Professor Nikolai Leonenko
Overview
Position:
Professor
Email:
LeonenkoN@cardiff.ac.ukTelephone: +44(0)29 208 75521
Fax: +44(0)29 208 74199
Extension: 75521
Location: M/2.35
Research Interests
My research interests includes statistical analysis of stochastic processes and random fields; limit theorems for functionals of random fields under weak and strong dependence; limit distributions of the rescaled solutions of linear and non-linear partial differential equations with random initial conditions; fractional differential equations and PDE with random data; statistical inference with higher-order information; finance and stochastics; ruin problem for jump-diffusions for insurance models; multifractality and miltifractal moment-scaling of geometric Ornstein-Uhlenbeck processes driven by Levy noise and stationary diffusions; statistical estimation of Shannon and Renyi information and statistical differences.
Research Group
Teaching
Undergraduate - Autumn Semester
MA3503 Stochastic Processes for Finance and Insurance
Postgraduate - Spring Semester
MAT011 Financial Maths & Modern Acturial Risk Theory
Administrative Duties
School Library Representative
Member of School Statistics/OR Subject Panel
Member of Unfair Committee of CU
School Representative: Humanities Examination Board
Member of Editorial Board of the following journals:
International Journal of Stochastic Analysis (Hindawi Publishing Corporation, USA), ISSN 1048-9533
International Journal of Differential Equations (Hindawi Publishing Corporation, USA), ISSN 1687-9643
Random Operators and Stochastic Equations (publ. Walter de Gruyter , Berlin, New York), ISSN 0926-6364
Statistics Research Letters, The World Academic Publishing Co., Limited, ISSN: 2325-7040
Theory of Probability and Mathematical Statistics (publ. TBiMC (Ukraine) and AMS (USA)), ISSN 1547-7363
Mathematical Communications (publ. Ele-Maths journals), ISSN 1331-0623
Bulletin of National Taras Shevchenko
University of Kyiv (Publisher: Kyiv University, Ukraine), ISSN 1684-1565.
I was a Guest Editor of the Special Issue of International Journal of Differential Equations “Fractional Differential Equations” (jointly with F.Liu, M.Meerschaert, Sh. Momani, W.Chen and Om Agrawal), 2010, ISSN 1687-9643
I was a Guest Editor of the Special Issue of International Journal of Differential Equations “Fractional Differential Equations” (jointly with F.Liu, Om Agrawal, Sh. Momani and W.Chen), 2011, ISSN 1687-9643Major honours and distinctions
Invited Seminars since 2003
University of Granada, Spain (March 2013)
Kyiv National Taras Shevchenko University, Ukraine (March, 2013)
University of Roma “Tor Vergata”, Italy (January 2013)
Queensland University of Technology, Brisbane, Australia (August 2012)
Michigan State University (April 2012)
Bar Ilan University, Israel (January 2012)
Queensland University of Technology, Brisbane, Australia (August 2011)
University of Swansea, Wales (June 2011)
Workshop “Fractional Calculus and Random Processes”. Northwestern University, Chicago (May 2011)
Michigan State University, USA (April 2011).
Wichita University, USA (April 2011).
Queensland University of Technology, Brisbane, Australia (August 2010)
Nancy University, France (July 2010)
University of Granada, Spain (May 2010)
Michigan State University, USA (March 2010).
Wichita University, USA (April 2010).
Michigan State University, USA (2009).
University of Melbourne, Australia (2009)
University of Pau, France (2008),
Boston University, Boston, USA (2008)
Charles University, Prague, Czech Republic (2008)
Silesian University of Technology, Gliwice, Poland (2008)
Herriot-Watt University, Edinburgh, UK (2007)
Umea University, Umea, Sweden (2007)
University of Melbourne, Australia (2007)
University of Granada, Spain (2007)
Pau University, France (2006)
University of Cambridge, UK (2006)
University of Granada, Spain (2006)
University of Barselona, Spain (2005)
University of Sydney, Australia (2004)
University of Western Australia, Perth, Australia (2004)
University of Cergy Pontoise (Paris, Malakoff, France (2004)
University of Trento, Italy (2004)
University of Nice, Antipolis, France (2003)
UMIST (Manchester) (2003)
University of Granada, Spain (2003)
University of Liverpool (2003)
Visiting Professorships since 2001
Queensland University of Technology, Brisbane, Australia (April, 2003)
University of Granada, Spain (June 2003)
University of Trento, Italy (July 2003)
Queensland University of Technology, Brisbane, Australia (September 2003)
University of Trento, Italy (March, 2004)
University Paris V, Malakhov, France (April, 2004)
Queensland University of Technology, Brisbane,
and University of Western Australia, Perth, Australia (August-September 2004)
University of Nice-Sophia Antipolis, France (March 2005).
Hokkaido University, Sapporo, Japan (July 2005)
Queensland University of Technology, Brisbane, Australia (August-September 2005)
University of Cambridge, (March 2006)
University of Granada, Spain (June 2006)
Hokkaido University, Sapporo, Japan (July 2006)
Queensland University of Technology, Brisbane, Australia (August-September 2006)
University of Pau, France (September 2006).
