Alexander Sokol
Employment: Senior asset allocation manager at Nordea Life and Pensions
Research Interests: Statistical inference for high-dimensional data. Stochastic calculus. Causality.
E-mail: alexander.sokol@gmail.com
CV: pdf
Math related documents:
Articles:
Note that the preprints on Arxiv may differ from the final published papers.
- Sokol, Alexander, Proving existence results in martingale theory using a subsequence principle. Communications on Stochastic Analysis, Vol. 7 (2013), 65-79. Preprint
- Sokol, Alexander, An elementary proof that the first hitting time of an open set by a jump process is a stopping time. In Séminaire de Probabilités, Vol. 45 (2013), 301-304. Preprint
- Sokol, Alexander, Optimal Novikov-type criteria for local martingales with jumps. Electronic communications on probability, Vol. 18 (39) (2013). Preprint
- Sokol, Alexander, An elementary proof that the first hitting time of an $F_\sigma$ set by a jump process is a stopping time. (2013). Preprint
- Sokol, Alexander, Intervention in Ornstein-Uhlenbeck SDEs. Proceedings of the 18th EYSM (2013). Preprint
- Sokol, Alexander & Maathuis, Marloes H. & Falkeborg, Benjamin, Quantifying identifiability in Independent Component Analysis. Electronic Journal of Statistics, Vol. 8 (2014), 1438-1459. Preprint
- Sokol, Alexander, An extended Novikov-type criterion for local martingales with jumps. Communications on Stochastic Analysis, Vol. 8 (2014), 307-315. Preprint
- Sokol, Alexander & Hansen, Niels R., Causal interpretation of stochastic differential equations. Electronic Journal of Probability, Vol. 19 (100) (2014). Preprint
- Hansen, Niels R. & Sokol, Alexander, Degrees of freedom for nonlinear least squares estimation. Submitted. (2014). Preprint
- Sokol, Alexander & Hansen, Niels R. (2012) Exponential martingales and changes of measure for point processes. Stochastic Analysis and Applications, Vol. 33, No. 5 (2015), 823-843. Preprint
- Sokol, Alexander, A generic model for spouse's pensions with a view towards the calculation of liabilities. Insurance: Mathematics and Economics, Vol. 65 (2015), 198-207. Preprint
- Sokol, Alexander, Revisiting the forward equations for inhomogeneous semi-Markov processes. (2015). Preprint
Theses and lecture notes:
Advanced probability (Lecture notes, 2013): See Lecture notes of the IMF
Stochastic integration for general semimartingales (Lecture notes, 2012): pdf
Stochastic integration for continuous semimartingales (Lecture notes, 2012): pdf
On martingales, causality, identifiability and model selection (PhD thesis, November 2013, winner of the 2014 SCIENCE prize): pdf
Stochastic Analysis and Mathematical Finance (Masters thesis, September 2008): pdf
Miscellaneous:
- May 2011. Presentation on exponential martingales and construction of point processes. pdf
- June 2011, DynStoch meeting. Poster on exponential martingales and construction of point processes. pdf
- August 2011, ISI sattelite meeting. Presentation on estimation of sparse multivariate diffusions. pdf
- March 2012. Presentation on exponential martingales and changes of measure. pdf
- June 2012, DynStoch meeting. Presentation on exponential martingales and changes of measure. pdf
- September 2012, Aarhus University. Presentation on exponential martingales and uniform integrability. pdf
- April 2013, ETH Zurich. Presentation on SDEs as causal models. pdf
- August 2013, 18th EYSM. Presentation on intervention in Ornstein-Uhlenbeck SDEs. pdf
- February 2014, University of Copenhagen. PhD defense slides. pdf