Benjamin A. Robinson

Benjamin A. RobinsonMy name is Ben Robinson and I am a postdoc in the group of Mathias Beiglböck and Walter Schachermayer in the Mathematical Finance and Probability Theory Group at the University of Vienna.

I obtained my PhD in 2020 from the University of Bath under the supervision of Alexander Cox. Here is my thesis, titled Stochastic control problems for multidimensional martingales.

You can contact me at ben.robinson 'at' univie.ac.at, or see my full contact details below.

Here is my CV.

Find me next at:

Stochastic Partial Differential Equations, ESI, Vienna, 12–16 February 2024

Research Interests

My research is in the areas of applied probability, stochastic analysis, and mathematical finance. Specifically, I am interested in:

 

Publications

A regularized Kellerer theorem in arbitrary dimension, with Gudmund Pammer and Walter Schachermayer
Annals of Applied Probability (to appear) [PDF] [arXiv]

SDEs with no strong solution arising from a problem of stochastic control, with Alexander Cox
Electronic Journal of Probability, 28 (2023), 1–24 [PDF] [arXiv]

Optimal control of martingales in a radially symmetric environment, with Alexander Cox
Stochastic Processes and their Applications, 159 (2023), 149–198 [PDF] [arXiv]

Preprints

Adapted Wasserstein distance between the laws of SDEs, with Julio Backhoff-Veraguas and Sigrid Källblad
[PDF] [arXiv] (submitted 2022)

Bicausal optimal transport for SDEs with irregular coefficients, with Michaela Szölgyenyi
In preparation

Theses

Stochastic control problems for multidimensional martingales [PDF], PhD thesis, 2020, University of Bath, supervised by Alexander Cox

Constrained optimal stopping problems [PDF], MRes report, 2016, University of Bath, supervised by Alexander Cox

Ergodicity of stochastic processes and the Markov chain central limit theorem [PDF], Master thesis, 2015, University of Bristol, supervised by Márton Balázs

Collaborators

Julio Backhoff-Veraguas, Márton Balázs, Alexander Cox, Sigrid Källblad, Gudmund Pammer, Walter Schachermayer, Michaela Szölgyenyi

Poster

Adapted Wasserstein distance between the laws of SDEs

Thumbnail of poster

 

Short CV

Present Postdoc in the group of Mathias Beiglböck and Walter Schachermayer in the Mathematical Finance and Probability Theory Group, Faculty of Mathematics, University of Vienna.
2020 PhD University of Bath, supervised by Alexander Cox.
Member of the EPSRC Centre for Doctoral Training in Statistical Applied Maths at Bath [SAMBa] and Prob-L@b, the probability group at the University of Bath.
2020 Research associate Institute for Mathematical Innovation, University of Bath.
2015–2019 Teaching assistant University of Bath
Department of Mathematical Sciences, Mathematics Resource Centre, and School of Management.
2016 MRes Statistical Applied Mathematics, University of Bath.
2015 MSci Mathematics, University of Bristol.
Awarded the Howell Peregrine Prize for best undergraduate project.

 

Seminars, Conferences, Schools

Upcoming

Stochastic Partial Differential Equations, ESI, University of Vienna, 12th–16th February 2024
Workshop Participant

Probability Seminar, University of Leeds, UK, 29th February 2024
Invited talk — Bicausal optimal transport for SDEs with irregular coefficients

Past

21st Winter School on Mathematical Finance, Soesterberg, Netherlands, 22nd–24th January 2024
Poster presentation — Bicausal optimal transport for SDEs with irregular coefficients

Research School: Stochastic and Deterministic Analysis for Irregular Models, CIRM, France, 8th–12th January 2024
Contributed talk — Bicausal optimal transport for SDEs with irregular coefficients

Vienna Probability Seminar, Institute of Science and Technology, Austria, 20th November 2023
Invited talk — A regularized Kellerer theorem in arbitrary dimension

11th Austrian Stochastic Days, University of Klagenfurt, 7th September 2023
Contributed talk — A regularized Kellerer theorem in arbitrary dimension [PDF]

SIAM Conference on Financial Mathematics and Engineering, Philadelphia, PA, USA, 6th–9th June 2023
Invited talk in Optimal Transport minisymposium — An adapted distance between laws of SDEs [PDF]

Mathematical Finance and Stochastics: A conference in honor of David Nualart, San Sebastian, 29th–31st May 2023
Contributed talk — A regularized Kellerer theorem in arbitrary dimension [PDF]

AAU Doctoral Seminar, Klagenfurt, Austria, 24th May 2023
Invited talk — Distances between stochastic processes [PDF]

German Probability and Statistics Days, Essen, Germany, 7th–10th March 2023
Contributed talk in Finance, insurance and risk section — Adapted Wasserstein distance between the laws of SDEs [PDF]

20th Winter School on Mathematical Finance, Soesterberg, Netherlands, 23rd–25th January 2023
Poster presentation — Adapted Wasserstein distance between the laws of SDEs [PDF]

10th Austrian Stochastic Days, University of Vienna, 8th September 2022
Contributed talk — Adapted Wasserstein distance between the laws of SDEs

PIMS-IFDS-NSF Summer School on Optimal Transport, University of Washington, Seattle, 19th June – 1st July 2022
Contributed talk — Bicausal transport between laws of SDEs

