Luxembourg Statistical Society would like to promote the talks by Mark Podolskij on “New developments in high dimensional statistics” organised by the University of Luxembourg. This talks will take place on Tuesday 8th February at 11:00 AM and will be organized at Maison du Savoir, Room 3.370, Belval Campus.
Mark Podolskij is a full professor in financial mathematics at the departments of mathematics and finance. He has obtained his PhD in 2006 at the University of Bochum and held professor positions at the University of Heidelberg (2010-2014) and University of Aarhus (2014-2020). His research is focusing on statistical and probabilistic analysis of stochastic processes with applications to finance and physics. He currently holds an ERC Consolidator Grant « Statistical methods for high dimensional diffusions »..
In his talk, Mark Podolskij will present the challenges in high dimensional statistics and some new developments in the field. After the presentation of the main concepts and mathematical problems, he will focus on recent high dimensional theory for stochastic processes. Applications in finance will be discussed