Roger Pettersson
Associate Professor
Department of Mathematics
Faculty of Technology
Teaching
Probability and statistics, stochastic processes, introductory financial mathematics, ekonomisk statistik (distans), Monte Carlo methods, multivariate analysis, financial modeling with stochastic processes, optimization methods, mathematical modeling 2. Knowledge from one course often contributes knowledge and different aspects to another course, such as optimization, which is found in portfolio selection and parameter estimation.
Research
Stochastic differential equations, its theory, applications and approximations, subjected to the Brownian motion and Lévy processes, finite dimensional and infinite dimensional. Financial and biological applications. Approximations in form of numerical methods, Yosida approximations, and Wong-Zakai type approximations
ISAAC conference session on Backward equations: Theory, numerics and applications
Some examples of supervised bachelor theses and masters theses
- Ahmed, Abdirauf: Describing and modelling the flow of the migration process with simple queueing systems
- Alfelt, Gustav & Lövdahl, Susanna: Undersökning av metoder för att analysera och modellera efter stora datamaterial, hantering av programmet SPSS samt en studie i Kronoberg läns gymnasieelevers psykiska ohälsa
- Basna, Rani: Edgeworth Expansion and Saddle Point Approximation for Discrete Data with Application to Chance Games
- Huhn, Monika: Forecasting of electricity generation for unregulated hydropower plants with neural networks
- Janstad, Tobias: Case study of a contract system: considering pulp prices from 1996-2006
- Johannesson, Linus: A case study on age maintenance policy
- Jönsson, Ingela & Nilssson, Mattias: Klassiska populationsmodeller kontra stokastiska: En simuleringsstudie ur matematiskt och datalogiskt perspektiv
- Lysova, Ekaterina & Sedova, Anna: Electricity spot price forecasting in two Swedish regions: Analysis of factors which cause price differences between SE3 (Stockholm) and SE4 (Malmö) price regions
- Mottaghi Jahromi, Allen: Analytical and numerical solution of an Euler–Bernoulli beam with concentrated load using finite element method
- Nassar, Hiba: Regularized Calibration of Jump-Diffusion Option Pricing Models
- Novikova, Elena: Modellering av försäkringsdata med normal invers gaussisk (NIG)-fördelning
- Oleksandra, Shovkun: Some methods for reducing the total consumption and production prediction errors of electricity: Adaptive Linear Regression of Original Predictions and Modeling of Prediction Errors
- Sekerci, Yadigar: Some recent simulation techniques of diffusion bridge
- Sjöstrand, Maria: En kvantitativ undersökning av SABR-modellen
- Tuffaha, Mutaz: An evaluation of a new Pricing technique to integrate Wind energy using two Time scales scheduling
- Wålinder, Andreas: Evaluation of logistic regression and random forest classification based on prediction accuracy and metadata analysis
- Wöstmann, Corinna : Energy Consumption - Forecasting for Linköping and Helsingborg: A Comparison of SARIMA Modelling and Double Seasonal Holt-Winters Exponential Smoothing
- Xue, Mengya: Comparative Analysis of Portfolio Optimization
- Yalman, Hatice: Change Point Estimation for Stochastic Differential Equations
- Yang, Yuankai: Pricing American and European options under the binomial tree model and its Black-Scholes limit model
- Zararsiz, Zarife: On an epidemic model given by a stochastic differential equation
- Miao, Zan: CIR Modeling of Interest Rates
- Feng, Zijie: Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market
- Tang, Furui: Merton Jump-Diffusion Modeling of Stock Price Data
My research groups
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Computational Mathematics for Predictive Digital Twins (PreDiTwin) In recent years, remarkable progress in mathematics, process-based modeling, data science, and sensor technology has opened up…
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Deterministic and Stochastic Modelling The research field Deterministic and Stochastic Modelling within Linnaeus University Centre for Data Intensive Sciences and Applications (DISA) brings together…
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Forestry, Wood and Building Technologies Within the research area Forestry, Wood and Building Technologies, the objective of Linnaeus University Centre for Data Intensive Sciences and Applications…
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International Center for Mathematical Modeling ICMM is a centre for research in mathematical modelling, applicable within a number of different subjects and fields. Since 2000, the research group has…
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Stochastic Analysis and Stochastic Processes The researchers of this group focus on analytical and numerical aspects of solutions to stochastic differential equations (SDE’s and SPDE’s) and stochastic…
Publications
Article in journal (Refereed)
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Bouggar, D., El Fatini, M., Nasri, B., Pettersson, R., Sekkak, I. (2024). Stochastic near-optimal controls for treatment and vaccination in a COVID-19 model with transmission incorporating Lévy jumps. Stochastics : An International Journal of Probablitiy and Stochastic Processes. 96 (1). 887-920.
Status: Published -
Abidi, H., Amami, R., Pettersson, R., Trabelsi, C. (2024). L2-convergence of Yosida approximation for semi-linear backward stochastic differential equation with jumps in infinite dimension. Arab Journal of Mathematical Sciences.
Status: Epub ahead of print -
Abidi, H., Oualaid, A., Ouknine, Y., Pettersson, R. (2024). A mild approach to spatial discretization for backward stochastic differential equations in infinite dimensions. Stochastic Analysis and Applications. 42 (2). 98-120.
Status: Published -
Berrhazi, B., El Fatini, M., Hilbert, A., Mrhardy, N., Pettersson, R. (2023). RBDSDEs with jumps and optional Barrier and mean field game with common noise. Stochastics : An International Journal of Probablitiy and Stochastic Processes. 95 (4). 615-634.
