.

— Why did you decide to work with the HSE?

— About a year ago, one of my former postgraduate students, Vladimir Panov, became Associate Professor in the HSE Department of Statistics and Data Analysis. That’s when I started collaborating with the HSE. Later, Valentin Konakov invited me to apply for the laboratory and I agreed, as I found the terms of collaboration very attractive. My work in the laboratory gives me a unique opportunity to work with leading researchers in applied stochastic analysis and to communicate with students at one of Russia’s best universities.

— What are the aims of the laboratory? What research projects do you plan to take part in?

— The main aims of the laboratory are research and educational activity. The principal areas of the laboratory’s research activities are applied stochastic analysis and statistics. My research interests involve statistics of random processes and numerical solution of stochastic differential equations. I am planning to continue working in these directions alongside other researchers at the laboratory.     

— Please say a few words about your current projects and research interests. What are you working on?

— My research interests are rather broad. I’m particularly interested in statistics of random processes and computational stochastics, which is becoming more popular in Western countries due to the fast development of computer technologies. In my opinion, it holds a lot of promise. Unfortunately, only few people work in computational stochastics in Russia, but I hope that we will create a basis for further development in this area as part of the Laboratory of Stochastic Analysis.

— Could you please tell us about your courses ‘Numerics of Stochastic Differential Equations’ and ‘Estimation and Calibration of Levy-based Models via Fourier Methods’? What are the aims? Who can attend these courses?

— Stochastic differential equations play an important role in stochastic analysis and its applications. Explicit solutions of stochastic differential equations are often impossible, which is why we have to limit ourselves to their numerical solution. My first course will cover modern numerical methods for stochastic differential equations. The other course is dedicated statistical estimation of Levy-based processes based on discrete observations of these processes. Levy-based processes are widely applied in financial and actuarial mathematics, and they are also used for modeling economic time series. I suppose this course will be of interest to students in economics. Basic knowledge of probability theory is enough to understand the course programme.

— What interests outside mathematics do you have?

— I like swimming, jogging, and hiking.

Author: Ekaterina Solovova, June 10, 2014