Alexander Sokol


Employment: PhD-student at the Institute of Mathematics, University of Copenhagen
Advisor: Niels Richard Hansen, Institute of Mathematics, University of Copenhagen
Research Interests: Statistical inference for high-dimensional data. Stochastic calculus.
Address: Department of Mathematical Sciences, Universitetsparken 5, 2100 Copenhagen, Denmark
E-mail: alexander@math.ku.dk
CV: pdf

Math related documents:

Articles:

  1. Sokol, Alexander & Hansen, Niels R. (2012) Exponential martingales and changes of measure for point processes. Submitted. Preprint
  2. Sokol, Alexander (2012) Proving existence results in martingale theory using a subsequence principle. Submitted. Preprint
  3. Sokol, Alexander (2012) An elementary proof that the first hitting time of an open set by a jump process is a stopping time. Submitted. Preprint

Stochastic integration course spring 2012:

The lecture notes, including exercises, hints for exercises and solutions for exercises, can be found here (last revision: 20 April, 2012): pdf

Miscellaneous:

  1. September 2008. Stochastic Analysis and Mathematical Finance, Masters Thesis, University of Copenhagen. pdf
  2. May 2011. Presentation on exponential martingales and construction of point processes. pdf
  3. June 2011. Poster on exponential martingales and construction of point processes. pdf
  4. August 2011. Presentation on estimation of sparse multivariate diffusions. pdf
  5. March 2012. Presentation on exponential martingales and changes of measure. pdf