September 2008
CURRICULUM VITAE
BERNT ØKSENDAL
I am born in Fredrikstad, Norway, in 1945.
Marital status: I am married to Eva Øksendal,b.Aursland (1947).
We have 3 children: Elise (1971), Anders (1974) and Karina (1981).
1964: Examen Artium at Flekkefjord Gymnas, Norway,with top final grade "Særdeles Tilfredsstillende".
1964 - 1967: Undergraduate student at the University of Oslo, Norway.
June 1968: Married to Eva Aursland.
1968 - 1970: Graduate student and research/teaching assistant at the Department of Mathematics, University of Oslo.
1970: Cand .real degree, University of Oslo. Supervisor was professor Otte Hustad.
1970 - 1971: Ph.D. student and research assistant at the Department of Mathematics, University of California, Los Angeles (UCLA).
1971: Ph.D. degree, UCLA. Supervisor was professor T.W.Gamelin.
1971 - 1972: Research fellowship from NAVF, Norway/The Royal Society, London. The year was spent at The University of Edinburgh, Scotland.
1972 - Nov. 1973: Military service, Kjevik (near Kristiansand), Norway. My main duty was to teach mathematics at the military technical school at Kjevik (LTBS).
Nov.1973-July 83: Førsteamanuensis (associate professor) in mathematics at Agder College (Agder Distriktshøgskole), Kristiansand, Norway.
1983 - 1991: Førsteamanuensis at the Department of Mathematics, University of Oslo.
From April 1991: Professor at the Department of Mathematics, University of Oslo.
From Jan. 1992: Professor II at the Institute of Finance and Management Science, Norwegian School of Economics and Business Administration (NHH), Bergen. The position at NHH implies that I spend approximately 20% of my time there, giving courses and supervision in stochastic methods in economics for students and faculty.
Visiting positions
1977 - 1978: Visiting Associate Professor at UCLA.
Jan.-June 1982: Visiting Research Fellow at the University of Edinburgh, Scotland. The fellowship was awarded by the Science and Engineering Research Council,UK.
1984 - 1985: Visiting Associate Professor at the Department of Mathematics CALTECH (California Institute of Technology) and at UCLA.
Jan. 1-30 1986: Visitor at IMA (Institute for Mathematics and its Applications), Minneapolis, Minnesota, as a part of the program for the IMA year for stochastic differential equations.
Jan.-June 1989: Visiting Professor at the Department of Mathematics, University of California at San Diego.
Sept.-Dec.1994: Visiting professor at the University of Botswana (UB) in Gaborone, Africa. This visit was arranged as a part of the cooperation program between UB and the University of Oslo. In Botswana I gave one undergraduate and one graduate course, as well as a research seminar for the staff. I also started the supervision of a graduate student from UB,Stephen Muyangwa, with a M.Phil. project in mathematical finance.
Jan.-May 1999: Visiting professor/visiting research fellow at the Department of Mathematics, University of California at Irvine.
January 2002: Visiting professor for one month at the Department of Mathematics and the Department of Financial Engineering of the National University of Singapore.
November 2002: Visiting professor for one month at the University of Paris VI, Paris, France.
January 2003: Visiting professor for one month at the Department of Mathematics and the Department of Financial Engineering of the National University of Singapore.
November 2004: Visiting professor for one month at the University of Botswana in Gaborone, Botswana.
June 12 – 16, 2006: Visiting professor at the Chinese University of Hong Kong, invited by Professor Xunyu Zhou. I gave one guest lecture during my stay there.
January 1-20, 2007: Visiting professor at the Indian Science Institute, Bangalore, India. There I gave an intensive course on Malliavin Calculus and Applications.
January 2008: Visiting professor for one month at the Department of Mathematics and the Department of Economics at the Nanyang Technological University, Singapore.
Awards, prizes and selected commissions
1964: Winner of the national mathematical competition "Kronprinsens prisoppgaver for norske gymnasiaster",organized by the Norwegian Mathematical Society.
August 1992 -July 1996: VISTA professor appointed by The Norwegian Academy of Science and Letters in cooperation with Den Norske Stats Oljeselskap a.s. (Statoil). This is a research position with no administrative or teaching obligations except supervision of graduate students.
May 1996: Elected member of the Norwegian Academy of Science and Letters.
