Dr Alexandros Beskos


Position Reader in Statistics
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

Since 2015: Reader in Statistics, UCL

2013-2015: Senior Lecturer in Statistics, UCL 

2008-2013: Lecturer in Statistics, UCL 

2005-2008: Post-Doc, Mathematics Institute and Department of Statistics, University of Warwick 

2002-2005: PhD, Lancaster University, supervisor Professor Gareth Roberts.

Research Interests

Sequential Monte-Carlo, Markov chain Monte-Carlo, Bayesian Statistics, Computational Statistics, Monte-Carlo algorithms in High-Dimensions, Inverse Problems, Inference, Applications and Simulation for Stochastic Differential Equations, Fractional and White Noise in Econometrics, Hidden Markov Models, Biostatistics.

Selected publications

  • Bayesian inference for partially observed Stochastic Differential Equations driven by fractional Brownian motion, with Joseph Dureau, Kostas Kalogeropoulos. Biometrika, 102, 4(2015), 809-827.
  • Bayesian inference for Duplication-Mutation with Complementarity Network models, with Ajay Jasra, Adam Persing, Kari Heine, Maria De Iorio. Journal of Computational Biology, 22, 11(2015), 1025-1033.
  • Sequential Monte-Carlo methods for high-dimensional Inverse Problems: a case study for the Navier-Stokes equations, with Nikolas Kantas, Ajay Jasra. SIAM/ASA Journal of Uncertainty Quantification, 2, 1(2014), 464-489
  • On the stability of Sequential Monte-Carlo methods in high dimensions, with Dan Crisan, Ajay Jasra. The Annals of Applied Probability, 46, 4(2014), 1396-1445.
  • Advanced MCMC methods for sampling on diffusion pathspace, with Kostas Kalogeropoulos, Erik Pazos. Stochastic Processes and their Applications, 123, 4(2013), 1415-1453. 
  • Optimal tuning of the Hybrid Monte-Carlo, with Natesh Pillai, Gareth Roberts, Jesus Maria Sanz-Serna, Andrew Stuart. Bernoulli, 19, 5A(2013), 1501-1534.
  • \epsilon-strong simulation of the Brownian path, with Stefano Peluchetti, Gareth Roberts. Bernoulli, 18, 4(2012), 1223-1248.
  • Hybrid Monte-Carlo on Hilbert spaces, with Frank Pinski, Jesus Maria Sanz-Serna, Andrew Stuart. Stochastic Processes and their Applications, 121, 10(2011), 2201-2230. 
  • Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions, with Gareth Roberts, Andrew Stuart. The Annals of Applied Probability, 19, 3(2009), 863-898.
  • Monte-Carlo maximum likelihood estimation for discretely observed diffusion processes, with Omiros Papaspiliopoulos, Gareth Roberts. The Annals of Statistics, 37, 1(2009), 223-245.
  • Retrospective exact simulation of diffusion sample paths with applications, with Omiros Papaspiliopoulos, Gareth Roberts. Bernoulli, 12, 6(2006), 1077-1098.
  • Exact simulation of diffusions, with Gareth Roberts. The Annals of Applied Probability, 15, 4(2005), 2422-2444. 
  • Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes (with discussion), with Omiros Papaspiliopoulos, Gareth Roberts, Paul Fearnhead. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 68, 3(2006), 333-382.

* For an up-to-date complete list of publications, see my google scholar webpage:

https://scholar.google.co.uk/citations?user=EZGoin0AAAAJ&hl=en