Stochastic Games and Martingale Optimal Transport, Università degli Studi di Milano, 6th May 2022
Contributed talk — A regularized Kellerer theorem in arbitrary dimension

Internal Mathematical Finance Group Seminar, University of Vienna, 25th November 2021
Talk — Knothe–Rosenblatt couplings: From discrete to continuous

Vienna Seminar in Mathematical Finance and Probability, University of Vienna, 29th April 2021
Invited talk — Optimal control of martingales in a radially symmetric environment [PDF]

Bernoulli-IMS One World Symposium, online, 24th–28th August 2020
Prerecorded talk — Optimal control of martingales in a radially symmetric environment [YouTube]

SAMBa Conference, University of Bath, 7th July 2020
Prerecorded talk — Controlling a random walker [YouTube]

Prob-L@b Internal Monthly Seminar (PIMS), University of Bath, 15th June 2020
Invited talk — Optimal control of martingales in a radially symmetric environment and an SDE with no strong solution [PDF]

Winter School on Theory and Practice of Optimal Stopping and Free Boundary Problems, University of Leeds, 13th January 2020
Contributed talk — An SDE with no strong solution arising from the stochastic control of martingales in a radially symmetric environment [PDF]

2nd Leeds Conference on Stochastic Control and Games Under Ambiguity, University of Leeds, 9th April 2019
Contributed talk — Optimal control of martingales in a radially symmetric environment [PDF]

Hausdorff School: Optimal Transport Meets Economic Theory, Hausdorff Centre for Mathematics, Universität Bonn, 23rd–27th July 2018
Invited participant

Martingale Optimal Transport (and Friends), University of Oxford, 18th–19th September 2017
Invited participant

Conference on Stochastic Control, Ambiguity and Games, University of Leeds, 4th September 2017
Poster presentation — Stochastic optimal control problems related to martingale optimal transport [PDF]

SAMBa Summer Conference, University of Bath, 20th–21st June 2017
Poster presentation — Stochastic optimal control problems related to martingale optimal transport [PDF]

BUC-VIII, CIMAT, Guanajuato, Mexico, 1st June 2017
Invited talk — Stochastic optimal control problems related to martingale optimal transport

 

Informal Student Seminars

Postgraduate Seminar Series, University of Bath, 29th April 2021
Talk — Measuring distances between random processes

Postgraduate Seminar Series, University of Bath, 11th October 2018
Talk — When should I stop? An introduction to optimal stopping

Introducing optimal stopping, via an interactive demonstration of the classical "Secretary Problem". Download code [iPython Notebook] to simulate the optimal stopping rule in this problem.

Student Probability Seminar, University of Bath, 20th March 2018
Talk — Introduction to stochastic optimal control

Postgraduate Mathematical Analysis Seminar, University of Bath, 27th November 2017
Talk — Introduction to viscosity solutions

Postgraduate Seminar Series, University of Bath, on 5th October 2017
Talk — How to move a pile of sand: An introduction to optimal transport

Postgraduate Seminar Series, University of Bath, 23rd February 2017
Talk — Random motion and PDEs: What's the connection?

Postgraduate Seminar Series, University of Bath, 25th February 2016
Talk — Sea ice: Data, modelling and uncertainty [PDF]

Describing work undertaken at SAMBa ITT3 to model historical sea ice levels using R-INLA, in collaboration with the Met Office Hadley Centre.

 

Teaching

Summer Semester 2024

24S Stochastic Processes, Exercises (online)
Master Course, Department of Statistics, University of Klagenfurt

Previous Teaching

23W Stochastics for Engineers, Exercises (online)
Master Course, Department of Statistics, University of Klagenfurt
2019 Senior peer tutor Mathematics Resource Centre (MASH), University of Bath
Led a team of tutors to run drop-in session for first year Mathematics undergraduate students and provided mathematical and statistical support at drop-in sessions for students from all disciplines.
2016 Part-time teaching fellow School of Management, University of Bath
Led a weekly seminar for a group of 30 MSc Students from the School of Management for the Masters level course Financial Derivatives
2015–2019 Casual teaching assistant Department of Mathematical Sciences, University of Bath
Led weekly tutorials for groups of 16–40 first and second year Mathematics undergraduate students for the courses Analysis 1, Probability & Statistics 1A, Analysis 2A.
2014–2015 Teaching support assistant School of Mathematics, University of Bristol
Led weekly tutorials for a group of 6 first year Mathematics undergraduate students, covering Probability, Statistics and Linear Algebra.

 

Roles and Responsibilities

Referee for Annals of Applied Probability

Organiser of the SIAM UKIE National Student Chapter Conference, University of Bath, 18th–19th June 2018

Organiser of the Postgraduate Seminar Series, Department of Mathematical Sciences, University of Bath, 2017–2018

Organiser of the SAMBa Summer Conference, University of Bath, 20th–21st June 2017

Organiser of the Bath SIAM-IMA Student Conference, University of Bath, 1st March 2017

Treasurer of the University of Bath SIAM-IMA Student Chapter, 2016–2018

 

Contact Details

E-mail address:
ben.robinson 'at' univie.ac.at
Office:
06.135, Oskar-Morgenstern-Platz 1, 1090 Wien
Group secretary:
Astrid Kollros-Spinka
astrid.kollros 'at' univie.ac.at
+43-1-4277-50722