May 1996: Winner of the Nansen Prize for 1996,for my research in stochastic analysis and its applications.
From 1996: Norwegian coordinator of the NUFU-supported Southern African graduate program “Mathematical Modelling”
January 2002: Elected member of the Royal Norwegian Science Society.
From 2005: Chair of the European Science Foundation program “Advanced Mathematical Methods in Finance (AMaMeF)”.
Administration
Jan.1976-July 77: Member of the Board of College Education, Agder region. This is the board that coordinates and plans the education on the college level in the Agder counties of Norway.
Jan.1987-Dec.88: Chairman of the Mathematics Department, Section A, University of Oslo.
Jan.1987-Dec.88: President of the Norwegian Mathematical Society.
July 1992: Coorganizer of the 4th Workshop on Stochastic Analysis and Related Topics, held in Oslo,Norway.
1992: One of the initiators of the new program of study "Mathematics and Economics" at the Mathematics Department, University of Oslo.
July 1994: Coorganizer of the 5th Workshop on Stochastic Analysis and Related Topics, held in Silivri, Turkey.
Jan.-June 1995: Scientific Director of the program "Stochastic analysis and Stochastic Processes", held at the Mittag-Leffler Mathematical Research Institute in Djursholm, Sweden.
July 1996: Coorganizer of the 6th Workshop on Stochastic Analysis and Related Topics, held in Geilo,Norway.
December 1997: Coorganizer of the international conference "Workshop on Mathematical Finance" held at the University of Botswana, Africa.
June 1998: Coorganizer of the Workshop on Mathematical Finance,held at the Sophus Lie Conference Centre, Nordfjordeid, Norway.
July 1998: Coorganizer of the 7th Workshop on Stochastic analysis and Related Topics, held in Kusadasi,Turkey.
August 1999: Coorganizer of the Second Nordic-Russian Symposium on Stochastic Analysis in Beitostølen, Norway.
Nov./Dec. 1999: Coorganizer of the Second Botswana Symposium on Mathematical Finance in Gaborone, Botswana.
June 2000: Coorganizer of the session on Stochastic Differential Equations and Financial Mathematics at the AMS-Scand Conference in Odense 13 -16 June 2000.
June/July 2001: Coorganizer of the Midnight Sun Workshop on Stochastic Analysis and Mathematical Finance, Kautokeino, Norway.
Dec.2001: Coorganizer of the Third Botswana Symposium on Mathematical Finance in Gaborone, Botswana.
August 2003: Coorganizer of the Arctic Workshop on Stochastic Analysis and Mathematical Finance, Tromsø, Norway.
Dec.2003: Coorganizer of the SAMSA Symposium on Mathematical Finance and Industial Mathematics, Livingstone, Zambia.
December 2004: Coorganizer of the SAMSA Symposium 2004 at Polokwane, South Africa.
July 29 - August 4, 2005: Coorganizer of the Abel Symposium on Stochastic Analysis and Applications, held at the University of Oslo, Norway.
December 2005: Coorganizer of the SAMSA Symposium 2005 in Blantyre, Malawi.
November 2006: Coorganizer of the SAMSA Conference 2006 in Gaborone, Botswana.
June 2007: Cooganizer of the AMaMeF workshop “Innovations in Mathematical Finance”, held in Loen, Norway.
Sept.- December 2007: Scientific Director of the program "Stochastic Partial Differential Equations", held at the Mittag-Leffler Mathematical Research Institute in Djursholm, Sweden.
November 2007: Coorganizer of the SAMSA Conference 2007 in Windhoek, Namibia.
Every year since 1993 I have been a co-organizer of the annual event "Workshop on Mathematics and Economics", held at the Department of Mathematics, University of Oslo.
Editorial appointments
1979 - 1988: Member of the editorial board of NORMAT (Nordisk Matematisk Tidskrift).
1991 - 1999: Member of the editorial board of the international mathematical research journal "Potential Analysis".
1996 - 2002: Associate editor of the international mathematical research journal "Finance and Stochastics".
From 1997 : Associate editor of the international mathematical research journal "Journal of Applied Mathematics and Optimization".
From 1998 : Associate editor of the international mathematical research journal "Stochastics "
From 2002 : Associate editor of the international mathematical research journal "Stochastic Analysis and Applications"
From 2002 : Member of the Advisory Board of the book series "Applications of Mathematics: Stochastic Modeling and Applied Probability", published by Springer.
