Research interests
- Markov processes: optimal stopping, stopping games, impulse control, stochastic control, numerical methods, incomplete information (filtering)
- Estimation and stochastic control for energy markets: storage and grid balancing
- Machine learning: theory and applications (biochemical, medical and marketing data)
Grants
- Principal Investigator "Martingale theory for asymmetric information games" (EPSRC, UKRI175, 2024-2025)
- Principal Investigator (joint with G. Aivaliotis (Co-I)) "Adult Social Care - Risk Stratification and Prevention" (EPSRC IAA, 2020-2021)
- Co-investigator (joint with R. Ruddle (PI), G. Aivaliotis, M. Birkin, J. Keen, K. Macnish, A. Markham, Ch. Megone) "QuantiCode: Intelligent infrastructure for quantitative, coded longitudinal data" (EPSRC, EP/N013980/1, 2016-2020)
- Co-investigator (joint with T. Cockerill (PI), A. Pimms) "Using storage to decarbonise electricity consumption" (CESI, FFC1-026, 2018-2019)
- Lead supervisor for LIDS funded PhD project (joint with T. De Angelis, 2017-2021)
- Co-supervisor for CSC funded PhD project (joint with T. De Angelis, 2017-2021)
- Lead supervisor for Leeds-York NERC DTP funded PhD project (joint with T. Cockerill, P. Taylor, 2015-2019)
- Lead supervisor for University of Leeds funded PhD project (joint with G. Aivaliotis and A.Yu. Veretennikov, 2013-2017)
- Investigator (joint with Tiziano De Angelis) "Stopping games with ambiguity-averse players" (Heilbronn Institute, September 2017)
- Co-investigator (joint with A. Palczewski (PI)) "Modern assert management for non-Gaussian distributions" (Polish Research Council, 2015-2017)
- LIDA internship "Machine learning versus classical survival analysis" (joint with G. Aivaliotis, M. Morris, 2016)
- LIDA internship "Food wastage reduction for Jet2" (joint with G. Aivaliotis, 2016)
- Co-investigator (joint with L. Stettner (PI)) "Stochastic control problems with applications to mathematics of finance" (Polish Research Council, 2013-2016)
- Summer bursary project (joint with G. Aivaliotis), "Propensity modelling" (EPSRC and Callcredit Ltd., 2014)
- Co-investigator (joint with L. Stettner (PI)) "Problems of stochastic control with applications to financial mathematics" (Polish Research Council, 2009-2011)
Past events
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Conference “Stochastic Games and Randomised Strategies”, 8-10 September 2025
- Workshop on "Stochastic games with asymmetric information", 12-16 June 2023 (within
Simons Semester "Stochastic Modelling and Control"
at Institute of Mathematics, Polish Academy of Sciences)
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Workshop on “Stochastic Games with Partial and
Asymmetric Information”, 6-7 July 2021
-
Second Leeds Meeting
on Stochastic Control and Games under Ambiguity, 2019, April 8-9, 2019, was a two-day event on stochastic control, robust optimisation and stochastic games. The conference brought together participants of our research workshop and other international experts, and featured contributed and invited talks and time for discussions.
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An intensive research workshop on stochastic control under ambiguity was held on April 1-7 and 10-13, 2019, in the School of Mathematics at University of Leeds and featured intensive discussions about problems and tools in stochastic control and games in which players face some kind of ambiguity.
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Shaping a more Sustainable Future with Mathematics - my PhD student's talk on TEDx Leeds about the advantages of using stochastic control methods for managing electricity systems.
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Conference on Stochastic Control, Ambiguity and Games, September 4-5, 2017, was a two-day event on stochastic control, robust optimisation and stochastic games which explored existing and new links across the different research areas. The conference brought together participants of our research week and other international experts, and featured contributed and invited talks, time for discussions and an evening get-together on the first day.
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An intensive research week on Stopping Games for Ambiguity-Averse Players was held on September 5 – 9, 2017, in the School of Mathematics at University of Leeds and featured intensive discussions between 15 academics about problems and tools in stochastic games in which players face some kind of ambiguity, for example, about payoffs or the dynamics of the underlying process.
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Workshop on Mathematics of Energy Management held on the 14th June 2016 at the School of Mathematics, University of Leeds. The workshop
brought together researchers interested in mathematical aspects of energy systems:
- short- and long-term management,
- pricing of ancilliary services,
- investment planning,
- trading in energy markets.