I am a Ph.D student in the MIGSAA CDT, based at University of Edinburgh.
Dr. Sotirios Sabanis (University of Edinburgh)
I am interested in the interplays between the numerical schemes of stochastic differential equations (SDEs) and data science. My research mainly focused on the construction of higher order schemes and on the analysis of the stochastic gradient Langevin dynamics (SGLD) algorithm in the non-convex learning problem.
- (with Ö.D. Akyildiz, T. Damoulas, S. Sabanis) Nonasymptotic estimates for Stochastic Gradient Langevin Dynamics under local conditions in nonconvex optimization. Preprint, 2019. arXiv:1910.02008
- (with N.H. Chau, E. Moulines, M. Rásonyi, S. Sabanis) On stochastic gradient Langevin dynamics with dependent data streams: the fully non-convex case. Preprint, 2019. arXiv:1905.13142
- (with M. Barkhagen, N.H. Chau, E. Moulines, M. Rásonyi, S. Sabanis) On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case. To appear in Bernoulli, 2019.
- (with S. Sabanis) Higher Order Langevin Monte Carlo Algorithm. Electronic Journal of Statistics, 13(2):3805-3850, 2019.
- (with S. Sabanis) On explicit order 1.5 approximations with varying coefficients: the case of super-linear diffusion coefficients. Journal of Complexity, 50: 84-115, 2019.
- Minisymposium "Stochastic Computation and Complexity" at ICIAM 2019, 07/2019, University of Valencia, Spain. (Invited speaker)
- SDEs/SPDEs: Theory, Numerics and their interplay with Data Science, 06/2019, University of Crete, Greece. (Invited speaker)
- Probability working seminar, 03/2019, University of Edinburgh, UK.
- Probability working seminar, 02/2019, University of Edinburgh, UK.
- North British Probability seminar, 02/2019, University of Edinburgh, UK.
- Markov Chain Monte Carlo and Stochastic Simulation, 09/2018, Ecole polytechnique, France.
- Joint CDT Colloquium, 04/2018, University of Oxford, UK.
- Bielefeld-Edinburgh-Swansea Stochastic Spring Workshop, 03/2018, Bielefeld University, Germany.
Other Conference/Workshops attended
- Mean-field games, energy systems, and other applications, 04/2019, ICMS, University of Edinburgh, UK.
- Analysis of Adaptive Stochastic gradient and MCMC algorithms, 06/2018, Alan Turing Institute, UK.
- MIGSAA 4th Annual Colloquium, 09/2018, ICMS, Edinburgh, UK.
I have been a tutor for the following courses at University of Edinburgh:
- (2019 - 2020) Calculus and its applications.
- (2019 - 2020) Probability.
- (2019 - 2020) Engineering math 1a (Math for Natural Science).
- (2018 - 2019) Probability with applications.
- (2018 - 2019) Calculus and its applications.
- (2018 - 2019) Probability.
- (2018 - 2019) Financial Mathematics.
- (2017 - 2018) Financial Mathematics.
- (2017 - 2018) Proofs and Problem Solving.
- (2017 - 2018) Calculus and its applications.
- (2017 - 2018) Stochastic Processes. (SMSTC course)
- (05/2019) Probability with applications Markfest.
- (05/2018) Calculus and its applications Markfest.
- (Sep. 2016 - Present) Ph.D candidate, MIGSAA, University of Edinburgh, Edinburgh, UK. (Supervisor: Dr. Sotirios Sabanis)
- (2014 - 2015) MSc Financial Mathematics with Distinction, University of Edinburgh, Edinburgh, UK. (Thesis: Numerical solutions to PDEs and option pricing supervised by Prof. Istvan Gyongy)
- (2010 - 2014) BSc Financial Mathematics First Class Honours Degree, University of Liverpool, Liverpool, UK. and Xi’an Jiaotong-Liverpool University, Jiangsu, China.
- (2019) Hausdorff School Travel support, Hausdorff School, University of Bonn, Germany.
- (2019) Laura Wisewell Travel Scholarship, University of Edinburgh.
- (2017) Winner group prize, 2017 ICMS Modelling Camp, University of Edinburgh.
- (2016 - 2020) PhD Funding, The Maxwell Institute Graduate School in Analysis and its Applications.
- (2012 - 2014) Scholarship, University of Liverpool.