From 2006: Member of the editorial board of the international research journal “Infinite Dimensional Analysis, Quantum Probability and Related Topics”
From 2008: Associate editor of the international research journal Portugaliae Mathematicae.
Students
I have been the supervisor of the following dr.scient / Ph.D. students:
1) Jan Ubøe (completed 1989)
2) Håkon Gjessing (external supervisor) (completed 1995)
3) Fred Espen Benth (completed 1995)
4) Jon Gjerde (completed 1996)
5) Ismail Elsanosi (completed 2000)
6) Kristin Reikvam (completed 2001)
7) Bjørnar Larssen (completed 2002)
8) Nils Christian Framstad (completed 2002)
9) Cloud Makasu (completed 2002)
10) Alberto Lanconelli (completed 2004)
11) Thilo Meyer.Brandis (completed 2005)
12) Rune Johansen (completed 2005)
13) Sure Mataramvura (Zimbabwe) (completed 2007)
14) An Ta Thi Kieu (completed 2008)
Currently I am supervising the following Ph.D. students:
Carl Peter Kirkebø
Eliot Chikodza (Zimbabwe)
Yeliz Yolcu Occur.
In addition I have supervised a number of cand. scient/ Masters students.
Conferences and guest lectures
I have attended more than 300 workshops and conferences since 1969. Since January 2000 I have participated at the following:
Jan.21, 2000: Invited lecture at the University of Paris — Dauphine. Title of lecture: "Fractional white noise calculus and applications to finance".
March 29-31, 2000: The Bachelier Colloquium on Mathematical Finance. University of Besancon, France. Title of talk: Optimal consumption and portfolio in a Black-Scholes market driven by fractional Brownian motion".
May 4, 2000: Invited lecture at the Caesar Institute/University of Bonn, Germany. Title of talk: "Optimal streams of dividends from a stochastic market with delay".
May 19, 2000: Invited lecture at the University of Jyväskylä, finland. Title of talk: "Optimal control with partial observation".
August 19-22, 2000: The Nagu/Nauvo workshop on Mathematical Modeling in Finance and Telecommunications, Nagu/Nauvo, Finland. Title of talk: "A stochastic maximum principle for fractional Brownian motion and applications to finance".
September 11-15, 2000: School of Mathematical Finance, INSEA,Rabat,Morocco: "Combined impulse and stochastic control with applications to fiance" Invited lectures (4 lectures)
October 5-7, 2000: Conference on Intertemporal Finance, University of Konstanz, Germany. Invited talk:" The maximum principle for processes driven by fractional Brownian motion and applications to finance"
November 10-11, 2000: Symposium on Stochastic Functional Differential Equations and Related Topics, University of Warwick, England: Two invited talks, entitled "Some solvable stochastic control problem for stochastic differential equations with delay", part 1 and 2.
December 4-5, 2000: Conference in honor of Professor Alain Bensoussan, Paris. Invited lecture: "The maximum principle for stochastic differential equations with delay, with applications to finance".
December 4-5, 2000: The conference in honor of Professor Alain Bensoussan, Paris. Invited lecture. Title of talk: "A maximum principle for optimal control of stochastic systems with delay, with applications to finance".
December 11-15, 2000: The 12th Conference of the Southern African Mathematical Sciences association, held in Swaziland: Invited keynote speaker. Title of talk: "Fractional Brownian motion - an old concept with new applications".
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January 4, 2001: Conference on Stochastic Partial Differential Equations, University of Copenhagen, Denmark. Invited lecture. Title of talk: "Stochastic partial differential equations driven by fractional white noise".
January 15-16, 2001: Invited lectures at the National University of Singapore, Dept. of Mathematics and Dept. of Financial engineering. Titles of talks:
(1) An Introduction to Mathematical Finance
(2) Optimal consumption and portfolio under fixed and proportional transaction costs
February 15, 2001: Workshop on Fractional Brownian Motion, University of Barcelona, Spain. Invited lecture. Title of talk: "Stochastic partial differential equations driven by fractional white noise".
May 23, 2001: Invited lecture at the University of Manchester, England. Title of talk: "An introduction to Malliavin calculus and its application to finance".
May 25, 2001: Workshop on SPDEs in Finance, University of Warwick, England. Title of talk: "Optimal control of SPDEs and application to stochastic control with partial observation".
