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Andrew Papanicolaou

Assistant Professor

SAS Hall 3152

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Bio

Currently I am an assistant professor in the Department of Mathematics at North Carolina State University. My previous positions were at NYU’s Tandon School of Engineering, The School of Mathematics & Statistics at The University of Sydney, and a postdoc position in the Department of ORFE at Princeton. My PhD is in applied mathematics from Brown University. I also hold an MS in Financial Mathematics from the University of Southern California, and a BS in Mathematical Sciences from the University of California at Santa Barbara.

Education

PhD Applied Mathematics Brown University 2010

MS Financial Mathematics University of Southern California 2007

BS Mathematical Sciences UC Santa Barbara 2003

Area(s) of Expertise

My research interests are computational finance and stochastic systems for control and optimization. Currently I am working on problems involving non-Markovian and high-dimensional optimizations. These problems were previously unsolvable due to the immensity of their computational demands. The applications of this work include financial data analysis and the challenges associate with these highly complex data sets. My background is in probability theory and nonlinear filtering. Among the newer problems that I am considering, are issues related to financial data and how machine learning methods can be applied.

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