个人简介
Dr Arnaud Lionnet, Assistant Professor.
联系方式
邮件：a.lionnet@bham.ac.uk
任职及教育经历
PhD in Mathematics, University of Oxford, 2013
MSc in Mathematics, École normale supérieure de Lyon, 2009
Agrégation de mathématiques, 2009
BSc in Physics, Ecole normale supérieure de Lyon, 2007
研究领域
Dr Arnaud Lionnet is a Lecturer in Mathematical Statistics. Broadly speaking, he works in probability, numerical methods and mathematical finance and economics.
One topic he has been fairly involved with is the theoretical and numerical analysis of Backward Stochastic Differential Equations (BSDEs). These equations provide, among other applications, a probabilistic reformulation of parabolic Partial Differential Equations (PDEs). As a result, he became interested more generally in probabilistic numerical methods for PDEs.
Dr Lionnet recently started working on a very different research topic: systemic risk in financial networks. This is the risk specifically associated with the fact that the financial system is made up of a large number of interconnected financial institutions. As a result, a moderate economic shock can trigger a large-scale epidemic of bankruptcies, by domino effect.
More generally, he is increasingly interested in statistical learning and in economics.
近期学术出版物
A. Lionnet, G. dos Reis and L. Szpruch (2018). Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth. Annals of Applied Probability, vol 28:4, 2544-2591.
J. Bielagk, A. Lionnet and G. dos Reis (2017). Equilibrium pricing under relative performance concerns. SIAM Journal on Financial Mathematics, vol 8:1, 435–482.
A. Lionnet, G. dos Reis and L. Szpruch (2015). Time discretization of FBSDEs with polynomial growth drivers and reaction-diffusion PDEs. Annals of Applied Probability, vol 25:5, 2563-2625.
A. Lionnet (2014), Some results on general quadratic reflected BSDEs driven by a continuous martingale. Stochastic Processes and their Applications, vol 124:3,1275-1302.
