Carsten Chong

 

Contact:

Columbia University
Department of Statistics
1255 Amsterdam Avenue
New York, NY 10027, USA

Office: 901B, SSW Building
Phone: 212-851-0705
E-Mail: chc2169 (a) columbia.edu

About me

Starting from Fall 2020, I am an Assistant Professor in the Department of Statistics at Columbia University. Prior to this, I did my PhD at the Technical University of Munich under the supervision of Claudia Klüppelberg and Jean Jacod and spent a couple of years as a postdoc in the group of Robert Dalang at EPFL.

Curriculum Vitae

You can download my CV here (last update: July 2020).

My Research

 

My research interests are primarily focused on the area of stochastic partial differential equations. I am particularly interested in stochastic PDEs driven by Lévy noises, which, in contrast to Gaussian noises, typically have discontinuous and/or heavy-tailed components.

In addition to this, I have recently started to work on statistical inference problems for stochastic PDEs, with an emphasis on high-frequency techniques.

During my PhD studies, I also worked on topics such as graphical models in finance, mean-field theory, stochastic integration theory, and volatility modeling.