May 29, 2001: Invited lectures at Imperial College, London, England. Titles of talks:
1) “White noise calculus for fractional Brownian motion and applications to finance”
2) “Weighted local time and the Tanaka formula for fractional Brownian motion, with application to the SLSG strategy in finance".
July 16-18, 2001: Invited speaker at the Conference on Mathematical Finance in Kyongju, South Korea. Title of talk: "Optimal control of stochastic partial differential equations and applications to partial observation control"
July 19-20, 2001: Four invited lectures at Sogang University in Seoul, South Korea, entitled "White noise analysis and applications to finance".
August 27-31, 2001: This week I gave an invited intensive course (20 lectures) on "Stochastic Control Theory and Applications to Economics" at Odense University, Denmark.
September 18-22, 2001: This week I gave 4 invited lectures on the topic "Applications of White Noise Analysis to Finance" at the Summer School on Infinte Dimensional Analysis in Coimbra, Portugal.
December 4, 2001: The Third Botswana Symposium on Mathematical Finance, University of Botswana. Title of talk: "Optimal control of stochastic partial differential equations and applications to partial observation control".
December 13, 2001: Workshop on Malliavin Calculus and Applications to Finance, INRIA, Paris. Invited lecture. Title of talk: "Malliavin derivatives and explicit representations of minimal variance hedging in Lévy markets".
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January 12, 2002: Workshop on Mathematical Finance, the National University of Singapore. Invited lecture. Title of talk: "Optimal control of stochastic partial differential equations and applications to partial observation control".
May 20-24, 2002: Symposium on Stochastic Analysis and Applications in Ascona, Switzerland. Invited lecture. Title of talk: "White noise calculus for Lévy processes and applications to finance".
June 12 - 15, 2002: The Second Bachelier Society Conference on Mathematical Finance, held in Crete,Greece. Title of talk: "Weighted local time for fractional Brownian motion and applications to finance".
August 2 - 7, 2002: The Laugarvatn Workshop on Stochastic Analysis. Title of talk: "A general approach to insider trading".
August 16 - 17, 2002: International Conference on Stochastic Economic Dynamics, Helsingør, Denmark. Invited speaker. Titles of talks:
"An introduction to Malliavin calculus and its applications"
"Fractional Brownian motion and applications to finance"
September 9-13, 2002: Workshop on Random Processes and Fields and Financial Applications, University of Bologna, Italy. As one of the two invited main speakers I gave 10 lectures on the topic "Stochastic calculus with fractional Brownian motion and applications".
November 2002: I gave a total of 6 talks on stochastic analysis and applications at University of Marne La Vallée, at University of Paris VI and at INRIA, Paris.
December 9-13, 2002: SAMSA Conference, Pretoria, South Africa. Title of talk: "A general stochastic calculus approach to insider trading".
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January 10, 2003: Workshop on Mathematical Finance, the National University of Singapore. Invited lecture. Title of talk: "A general stochastic calculus approach to insider trading".
February 14-15, 2003: Workshop on Mathematical Finance, Nice,France. Invited lecture. Title of talk: "The value of information. A stochastic calculus approach to insider trading".
March 11-14, 2003: Spring School on Stochastic Delay Equations, Berlin, Germany. Invited lecture. I gave a series of 3 talks with title: "Optimal control of stochastic delay equations and applications".
May 2-3, 2003: Workshop on Fractional Brownian Motion, University of Warwick, England. Title of talk: "White noise analysis and Malliavin calculus for fractionaøl Brownian motion".
June 11-14, 2003: Workshop on Mathematical Finance, L´Aquila, Italy. Invited lecture. Title of talk: "Optimal control with partial information in an anticipating environment".
June 16-20, 2003: The Kolmogorov Conference,Moscow, Russia. Invited lecture. Title of talk: "Optimal control with partial information in an anticipating environment".
July 1-3, 2003: The Pascal Conference on Mathematical Finance, Paris, France. Invited senior participant.
August 5-10, 2003: The Arctic Workshop on Stochastic Analysis and Mathematical Finance, Tromsø. Norway. Title of talk: "Optimal control with partial information in an anticipating environment".
August 18-25, 2003: Invited guest to the Centro de Ciencias Matematicas (CCM), Madeira. Title of talk: "Optimal control with partial information in an anticipating environment".