National Taiwan University, Taipei (December 2006)
University of Granada, Spain (April 2007)
University of Umea, Sweden (May 2007)
Department of Mathematics, University of Nice-Sophia Antipolis, France (August 2007).
Queensland University of Technology, Brisbane, Australia (August-September 2007)
Queensland University of Technology, Brisbane, Australia (August-October 2008)
University of Boston, USA (July 2008)
University of Pau, France (November-December 2008).
Michigan State University, USA (January 2009).
University of Nice-Sophia Antipolis, France (April 2009).
University of Granada, Spain (May 2009)
Queensland University of Technology, Brisbane, Australia (August 2009)
Michigan State University, USA (March 2010).
Wichita University, USA (April 2010).
Nancy University, France (July 2010)
Queensland University of Technology, Brisbane, Australia (August 2010)
University of Granada, Spain (January 2011)
Michigan State University (April-May 2011)
University of Nice-Sophia Antipolis, France (May, June and July 2011).
Queensland University of Technology, Brisbane, Australia (August-September 2011).
University of Trento, Italy (December 2011)
Bar Ilan University, Israel (January 2012)
Michigan State University (April 2012)
Universite de Cergy-Pontoise-AGM, France, Paris (June-July 2012).
Queensland University of Technology, Brisbane, Australia (August-September 2012).
University of Roma “Tor Vergata”, Italy (January 2013)
Publications
Research
External Funding Since 2003
1. I was awarded an Australian Research Council Discovery grant (DP034455477) "Statistical estimation and approximation of anomalous diffusion" as Partner Investigator in collaboration with C.C. Heyde (The Australian National University) and V.V. Anh (Queensland University of Technology, Brisbane, Australia). This grant will cover years 2003-2005 with A$ 65 000 per year.
2. I was awarded an EPSRC grant EP/D057361; “Fractional Models of Anomalous Diffusion with Applications to Macroeconomics, Finance and Turbulence” GR/S10186 (RCMTO91) as Principal Investigator. This grant covered years 2003-2005 with total cost on grant £9900. This grant for collaboration with O. E. Barndorff-Nielsen (Aarhus University, Denmark), E.Orsinger (University of Roma, Italy) V.Anh Queensland University of Technology, Brisbane, Australia) and W. Woyczynski (Case Western Reserve University, Ohio,USA)
3. I was awarded an Australian Research Council Discovery grant:” Statistical modelling of spatiotemporal nonlinear diffusions processes with multifractal chracteristics” (the Project ID: DP0559807) as Partner Investigator in collaboration with V.V. Anh (Queensland University of Technology, Brisbane, Australia), Lau, K.S. (Chinese University of Hong Kong), Angulo, J. M. and Ruiz-Medina, L.M. (University of Granada, Spain) .This grant covers years 2005-2009 with A$ 353 000.
4. I was awarded a new EPSRC grant EP/D057361 (RCMT119): “Limit theorems for spatio-temporal random fields and related topics” as Principal Investigator for the years 2006-2009 with total cost £10379. This grant is for collaboration with C.C. Heyde (The Australian National University and Columbia University, USA), M.S. Taqqu (Boston University, USA), V.Anh (Queensland University of Technology, Brisbane, Australia) and E. Taufer (University of Trento, Italy).
5. I was awarded a grant supported of DGI (Dirección General de Investigación) of Ministry of Education and Science of Spain, and FEDER funds (Euopean funds) for collaboration with professors J.M. Angulo and Maria D. Ruiz Medina (University of Granada, Spain). The title of the grant is: Modelling and Statistical Analysis of Local Characteristics and Memory Properties for Spatiotemporal Data. REFERENCE NUMBER: MTM2005-08597. This grant covers years 2005-2008 with 48000 €.
6. I am a partner investigator on the JSPS (Japan) grant project “Advances and new methods for prediction theory and Tauberian theorems with application to stochastic analysis of stochastic processes with memory” (the Principal Investigator is A/Prof. A. Inoue, Department of Mathematics, Hokkaido University, Japan).
7. Grant of London Mathematical Society (2007) 2632 for invitation to UK (Edinburg, Cardiff, Swansea) professor Florin Avram (University of Pau, France), £1000.
8. I was awarded a grant supported of DGI (Dirección General de Investigación) of Ministry of Education and Science of Spain, and FEDER funds (Euopean funds) for collaboration with professors M. D. Ruiz Medina and J.M. Angulo (University of Granada, Spain). The title of the grant is: Wavelet Methods for Inference from Functional Data in Singular Spaces. REFERENCE NUMBER: MTM2008-03903. This grant covers years 2009-2011 with 27000 € .
9. I am Principal Investigator of the Grant RCMT152 Commission of the European Communities PIRSES-GA-2008-230804 (Marie Curie) “Multi-parameter Multi-fractional Brownian Motion” for collaboration of Cardiff University and CNRS, Nancy (France); Kyiv National Taras Shevchenko University (Ukraine) and Bar Ilan University (Israel). This grant covers years 2009-2012 with 90000 € .