Status: Published -
El Attouga, S., Bouggar, D., El Fatini, M., Hilbert, A., Pettersson, R. (2023). Lévy noise with infinite activity and the impact on the dynamic of an SIRS epidemic model. Physica A : Statistical Mechanics and its Applications. 618.
Status: Published -
El Fatini, M., Louriki, M., Pettersson, R., Zararsiz, Z. (2021). Epidemic modeling : Diffusion approximation vs. stochastic differential equations allowing reflection. International Journal of Biomathematics. 14 (5).
Status: Published -
El Fatini, M., El Khalifi, M., Gerlach, R., Pettersson, R. (2021). Bayesian forecast of the basic reproduction number during the Covid-19 epidemic in Morocco and Italy. Mathematical Population Studies. 28 (4). 228-242.
Status: Published -
Berrhazi, B., El Fatini, M., Hilbert, A., Mrhardy, N., Pettersson, R. (2020). Reflected backward doubly stochastic differential equations with discontinuous barrier. Stochastics : An International Journal of Probablitiy and Stochastic Processes. 92 (7). 1100-1124.
Status: Published -
El Fatini, M., El Khalifi, M., Lahrouz, A., Pettersson, R., Settati, A. (2020). The effect of stochasticity with respect to reinfection and nonlinear transition states for some diseases with relapse. Mathematical methods in the applied sciences. 43 (18). 10659-10670.
Status: Published -
El Fatini, M., Pettersson, R., Sekkak, I., Taki, R. (2020). A stochastic analysis for a triple delayed SIQR epidemic model with vaccination and elimination strategies. Journal of Applied Mathematics and Computing. 64. 781-805.
Status: Published -
El Fatini, M., Sekkak, I., Laaribi, A., Pettersson, R., Wang, K. (2020). A stochastic threshold of a delayed epidemic model incorporating Lévy processes with harmonic mean and vaccination. International Journal of Biomathematics. 13 (7).
Status: Published -
Caraballo, T., El Fatini, M., El Khalifi, M., Gerlach, R., Pettersson, R. (2020). Analysis of a stochastic distributed delay epidemic model with relapse and Gamma distribution kernel. Chaos, Solitons & Fractals. 133. 1-8.
Status: Published -
Lahrouz, A., Settati, A., El Fatini, M., Pettersson, R., Taki, R. (2020). Probability Analysis of a Perturbed Epidemic System with Relapse and Cure. International Journal of Computational Methods. 17 (3).
Status: Published -
Abidi, H., Pettersson, R. (2020). Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space : a mild approach. Computational and Applied Mathematics. 39 (2). 1-11.
Status: Published -
El Fatini, M., Laaribi, A., Pettersson, R., Taki, R. (2019). Levy noise perturbation for an epidemic model with impact of media coverage. Stochastics : An International Journal of Probablitiy and Stochastic Processes. 91 (7). 998-1019.
Status: Published -
Berrhazi, B., El Fatini, M., Pettersson, R., Laaribi, A. (2019). Media effects on the dynamics of a stochastic SIRI epidemic model with relapse and Lévy noise perturbation. International Journal of Biomathematics. 12 (3).
Status: Published -
Caraballo, T., El Fatini, M., Pettersson, R., Taki, R. (2018). A stochastic SIRI epidemic model with relapse and media coverage. Discrete and continuous dynamical systems. Series B. 23 (8). 3483-3501.
Status: Published -
Berrhazi, B., El Fatini, M., Laaribi, A., Pettersson, R. (2018). A stochastic viral infection model driven by Levy noise. Chaos, Solitons & Fractals. 114. 446-452.
Status: Published -
El Fatini, M., Lahrouz, A., Pettersson, R., Settati, A., Taki, R. (2018). Stochastic stability and instability of an epidemic model with relapse. Applied Mathematics and Computation. 316. 326-341.
Status: Published -
Berrhazi, B., El Fatini, M., Caraballo, T., Pettersson, R. (2018). A stochastic SIRI epidemic model with Lévy noise. Discrete and continuous dynamical systems. Series B. 23 (6). 2415-2431.
Status: Published -
Berrhazi, B., El Fatini, M., Laaribi, A., Pettersson, R., Taki, R. (2017). A stochastic SIRS epidemic model incorporating media coverage and driven by Levy noise. Chaos, Solitons & Fractals. 105. 60-68.
Status: Published -
Nilsson, D., Pettersson, R., Thörnqvist, T., Nylinder, M. (2016). The importance of accurate measurement of comminuted logging residues’ moisture contents for small-scale forest owners. Drewno. 59 (198). 99-110.
Status: Published -
Pettersson, R., Signahl, M. (2005). Numerical approximation for a white noise driven SPDE with locally bounded drift. Potential Analysis. 22. 375-395.
Status: Published -
Pettersson, R., Kohatsu-Higa, A. (2002). Variance Reduction methods for simulation of densities on Wiener space. SIAM Journal on Numerical Analysis. 40 (2). 431-450.
Status: Published
Conference paper (Refereed)
- Pettersson, R., Kohatsu-Higa, A. (2005). Projection scheme for a reflected stochastic heat equation with additive noise. Foundations of Probability and Physics-3 : AIP Conference Proceedings. 158-167.
Chapter in book (Other academic)
- Pettersson, R. (2015). A short introduction to option pricing for exponential Lévy process stock price models. Festschrift in honor of Professor Ghazi Shukur on the occasion of his 60th birthday. Linnaeus University Press. 69-76.