RESEARCH HOMEPAGE I obtained my M.Sc. in Engineering Physics from KTH Royal Institute of Technology in 2014. I spent the spring semester of 2013 at EPFL, Lausanne. My studies focused on mathematics and statistics and I wrote my master thesis on derivative pricing at ORC Group.
I obtained my Ph.D. in Applied and Computational Mathematics from KTH Royal Institute of Technology in 2019. I worked on mean-field type games with Professor Boualem Djehiche; we developed new models for the movement of crowds in congested areas.
I was a Postdoctoral Research Associate at Princeton University, in the Operations Research and Financial Engineering (ORFE) department 2020-2021. I studied differential graphon games and their applications in epidemiology with Professor René Carmona and his group.
I am currently working as an AI Scientist at Silo AI Sweden, specializing in machine learning consultancy towards industry process control and other areas.
My research interests include mean field games, mean-field type control theory, network games, learning in games, stochastic models for crowd dynamics, machine learning methods for FBSDEs and FBPDEs, GAN training.
A. Aurell, R. Carmona, M. Lauriére. "Stochastic Graphon Games: II. The Linear-Quadratic Case". [ bib | arXiv ]
A. Aurell, G. Karreskog. "Stochastic stability of a recency weighted sampling dynamic". [ bib | arXiv ]
A. Aurell, R. Carmona, G. Dayanıklı, M. Lauriére. Optimal incentives to mitigate epidemics: A Stackelberg mean field game approach". [ bib | arXiv ]
A. Aurell, R. Carmona, G. Dayanıklı, M. Lauriére. "Finite State Graphon Games with Applications to Epidemics." Dynamic Games and Applications (2022): 1-33. [ bib | Springer Open Access | arXiv ]
A. Aurell, B. Djehiche. "Behavior near walls in the mean-field approach to crowd dynamics" SIAM Journal on Applied Mathematics 80.3 (2020): 1153-1174. [ bib | arXiv ]
A. Aurell, B. Djehiche. "Modeling tagged pedestrian motion: A mean-field type game approach" Transportation Research Part B: Methodological, 121 (2019): 168-183 [ bib | arXiv ]
A. Aurell. "Mean-Field Type Games between Two Players Driven by Backward Stochastic Differential Equations" Games, 9.4 (2018): 88. [ bib | Open Access ]
A. Aurell, B. Djehiche. "Mean-field type modeling of nonlocal crowd aversion in pedestrian crowd dynamics" SIAM Journal on Control and Optimization, 56.1 (2018): 434-455. [ bib | arXiv ]
"Stochastic Dynamic Graphon Games". Introduction to Mean Field Games and Applications IMSI Institute for Mathematical and Statistical Innovation, Chicago, June 22, 2021 [ slides ]
"Optimal incentives to mitigate epidemics: A Stackelberg mean field game approach". SIAM Conference on Financial Mathematics and Engineering (FM21) Philadelphia, June 1, 2021 [ slides ]
"Optimal incentives to mitigate epidemics: A Stackelberg mean field game approach". Paths from Research and Impact: A year of collaborative research on COVID-19 MIT Massachusetts Institute of Technology, April 30, 2021 [ extended abstract ]
"Optimal incentives to mitigate epidemics: A Stackelberg mean field game approach". Mathematical statistics seminar, KTH Royal Institute of Technology, December 7, 2020 [ slides ]
"On modeling the behavior of pedestrians near walls and the mean-field approach to crowd dynamics". KAAS seminar, Karlstads universitet, August 26, 2020 [ slides ]
"The behavior of pedestrians near walls in the mean-field approach to crowd dynamics". Stochastic control, BSDEs and applications, Linnéuniversitetet, Växjö, November 26-28, 2019 [ slides ]
"On the mean-field approach to crowd dynamics: the behavior of pedestrians near walls". ICIAM 2019, Valencia, July 15-19 2019 [ slides ]
"Mean-field control and mean-field type games of BSDEs". Weekly seminar on mathematical statistics, Stockholm University, October 3, 2018 [ slides ]
"Some aspects of mean-field type modeling of pedestrian crowd dynamics". AIMS Conference on Dynamical Systems, Differential Equations and Applications, Taipei, July 5-9, 2018 [ slides ]
"A mean-field approach to chaining networks". SOAK. LinTek, Link�ping, October 19-20, 2017 [ slides ]
"Mean-field modeling of crowd dynamics". 19'th Stockholm-Uppsala Symposium on Mathematical statistics, Uppsala University, May 18, 2017 [ slides ]
"Topics in the mean-field type approach to pedestrian crowd modeling and conventions". Ph.D. thesis, KTH Royal Institute of Technology (2019) [ bib | pdf ]
"The SVI implied volatility model and its calibration". M.Sc. thesis, KTH Royal Institutet of Technology (2014) [ pdf ]
"Sound wave simulation in computer games". B.S. thesis, KTH Royal Institutet of Technology (2012) [ pdf (in Swedish) ]
alexaurell at gmail dot com
Published by: Alexander Aurell