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:
- Sokol, Alexander & Hansen, Niels R. (2012) Exponential martingales and changes of measure for point processes. Submitted. Preprint
- Sokol, Alexander (2012) Proving existence results in martingale theory using a subsequence principle. Submitted. Preprint
- 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:
- September 2008. Stochastic Analysis and Mathematical Finance, Masters Thesis, University of Copenhagen. pdf
- May 2011. Presentation on exponential martingales and construction of point processes. pdf
- June 2011. Poster on exponential martingales and construction of point processes. pdf
- August 2011. Presentation on estimation of sparse multivariate diffusions. pdf
- March 2012. Presentation on exponential martingales and changes of measure. pdf