ALEXANDER AURELL
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; together 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 AI Scientist at Silo AI Sweden.

My research interests are mean field games, mean-field type control theory, network games, learning in games, and stochastic models for crowd dynamics, machine learning methods for FBSDEs and FBPDEs, GAN training.


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Preprints


A. Aurell, R. Carmona, G. Dayanıklı, M. Lauriére. "Finite State Graphon Games with Applications to Epidemics". [ bib | arXiv ]

A. Aurell, R. Carmona, M. Lauriére. "Stochastic Graphon Games: II. The Linear-Quadratic Case". [ 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, G. Karreskog. "Stochastic stability of a recency weighted sampling dynamic". [ bib | arXiv ]


Publications


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 ]

Talks


"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, Linköping, 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 ]


Theses


"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) ]


CV Other research activities and teaching Some links


Contact


alexaurell at gmail dot com
Published by: Alexander Aurell
Updated: 20-10-2021