September 12-14, 2003: "Mathematical Weekend in Lisbon, Portugal", organized by The European Mathematical Society. Invited speaker. Title of talk: "Optimal portfolio for an insider in a market driven by Lévy processes".
October 20-24, 2003: Conference on Analysis and Probability, Hammamet, Tunisia. Invited speaker. Title of talk: "Optimal portfolio for an insider in a market driven by Lévy processes".
November 13-14, 2003: Workshop on Insurance, Finance and Control, Technical University of Munich, Munich, Germany. Invited speaker. Title of talk: "Optimal portfolio for an insider in a market driven by Lévy processes".
November 20, 2003: Invited speaker to NTNU, Trondheim, Norway. I gave two talks, with title: "Optimal portfolio for an insider in a market driven by (i) Brownian motion (ii) Lévy processes".
December 8-12, 2003: The SAMSA Conference on Mathematical Finance and Industrial Mathematics, Livingstone, Zambia. Title of talk: "What is the optimal portfolio for an honest trader in a market influenced by insiders?"
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January 22-23, 2004: Invited speaker to the INRIA workshop on "Stochastic control and the value of information". Title of talk: "Optimal control for an insider in a market driven by Lévy processes".
February 2-5, 2004: Invited speaker to the workshop "Stochastic Systems with Delay and Memory", held in Wittenberg, Germany. Title of talk: "Stochastic control with delayed information".
February 27, 2004: Invited speaker to the “Workshop on Mathematical Finance", organized by the newly established African Institute of Mathematical Sciences (AIMS) in Cape Town, South Africa. Title of talk: “The value of information in stochastic control and finance”.
March 1-5, 2004: Invited speaker to the workshop "Hypermodels in Finance" held in Tsitsikamma, South Africa. Title of talk: "Local time and the Donsker delta function of a Lévy process".
May 24-31, 2004: Invited speaker at the Yellow Mountain Workshop on Mathematical Fianance, Huanshang, China. Title of talk: "Optimal portfolio for an insider in a market driven by Lévy processes".
June 30-July 7, 2004: Invited speaker at the Fourth World Congress of Nonlinear Analysts (WCNA 2004) in Orlando, Florida, USA. Title of talk:"Optimal portfolio for an insider in a market driven by Lévy processes".
August 16-18, 2004: Invited speaker at the workshop “New Techniques in Applied Stochastica”, Espoo, Finland, Title of talk:”Optimal portfolio for an insider with general utility”.
September 1-6, 2004: Invited speaker at the 6th Pan-African Congress of Mathematicians, Tunis, Tunisia. Title of talk: ”Some optimal portfolio problems for an insider”.
September 10, 2004: Invited talk at the University of Odense, Denmark. Title of talk: “The value of information in stochastic control and finance”
September 14, 2004: Invited talk at the London Business School. Title of talk; “Optimal consumption and portfolio for an insider in a market driven by Lévy processes”.
October 27, 2004: Invited speaker at Imperial College, London. Title of talk: “Anticipative stochastic calculus and optimal consumption and portfolio for an insider in a market driven by Lévy processes”.
November 2004: Visiting professor at the University of Botswana. Here I gave an intensive course on stochastic analysis and applications .
November 29 - December 2, 2004: Invited talk at the SAMSA Conference in Polokwane, South Africa. Title of talk: “Optimal consumption rate for an insider in a market driven by Lévy processes”.
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January 10-14, 2005: Invited speaker at the 4th Conference on Lévy Processes, held at the University of Manchester, U.K. Title of talk: “Optimal consumption and portfolio for an insider in a market driven by Lévy processes”.
January 24 –February 2, 2005: Invited lecturer at the African Institute for Mathematical Sciences (AIMS), Muizenberg, South Africa. There I gave a course (14 lectures) on stochastic analysis and stochastic control.
February 2, 2005: Invited talk at the University of Cape Town, South Africa. Title of talk: “An introduction to Malliavin calculus and applications to finance”.
March 1 –4, 2005: Invited main lecturer at the Conference on Analysis, Geometry and Applications, held at the University of Cameroon in Yaounde, Cameroon. Title of lecture series (4 lectures): "An introduction to optimal control of jump diffusions and applications to finance".
