Status:
Professor of Mathematics
Personal website:
+44 1865 615175
ORCID iD:
https://orcid.org/0000-0003-0086-0695
Research groups:
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Highlighted Publications:
A McKean–Vlasov equation with positive feedback and blow-ups
Annals of Applied Probability
issue 4
volume 29
page 2338-2373
(23 July 2019)
An SPDE model for systemic risk with endogenous contagion
Finance and Stochastics
issue 3
volume 23
page 535-594
(10 June 2019)
Invariance principle for the random conductance model
Probability Theory and Related Fields
issue 3-4
volume 156
page 535-580
(1 August 2013)
Convergence of mixing times for sequences of random walks on finite graphs
Electronic Journal of Probability
volume 17
page 1-32
(31 January 2012)
Asymptotics for functions associated with heat flow on the Sierpinski carpet
Canadian Journal of Mathematics. Journal Canadien de Mathématiques
volume 63
page 153-180
(2011)
Recent Publications:
An approximation of solutions to heat equations defined by generalized measure theoretic laplacians
Journal of Evolution Equations
volume 21
page 805-830
(19 August 2020)
Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
Applied Mathematical Finance
issue 1-2
volume 27
page 132-170
(13 May 2020)
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Finance and Stochastics
issue 2020
volume 24
page 757-794
(8 May 2020)
The damped stochastic wave equation on post-critically finite fractals
Analysis, Probability and Mathematical Physics on Fractals
volume 5
(11 February 2020)
Stefan problems for reflected SPDEs driven by space-time white noise
Stochastic Processes and their Applications
issue 2
volume 130
page 924-961
(10 April 2019)
Research interests:
My research interests lie in the areas of probability, stochastic processes, mathematical finance and fractals. For further information see my webpage.