Skip to main content

Dominic Norgilas

profile

About me

I am a third year Ph.D. student at the Department of Statistics, University of Warwick, under the joint supervision of Prof. David Hobson and Prof. Saul Jacka.

Research interests

I am interested in probability and stochastic processes with applications to mathematical finance.

In particular: optimal martingale transport, Skorokhod embedding, optimal stopping and stochastic control.

Submitted papers and preprints

  • On the compensator in the Doob-Meyer decomposition of the Snell envelope. Co-author Saul Jacka. arXiv:1703.08413
  • Robust bounds for the American Put. Co-author David Hobson. arXiv:1711.06466
  • The left-curtain martingale coupling in the presence of atoms. Co-author David Hobson. arXiv:1802.08337

Tutorial teaching

MA901: Fundamental Tools (Probability Theory)
ST111/112: Probability A & B
ST202: Stochastic Processes