May 30 - June 3 2005: Invited speaker at the Fifth Seminar on Stochastic Analysis, Random Fields and Applications and Minisymposium on Stochastic Methods in Financial Models, held at the Monte Verita Research Center in Ascona, Switzerland. Title of talk: "The value of information in stochastic control and finance".
June 27 – July1, 2005: Invited lecturer at the Summer Conference on Stochastic Partial Differential Equations, held at the University of Wyoming, Laramie, Wyoming. I gave a course with a total of 20 lectures and 20 tutorials.
August 15 – 18, 2005: Invited speaker at the workshop “Partial Differential Equations in Finance”, held at the Royal Institute of Technology, Stockholm.
September 12 – 17, 2005: Invited speaker at the International Conference on Mathematical Analysis and Random Phenomena, held in Hammamet, Tunisia.
October 17 – 21, 2005:This week I gave an intensive course on Stochastic Analysis and Applications (10 lectures and 10 tutorials) at the University of Tunis, invited by Professor Habib Ouerdiane.
November 3-5, 2005: Invited speaker at the NHH workshop at Hardingasete outside of Bergen, Norway.
November 10-12, 2005: Invited speaker at the first AMaMeF workshop, held at Imperial College, London.
November 28 – December 2, 2005: Invited speaker at the SAMSA Conference 2005 in Malawi, Africa.
December 14 – 17, 2005: Invited plenary speaker at the conference Quantitative Mathematical Finance (QMF) 2005 in Sydney, Australia.
January 9 – 14, 2006: Visiting professor at the University of Austin, Texas, invited by Professor Thaleia Zariphopoulou. I gave one guest lecture during my stay there.
January 23 – 27, 2006: Invited speaker at the Symposium on Optimal Stopping, held at the University of Manchester, England.
February 1-3, 2006: Speaker at the AMaMeF workshop held at INRIA, Paris.
March 6 – 8, 2006: Invited guest and speaker at the University of Barcelona and the Universidad Autonoma, Barcelona (two talks).
March 24, 2006: Invited speaker at the Workshop on Stochastic Analysis and Dynamical Systems, organized by the University of Edinburgh, Scotland.
April 26 – 29, 2006: Speaker at the First AMaMeF Conference, which was held in Side (Antalya), Turkey,
May 12, 2006: Invited colloquium speaker at the LMU University, Munich, Germany.
May 22, 2006: Invited talk at the Workshop on Malliavin Calculus, held at the University of Montpellier, France.
August 27-31, 2006: Invited talk at the Russian-Scandinavian Symposium “Probability Theory and Applied probability” in Petrozavodsk, Russia.
September 6 -8, 2006: Invited talk at the Workshop on Financial Modeling with Jump Processes” in Ecole Polytechnique, Palaiseau, Paris, France.
September 15, 2006: Invited talk at the University of Toulouse, France.
September 18-19, 2006: Invited talk at the Deutscher Matenatiker-Vereinigung conference in Bonn, Germany.
October 20 - 22, 2006: Invited talk at the Workshop on Advances and Challenges in the Solution of Stochastic Partial Differential Equations, Brown University, Rhode Island, USA..
October 30, 2006: Invited guest lecture at the University of York, UK.
November 1, 2006: Invited guest lecture at the University of Manchester, UK.
November 27 - 30, 2006: Invited speaker at the 2006 SAMSA (Southern African Mathematical Sciences Association) Conference in Gaborone, Botswana.
January 2007: Visiting Professor at the Indian Institute of Scoence (the Tata Institute), Bangalore, India. There I gave a minicourse on Malliavin Calculus and Applications to Finance.
January 2007: Guest lecture at the Indian Statistical Institute, Bangalore. Title of talk: Risk minimizing portfolios and stochastic differential games”
May 1, 2007: Invited plenary speaker at the Second AMaMeF Conference, held in Bedlewo, Poland. Title of talk: Optimal stopping with delayed and advanced information flow.
