Welcome

I am currently a Visiting Assistant Professor in the Department of Statistics and Applied Probability at the University of California, Santa Barbara.

I did my post-doc at INRIA Nancy Grand Est Research Center, in the BIGS (Biology, Genetics and Statistics) team under the supervision of Samy Tindel.

I received my Ph.D. from the Department of Statistics at Purdue University in December 2009 and my thesis advisor is Frederi G. Viens .



Research Interests

    Stochastic Processes

    • Fractional Brownian motion
    • Self-similar processes
    • Fractional stochastic differential equations

    Mathematical Finance

    • Stochastic volatility models with long memory
    • Applications of Malliavin calculus in finance
    • Risk measures, G-Expectations

    Mathematical Statistics

    • Estimation of the Hurst index
    • Statistical inference for fractional stochastic differential equations
    • Statistical inference for multiscale diffusions


Workshop for Women in Probability
October 14-16, 2012 at Duke University in Durham, NC