David Ruiz Baños

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David Ruiz Baños, born on the 3rd of December 1987 in Barcelona.

Vita:

Associate professor at Inland Norway University of Applied Sciences, August 2017-currently.

Associate professor II at the University of Oslo, January 2018-currently.

Postdoctoral Fellow at the University of Oslo, October 2016-December 2017.

Research collaboration at the Institute of Mathematics of the University of Barcelona, January-May 2016.

PhD: Regularity of Stochastic Flows of Stochastic Differential Equations with Singular Coefficients and Applications to Finance (Sup: Prof. Frank Proske, Prof. Giulia Di Nunno, Prof. Bernt Øksendal), 2011-2015

Master degree in pure mathematics, University of Barcelona, 2010-2011

Bachelor in pure mathematics (Spanish licenciatura), University of Barcelona, 2006-2010

Research interests:

Stochastic differential equations, fractional Brownian motion, Malliavin calculus, regularity of densities of Itô processes, mathematical finance, insurance, risk and reliability theory.

Works in progress

  1. Modelling and optimization of oil production in a stochastic framework, with A. B. Huseby.

  2. Strong Uniqueness of Singular Stochastic Delay Equations, with H. Haferkorn and F. Proske. Available in arXiv

  3. Lipschitz continuous densities of solutions of SDEs with measurable and path dependent drift coefficients: optimal regularity of Fokker-Planck equation, with P. Krühner.

Teaching:

Inland Norway University of Applied Sciences

  • 3MET130 Statististics for economists (Spring 18)
  • 3MET120 Mathematics for economists (Fall 17)

University of Oslo

  • STK2-MAT2011: Project work in finance, insurance, risk and data analysis (Spring 17)

  • STK2130: Modelling by Stochastic Processes (Spring 13/ Spring 14)

  • STK1000: Introduction to Applied Statistics (Fall 12/ Fall 15)

  • FRM4110: Applied Statistics for Pharmacists (Spring 12)

  • STK2120: Statistical Methods and Data Analysis II (Spring 12)

  • STK1110: Statistical Methods and Data Analysis I (Fall 11/ Fall 13)

Polytechnic University of Catalonia

  • Geometry (first course for civil engineers) (Vår 11)

 

Tags: Statistics, Stochastic analysis and finance and insurance and risk

Publications

  • Baños, David Ruiz (2017). The Bismut-Elworthy-Li formula for mean-field stochastic differential equations. Annales de l'I.H.P. Probabilites et statistiques.  ISSN 0246-0203.
  • Baños, David Ruiz; Di Nunno, Giulia; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2017). Stochastic functional differential equations and sensitivity to their initial path. arXiv.org.  ISSN 2331-8422. Full text in Research Archive.
  • Baños, David Ruiz; Duedahl, Sindre; Meyer-Brandis, Thilo & Proske, Frank Norbert (2017). Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle. Annales de l'I.H.P. Probabilites et statistiques.  ISSN 0246-0203.
  • Baños, David Ruiz; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2017). Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org.  ISSN 2331-8422.
  • Baños, David Ruiz & Krühner, Paul (2017). Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients. Stochastic Processes and their Applications.  ISSN 0304-4149.  127(6), s 1785- 1799 . doi: 10.1016/j.spa.2016.09.015
  • Baños, David Ruiz; Meyer-Brandis, Thilo; Proske, Frank Norbert & Duedahl, Sindre (2017). Computing Deltas without Derivatives. Finance and Stochastics.  ISSN 0949-2984.  s 1- 41 . doi: 10.1007/s00780-016-0321-3 Full text in Research Archive.
  • Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2017). Strong solutions of d-dimensional SDE's with generalized drift and fractional Brownian initial noise. arXiv.org.  ISSN 2331-8422. . doi: https://arxiv.org/abs/1705.01616 Full text in Research Archive.
  • Baños, David Ruiz & Proske, Frank Norbert (2017). C-infinity-regularization by Noise of Singular ODE's. arXiv.org.  ISSN 2331-8422. . doi: arXiv:1710.05760[math.FA] Full text in Research Archive.
  • Baños, David Ruiz; Cordoni, Francesco; Di Nunno, Giulia; Di Persio, Luca & Elin, Røse (2016). Stochastic systems with memory and jumps. arXiv.org.  ISSN 2331-8422.
  • Baños, David Ruiz & Krühner, Paul (2016). Optimal density bounds for marginals of Itô processes. Communications on Stochastic Analysis.  ISSN 0973-9599.  10(2), s 131- 150
  • Baños, David Ruiz & Nilssen, Torstein Kastberg (2016). Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  88(4), s 540- 566 . doi: 10.1080/17442508.2015.1102265
  • Baños, David Ruiz; Nilssen, Torstein Kastberg & Proske, Frank Norbert (2016). Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift. arXiv.org.  ISSN 2331-8422.

View all works in Cristin

  • Nilssen, Torstein Kastberg; Baños, David Ruiz & Proske, Frank Norbert (2016). Strong Existence and higher order differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift.

View all works in Cristin

Published Sep. 19, 2011 10:47 AM - Last modified Oct. 25, 2017 5:47 PM