Henrik Hult
Assistant Professor of Applied Mathematics
Room 228, 182 George Street
Brown University, Providence, RI 02912
Phone: +1 401 863 6360
Phone 2: +1 401 863 2115
hhult
dam.brown.edu
Ph.D. in Mathematical Statistics, Royal Institute of Technology Stockholm, 2003.
My primary research is in the area of applied probability. I am particularly interested in heavy-tailed distributions and extreme values for stochastic processes. I have been studying limit results that can be used to approximate the probability and severity of an extreme event. Applications can be found in a large variety of areas such as economics, insurance, telecommunications, computer networks, atmospheric sciences, etc.
Biography
Henrik Hult is Assistant Professor in the Division of Applied Mathematics since 2006. He received his PhD in 2003 from the Department of Mathematics at the Royal Institute of Technology (KTH) in Stockholm. Before coming to Brown he completed five semesters of postdoctoral research at the University of Copenhagen and Cornell University. He has a broad area of interests in probability theory and its applications. His primary research has focused on limit theorems for extreme values of heavy-tailed stochastic process, but he is also interested in mathematical finance and insurance and has some experience in models driven by the fractional Brownian motion. Teaching interests include probability, statistics, and mathematical finance.
RESEARCH Interests
Classical models in applied probability are to a large extent based on Gaussian distributions and the Brownian motion. However, in many applications the Gaussian distribution is inappropriate as it is unable to accurately capture large fluctuations of values observed in the data. In particular, careless use of the Gaussian distribution in such cases results in severe underestimation of the probability of extreme events. That is, events that occur with small but non-negligible probability and may have a significant impact on the system. As an alternative models based on heavy-tailed distributions can be developed which are designed to give a better description of the probability of extreme events. My research is directed to the study of such models. I am particularly interested in regularly varying distributions (distributions with power like tails) and extreme values for stochastic processes. I have been studying limit results that motivate certain approximations for the probability that a stochastic process hit a particular set, or that a functional of its sample path exceed a high threshold. I also have a general interest in problems related to mathematical finance and insurance, as well as questions related to the fractional Brownian motion.
AWARDS
2006 Postdoctoral grant from the Swedish America Foundation (research at Cornell University).
2005 Postdoctoral grant from the Swedish Research Council (research at Cornell University).
2004 Awarded: Young Statistician of the Year by the Swedish Statistical Association.
2004 Postdoctoral grant from the Swedish Research Council (research at the University of Copenhagen).
AFFILIATIONS
July 2006 Assistant Professor, Brown University, Division of Applied Mathematics.
Jan 2005- May 06 Visiting postdoc at Cornell University, School of ORIE.
Jan - Dec 2004 Visiting postdoc at the University of Copenhagen, Department of Applied Mathematics and Statistics.
Jan 2001 - Dec 2003 PhD student at Royal Institute of Technology (KTH) Stockholm, Department of Mathematics
REFEREE
Advances in Applied Probability
Annals of Applied Probability,
Applied Stochastic Models in Business and Industry
Bernoulli
Communications in Statistics
Extremes
Finance & Stochastics,
Insurance: Mathematics and Economics
Journal of Multivariate Analysis
Journal of Theoretical Probability
Mathematical Finance
Revstat Statistical Journal
Scandinavian Actuarial Journal
Scandinavian Journal of Statistics
Stochastic Processes and their Applications
Stochastics and Stochastic Reports
WEB LINKS
HENRIK HULT'S PERSONAL WEB PAGE
