Research interests in Computational and Applied Mathematics:
- Constructive Stochastic Modeling with Applications in Mathematical Finance,
- Approximation and Simulation of Solutions of Stochastic Differential Equations,
- Constructive Methods of Stochastic Optimization,
- Approximation of Partial Differential Equations and Variational Inequalities,
- Mathematical Software Development.
The author of publications and monographs in the fields of mathematical and computer modeling of real-life phenomena with the use of stochastic differential equations.
Co-author of the fully professional SDE-Solver package, solving systems of stochastic differential equations with Gaussian, stable and Poisson random measures.
Member of the Polish Mathematical Society.