Łukasz Stettner, Professor

Probability Section
Institute of Mathematics, Polish Academy of Sciences
Śniadeckich 8, Office 318, 00-956 Warsaw, Poland
e-mail

phone (office): +48 22 52 28 126

Curriculum Vitae
Publications


CURRICULUM VITAE

Łukasz Stettner is of Polish origin and was born on January 13, 1955 in Starachowice, Poland. Since 1979 married and has 3 children.


EDUCATION - SCIENTIFIC DEGREES:
  • 1973 - 1978, theoretical mathematics, University of Lublin.
    The master thesis in deterministic control theory written under guidance of prof. K. Goebel.
  • 1978 - 1981, Ph.D. Scholarship, Institute of Mathematics Polish Academy of Sciences (IMPAN).
  • 1981, Ph.D., IMPAN, the thesis Penalty Method in Stochastic Control written under supervision of prof. J. Zabczyk
  • 1989, habilitation, IMPAN, the thesis Ergodic Problems in Stochastic Control
  • 2001, professor's title awarded by the President of the Republic of Poland.


SCIENTIFIC POSITIONS:
  • 1981 - 1989 assistant professor, IMPAN in Warsaw
  • 1990 - 2001 associate professor, IMPAN in Warsaw
  • 2001 -          full professor, IMPAN in Warsaw
  • 1990 - 1995 deputy director of the IMPAN
  • 2000 -          scientific director of the IMPAN
  • 2006 -          Academy of Finance, full professor

POSITIONS ABROAD:
  • 1984 - 1985 visiting lecturer (9 months), Dept. of Mathematics and Dept. of Statistics of The Ohio State University in Columbus
  • 1986 - 1986 visiting professor for research (7 months), Lefschetz Center for Dynamical Systems (Applied Mathematics), Brown University in Providence
  • 1990 - 1991 visiting associate professor (5 months), Department of Mathematics University of Kansas in Lawrence


SHORTER SCIENTIFIC VISITS:
  • 1982 - Bonn, 3 weeks
  • 1984 - Paris, CNET, 4 weeks
  • Numerous visits in the University of Padova (1988, 1990, 1992, 1993, 1994, 1995, 1997, 1999, 2002, 2003, 2004, 2006) - cooperation with prof. G. B. Di Masi and prof. W. Runggaldier
  • Numerous visits in the Dept. of Mathematics University of Kansas (1993, 1994, 1995, 1998, 2000, 2001, 2008) - cooperation with prof. T. Duncan and B. Pasik-Duncan


PROFESSIONAL ACTIVITIES:
  • 1982 -          reviewer in Mathematical Reviews
  • 1996 -          deputy Director of the Foundation of Polish Mathematics
  • 1995 - 2007 scientific secretary of the Committee of Mathematics Polish Academy of Sciences
  • 1998 -          Editor of Applicationes Mathematicae
  • 1999 - 2003 vice-president of the Polish Mathematical Society
  • 2000 - 2006 Editor of Banach Center Publications
  • 2002 - 2007 Associate Editor of SIAM J. Control Optimiz.
  • 2003 -          chairman of the Mathematical Center for Science and Technology at IMPAN
  • On editorial board of: Matematyka Stosowana (since 1999) and Annales UMCS (since 2004)


PRIZES:
  • 1999 Golden Cross of Merit from the President of the Republic of Poland
  • 2005 Hugo Steinhaus PTM prize


MEMBERSHIPS:
  • Polish Mathematical Society
  • American Mathematical Society
  • Control Systems Society IEEE (since 2001 senior member)
  • European Mathematical Society
  • Bachelier Society


ORGANIZATION OF INTERNATIONAL CONFERENCES:
  • Polish Conferences on Applications of Mathematics, Zakopane, 1997 - 2008
  • National Conferences in Probability (7th - 10th), Będlewo 2002, 2004, 2006, 2008
  • Banach Center Symposium on Stochastic Control, Warsaw, March 1995
  • Banach Center Symposium on Stochastic Systems, Warsaw, June 1998, organizer of the Symposium
  • Workshop on Mathematics of Finance, Będlewo, June 2001
  • Summer School on Mathematics of Finance, Będlewo, July 2001
  • Workshop on Stochastic Control and its Applications, Będlewo, June 2002
  • Workshop Analysis of Random Markets: Products and Prices, Warsaw, October 2003
  • Advances in Mathematics of Finance, 2nd General AMaMeF Conference, Będlewo, April 30th - May 5th, 2007
  • Risk Theory and Related Topics, September 29th - October 8th, 2008


Ph.D. STUDENTS:
  • E. Drabik (defended in 1996)
  • M. Motoczyński (defended in 2000)
  • M. Kociński (defended in 2001)
  • R. Sadovy (defended in 2002)
  • J. Piasecka (defended in 2004)
  • M. Baran (defended in 2005)
  • J. Palczewski (defended in 2005)
  • Ł. Delong (defended in 2007)
  • G. Hałaj (defended in 2009)
  • R. Kucharski (defended in 2009)


PUBLICATIONS
Ł. Stettner wrote about 80 original papers including 2 monographs (one of them W. Runggaldier, Ł. Stettner, Approximations of Discrete Time Partially Observed Control Problems, Applied Mathematics Monographs CNR, Giardini Editori, Pisa 1994)


AREAS OF SCIENTIFIC ACTIVITIES:
  • stochastic control (ergodic control problems, control of manufacturing systems, risk sensitive control, filtering and control with partial observation)
  • stochastic procesess (large deviations, ergodicity of Markov processes)
  • mathematics of finance (arbitrage theory, portfolio analysis, pricing of financial derivatives, risk theory)


GRANTS:
  • 1992 - 1994 Constructions of nearly optimal strategies in stochastic control (2 2043 91 02), principal investigator
  • 1995 - 1998 Ergodic problems of stochastic control (2 P03A 053 09), principal investigator
  • 1998 - 2001 Controlled Markov processes and their applications (2 P03A 015 15), principal investigator
  • 2000 - 2004 KBN PBZ 016/P03/99 pt. Mathematical Methods in Analysis and markets and financial instruments in Poland, main investigator
  • 2005 PhD grant Impulsive strategies in mathematics of finance (1 P03A 012 28), principal investigator
  • 2005 - 2008 Stochastic control and its applications in mathematics of finance (1 P03A 013 28), principal investigator
  • 2006 - 2008 PhD grant Optimal investment strategies on financial market with Levy noise with applications in insurance (N111 002 31/0165), principal investigator
  • 2009 - 2012 Problems of Stochastic Control with Applications to Mathematics of Finance (N N201 371836), principal investigator


INTERNATIONAL PROGRAMS AND ACTIVITIES:
  • Advanced Mathematical Methods for Finance (AMaMeF) - ESF grant 2005 - 2010, member of the Steering Committee
  • EMS Applied Mathematics Committee, member (2006 - 2009)
  • IFIP TC7 (System Modelling and Optimization), member of the Committee (2007 - 2010)

 

 

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