10. I am a Partner Investigator of a grant of Ministry of Education and Science of Spain, MTM2012-32674, Project Title: Limit theorems for spatiotemporal processes and asymptotic functional inference with applications to the analysis of climate change, CDNA microarray and finance structure of firms.
Team: N:N. Leonenko, R.M. Espejo, R Fernández-Pascual, M.P. Frías, R.
Román and M.D. Ruiz-Medina. This grant covers years 2012-2015 with 26900 € .
Major Conference Talks Since 2004
Invited Lectures Since 2004:
1. 2nd Spanish Workshop on Spatio-Temporal Modelling of Environment Processes, (Granada, Spain, 2004), Invited Lecture;
2. Workshop on Stochastic Processes and Related Topics, (Swansea, UK, 2005), Invited Lecture;
3. International Conference: Modern Problems and New Trends in probability Theory (Chernivtsi, Ukraine, 2005), Invited Lecture;
4. W-optimal design and related statistical issues (Jouan les Pins, France, 2005), Invited Lecture.
5. Modern stochastics: theory and applications (Kyiv, Ukraine, 2006), Invited Lecture, Organiser of Section: Limit theorems.
6. Workshop on Stochastic Analysis, (Swansea, UK, 2007), Invited Lecture.
7. Workshop “Recent Developments in Finance and Applied Statistics” (National Australian University, Canberra, Australia, 2007), Invited Lecture.
8. Statistics for Dependent Data (StatsDep) (Paris, France, 2008), Invited Lecture.
9. Croatian Congress of Mathematics (Osijek, Croatia, 2008), Invited Lecture.
10. International Conference “Stochastic Analysis and Random Dynamical Systems”(Lviv, June 14-20, 2009), Invited Lecture.
11. 10th International Vilnius Conference on Probability and Statistics (Vilnius, Lithuania, 2010), Invited Lecture.
12. Modern Stochastics: Theory and Applications II (2010, Kyiv, Ukraine), Invited Lecture, Organiser of Section: Limit theorems.
13. University of Swansea, Wales (June 2011) Workshop “Fractional Calculus and Random Processes”, Invited Lecture.
14. International Conference on Long-Range Dependence, Self-Similarity, and Heavy Tails. In honor of Professor Murad S.Taqqu, North Caroline, 19-21 April, 2012.
15. Non-Stationarity in Statistics and Risk Management, Paris, France, 2-5 July 2012, Invited Lecture.
16. Modern Stochastics: Theory and Applications III(2012, Kyiv, Ukraine), Invited Lecture, Organiser of Section: Limit theorems
17. Non-Stationarity in Statistics and Risk Management, CIRM, Luminy, France, 21-25 January 2013, Invited Lecture
18. Modern trends in Markov processes and queuing theory, Workshop, Cardiff University, UK, 15 February 2013, Organiser (jointly with Prof. J.Griffiths).
19. 18th European Young Statistical Meeting, Osijek (Croatia), 26-30 August, 2013, Keynote lecture.
(http://www.mathos.unios.hr/eysm18/)
20. Probabilistic and Statistical Techniques for Cosmological Applications, Rome, Italy, 5-7 June, 2013, Invited Speaker
Postgraduate Students
Research Students at Cardiff University:
E. Taufer (2002-2004): passed through PhD examination in December 2004.
Bakeerathan Gunaratnam (2006-2007): passed through examination in December 2007 (M. Phil program).
S.Petherick (2007-2010), PhD program.
A. Kress (2011-2014), PhD program.
Research students at other Universities:
N.Suvak (2008-2010), PhD program at Osijek University (Croatia).
Past: As a major Professor, advised 16 scientists who received a Ph.D. in Probability Theory and Mathematical Statistics. They work at different Universities of Ukraine, USA, Australia, Italy, Israel, Uzbekistan, Vietnam, Poland, Croatia and Egypt.
Biography
Msc –1973
PhD – 1976
Doctor of Science Degree-1990
Graduated from Mathematical-Mechanics Faculty of Kyiv University, 1973 (Msc).
Ph.D. in Physics and Mathematics (Probability Theory and Mathematical Statistics) from Moscow Institute for Electronic Constructions (MIEM) in 1976,
PhD title: Central limit theorem for random fields and some problems of statistics.
Science Doctor Degree (Habilitation) in Physics and Mathematics (Probability Theory and Mathematical Statistics) from Institute of Mathematics Academy of Sciences of Ukraine in 1990, Kyiv, Title: Limit theorems for functionals of homogeneous isotropic random fields and related topics.
Previous Positions
Engineer, Inst. of Cybernetics Acad. of Sci. of Ukraine, Kyiv, 1973-1976
Senior Scientific Researcher, Inst. of Cybernetics Acad. of Sci. of Ukraine, Kyiv, 1976-1977
Assistant-professor, Kyiv University, 1977-1980
Associate professor, Kyiv University, 1980-1991
Professor, Kyiv University, 1991-2002.
Research/Senior Research Associate in Statistics, Queensland University of Technology, Brisbane, 1999-2000 Lecturer, Cardiff University, 2000-2003
Reader, Cardiff University, 2003-2006.
Professor, Cardiff University, 2006-to date.