Martijn Pistorius is Reader in the Deparmtent of Mathematics at Imperial College London. Prior to joining Imperial Dr Pistorius belonged to the faculty of the Department of Mathematics at King's College London. Dr Pistorius holds an MSc and PhD in Mathematics from Utrecht University.
Current research topics include
- dynamic risk-measures
- stochastic optimal control and optimal stopping in insurance and finance
- financial modeling, calibration and computational aspects
- D. Madan, M.R. Pistorius, M. Stadje (2015) On Dynamic Spectral Risk Measures and a Limit Theorem. [arXiv]
- A. Mijatovic, M.R. Pistorius (2016) Joint asymptotic distribution of certain path-functionals of the reflected process. Electronic Communications in Probability (forthcoming).
- D. Madan, M.R. Pistorius, M. Stadje (2016) Convergence of BSΔEs driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver, Stochastic Processes and Their Applications (to appear) [arXiv]
Michna Z, Palmowski Z, Pistorius M, 2015, The distribution of the supremum for spectrally asymmetric Lévy processes, Electronic Communications in Probability, Vol:20, ISSN:1083-589X
Davis MHA, Pistorius MR, 2015, Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk, Annals of Applied Probability, Vol:25, ISSN:1050-5164, Pages:2383-2415
Mijatović A, Pistorius M, 2015, Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processes, Stochastic Processes and Their Applications, Vol:125, ISSN:0304-4149, Pages:2937-2954
Avram F, Palmowski Z, Pistorius MR, 2015, On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk-process in the presence of a penalty function, Annals of Applied Probability, Vol:25, ISSN:1050-5164, Pages:1868-1935