Biography

I am an Assistant Professor at the School of Mathematical and Computer Sciences at the Heriot-Watt University in Edinburgh, UK. I am also affiliated with The Maxwell Institute for Mathematical Sciences.

Previously I held postdoctoral positions at the Department of Statistics of the University of Warwick and at the Department of Mathematics of King's College London. I completed my PhD in 2017 at the Institute for Applied Mathematics at the University of Bonn in Germany, where I worked under the supervision of Prof. Andreas Eberle.

Research interests

My research spans across several areas: probability theory, stochastic analysis, numerical analysis, optimization, optimal transport, computational statistics and machine learning. Topics of particular interest include:

- stochastic differential equations

- mathematical foundations of machine learning:

• mean-field optimization

• optimal transport and gradient flows

• game theory

• stochastic gradient algorithms

- Lévy processes

- interacting particle systems and their mean-field limits

- ergodicity of Markov processes

- Monte Carlo methods:

• sampling via Markov Chain Monte Carlo (MCMC) 

• Multi-Level Monte Carlo

For up-to-date information about my research activities, please see my personal website https://sites.google.com/site/mateuszbmajka/