Spatio-temporal processes and applications to energy and finance
Spatio-temporal processes are powerful tools to model systems that evolve stochastically in time and space. Some examples of spatio-temporal processes are: Second order processes, marked point processes, hierarchical Bayesian models, measure valued processes and stochastic partial differential equations. My research program includes a wide range of applications of spatio temporal processes in finance and energy: Some examples are: Modeling of wind power, solar energy, power plant failure, turbulence and fluid mechanics as well as applications to credit risk and mathematical finance.