Dr Alexandros Beskos

Position Senior Lecturer
Phone (external) 02076798352
Phone (internal) 48352
Email(*) a.beskos
Personal webpage http://www.homepages.ucl.ac.uk/~ucakabe/
Themes Computational Statistics, Stochastic Modelling and Time Series

* @ucl.ac.uk

Biographical Details

Alexandros Beskos

2013-Today: Senior Lecturer in Statistics at UCL 2008-2013: Lecturer in Statistics at UCL 2005-2008: Post-Doc in Mathematics Institute and Department of Statistics, at University of Warwick 2002-2005: Did my PhD under the supervision of Professor Gareth Roberts.

Research Interests

Monte-Carlo Methods, MCMC algorithms, Investigation of Monte-Carlo methods in high dimensions, Sequential Monte-Carlo algorithms, Hamiltonian dynamics for MCMC, MCMC algorithms on Hilbert spaces, Inference and Simulation methods for Stochastic Differential Equations, Simulation of Diffusion paths under restrictions.

Selected publications

  • Optimal scalings for local Metropolis-Hastings chains on non-product targets in high dimensions, with Gareth Roberts, Andrew Stuart. Annals of Applied Probability, 19, 3(2009), 863-898.
  • Monte-Carlo maximum likelihood estimation for discretely observed diffusion processes, with Omiros Papaspiliopoulos, Gareth Roberts. Annals of Statistics, 37, 1(2009), 223-245.