People A-Z

Research Interests

I am a Professor of Stochastic Analysis and Algorithms at the University of Edinburgh. I also hold the personal chair of Statistics and Stochastic Analysis at the National Technical University of Athens. ​My research focus is on explicit numerical algorithms for nonlinear random systems of (typically) high dimension and their interplay with core data science and AI techniques. Examples of these algorithms are explicit numerical schemes for stochastic (partial) differential equations, MCMC algorithms, stochastic optimizers for neural networks and generative models. My research portfolio includes funding from the Alan Turing Institute (Fellowship), The Royal Society, EPSRC and Innovate UK.

I am the Director of the Centre for Investing Innovation, a strategic partnership between global asset management company abrdn and the University of Edinburgh. The Centre is funded by a £7.5 million commitment from abrdn across a five-year period.

Centre for Investing Innovation

A (somewhat old) example of an Industrial Project - Edinburgh Innovations

My research publications via Google Scholar

Research Groups

• Probability & Stochastic Analysis

Current and Recent PhD Students

Current:

- Tim Johnston ;

- Nikos Makras ;

Recent:

- Ying Zhang;

- Iosif Lytras ;

Recent Conference and Workshop Involvement

Invited Speaker or Conference/Workshop Organiser (selected list):

- A four-week Isaac Newton Institute satellite programme on "Diffusions in machine learning: Foundations, generative models and non-convex optimisation", 24 June 2024 to 19 July 2024, Alan Turing institute [Organiser]

-12th International Conference on Monte Carlo Methods and Applications, 8–12 July 2019, Sydney, Australia. [Session Chair]

- Workshop ’SDEs/SPDEs: Theory, Numerics and their interplay with Data Science’, University of Crete, 26-30 June, Crete, Greece. [Organiser]

- SIAM Conference on Financial Mathematics & Engineering, 3–7 June 2019, Toronto, Canada.[Session Chair]

- Workshop 'New trends in stochastic analysis', Academy of Mathematics and Systems Science, Chinese Academy of Sciences, 11-23 September 2018, Beijing, China.

- Alan Turing Institute workshop on 'Analysis of adaptive stochastic gradient and MCMC algorithms', 14-15 June 2018, London. [Organiser]

- Conference on Stochastic Analysis in Honour of Istvan Gyongy's 65th Birthday, 10-12 September 2016, University of Edinburgh. [Organiser]

- 12th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, 14-19 August 2016, Stanford, USA.

- 7th European congress of Mathematics, 18-22 July 2016, Berlin.

- Alan Turing Institute workshop on 'MCMC and diffusion techniques', 8-10 June 2016, London. [Organiser]

- Mathematics Seminar, Renyi Institute of the Hungarian Academy of Sciences, 12th May 2016, Budapest.

Biographical Statement

Professor Sotirios Sabanis is the Director of Knowledge Exchange at the School of Mathematics of the University of Edinburgh. He also holds the personal chair of Statistics and Stochastic Analysis at the National Technical University of Athens. He received his undergraduate training in Mathematics at the Aristotle University of Thessaloniki and was awarded a PhD from Strathclyde University (Department of Statistics and Modelling Science), Glasgow. As founding Programme Director, he led the development of a suite of postgraduate programmes in Computational Mathematical Finance at the University of Edinburgh and collaborates with industry through a number of joint projects.

His research has appeared in the Journal of Machine Learning Research, Annals of Applied Probability, Bernoulli, SIAM Journal on Mathematics of Data Science, SIAM Journal on Numerical Analysis, Stochastic Processes and their Applications, Stochastic Partial Differential Equations and other leading journals.

Professional Activities

Turing Fellow, The Alan Turing Institute, London.

Director of Impact/Knowledge Exchange.

Founding Programme Director:

- (2015-18) MSc in Computational Mathematical Finance

- (2010-18) MSc in Financial Modelling and Optimization

Publications

• Personal webpage with publications