David Banos
David Ruiz Baños, born on the 3rd of December 1987 in Barcelona.
Vita:
Associate professor at Inland Norway University of Applied Sciences, August-November 2017 (60%), December 2017-currently.
Associate professor II at the University of Oslo, January 2018-currently.
Postdoctoral Fellow at the University of Oslo, October 2016-July 2017, August-November 2017 (40%).
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
-
Modelling and optimization of oil production in a stochastic framework, with A. B. Huseby.
-
Strong Uniqueness of Singular Stochastic Delay Equations, with H. Haferkorn and F. Proske. Available in arXiv
-
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/ Fall 18)
University of Oslo
-
STK4540: Non-Life Insurance Mathematics (Fall 18)
-
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)
Supervision:
-
Subsidiary PhD supervisor of Marc Lagunas.
-
Materstudents: Wei Liu (together with Prof. Frank Proske).
Publications
- Baños, David Ruiz (2018). The Bismut-Elworthy-Li formula for mean-field stochastic differential equations. Annales de l'I.H.P. Probabilites et statistiques. ISSN 0246-0203. 54(1), s 220- 233 . doi: 10.1214/16-AIHP801
- Baños, David Ruiz; Duedahl, Sindre; Meyer-Brandis, Thilo & Proske, Frank Norbert (2018). 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.
- Banos, David; Bølviken, Erik; Duedahl, Sindre & Proske, Frank Norbert (2018). Modeling and Estimation of Stochastic Transition Rates in Life Insurance with Regime Switching Based on Generalized Cox Processes. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439.
- 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; 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. 21(2), s 509- 549 . 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.
- Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2017). Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise.
- 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.