August 13-17, 2007: Invited speaker at the Conference on Lévy Processes, University of Copenhagen, Denmark. Title of talk: A Malliavin calculus approach to a general maximum principle for stochastic control for jump diffusions”
August 20-22, 2007: Invited speaker at the Workshop on Filtering and Control, University of Warwick. Title of talk: “A strategic insider trading equilibrium”
September 18-22, 2007: Invited speaker at the AMaMeF Mid-Term Conference on Mathematical Finance, Vienna, Austria. Title of talk: “A strategic insider trading equilibrium”
November 5-10, 2007: Invited speaker at the Conference on Stochastic Analysis and Applications, held in Hammamet, Tunisia. Title of talk: “A strategic insider trading equilibrium”
November 27 -30, 2007: Invited speaker at the SAMSA 2007 Conference, held in Windhoek, Namibia. Title of talk: “Risk indifference pricing in incomplete markets”.
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January 2008: Visiting professor at the Nanyang Technological University (NTU), Singapore..
January 2008: Invited guest lecture at the National University of Singapore (US). Title of talk: “A strategic insider trading equilibrium”
February 4 – 6, 2008: Invited lectures at the University of Oxford. Titles of talks:
1) “A Malliavin calculus approach to ta general maximum principle for stochastic control”
2) “A strategic insider equilibrium in finance”.
February 25 – 29, 2008: Invited minicourse on stochastic control theory and applications to finance at the University of Tunis.
March 4 – 7, 2008: Invited lecture at the GOCPS Conference in Aachen, Germany. Title of talk: “A strategic insider equilibrium in finance”
April 14 – 17, 2008: Invited series of lectures on Malliavin Calculus and Applications to Finance at the New University of Lisbon, Portugal.
May 5 – 10, 2008: Invited lecture at the Third AMaMeF Conference in Pitest, Romania. Title of talk:
“Optimal control of forward-backward SDEs and risk minimization via g-expectation.”
May 19 – 23, 2008: Invited visit to the University of Valenciennes, France. Title of talk: “Optimal control of forward-backward SDEs and risk minimization via g-expectation.”
June 3 – 10, 2008: Invited guest lectures at the University of California, San Diego (UCSD) (2 talks), The University of California, Santa Barbara (UCSB)(1 talk) and the University of California, Los Angeles (UCLA).(1 talk). Titles of talks:
(1) Introduction to Malliavin calculus for Lévy processes and applications to finance
(2) Optimal stochastic impulse control with delayed reaction.
August 4 – 6, 2008: Intensive course on stochastic differential equations at the Bio-Math Summer School 2008 “Stochastic Differential Equation Models with Applications”, held in Middelfart, Denmark.
August 15 – 16, 2008: Invited lecture at the Symposium on Stochastic Dynamic Models in Finance and Economics, held at the University of Southern Denmark, Odense, Denmark. Title of talk: “Risk indifference pricing in jump diffusion markets”
Other scientific activity
1989 - 1997: Leader of the project "Fluid flow in stochastic reservoirs", where flow in porous media is studied using stochastic differential equations. The project is supported by VISTA, a research cooperation between The Norwegian Academy of Science and Den Norske Stats Oljeselskap A.S. (Statoil).
1996 - 2002: Norwegian coordinator of the Nordic network "Stochastic Analysis and Applications", led by Professor Paavo Salminen, Aabo University, Finland. This is a research cooperation between the Nordic countries, sponsored by NorFa.
1996 - 2007: Norwegian coordinator and one of the initiators of the NUFU program Mathematical Modelling, which was a cooperation between the University of Oslo and the University of Zimbabwe, aiming to enhance the education of mathematicians in the region of Southern Africa.
1999 - 2000: Agnès Sulem at INRIA, Paris, and I run the research project "Stochastic Control and Applications. The project was supported by the Norwegian Research Council, under the Aurora program, "Collaboration Research Projects Between Norway and France ".
2002 - 2006: Elected member of the Committee for Developing Countries (CDC).
2003: Appointed as a Principal Investigator for the stochastic analysis group of the newly established Center of Excellence, called Center of Mathematics for Applications (CMA), located at the Department of Mathematics, University of Oslo..
2005 - 2008: Elected member of the Selection Committee for the Ramanujan Prize for Mathematicians from Developing Countries, established by the International Mathematical Union and the Niels Henrik Abel Foundation.
2008: Norwegian coordinator of the NOMA program “Southern African Masters Program in Mathematical Modelling”, based in Tanzania.
I have refereed a number of papers for international research journals. I have been a member of several hiring committees for positions in Norway and Sweden and I have been an opponent in 12 doctoral disputations, 5 in Norway, 1 in Sweden, 1 in Finland, 1 in Denmark and 4 in France.
List of publications
See separate document.