David Kelly
Senior Member of the Research Staff @ The Voleon Group.
Mathematician. Computational Statistician.
The Voleon Group
2170 Dwight Way
Berkeley CA 94704
dtbkelly 'at' gmail 'dot' com
I am currently a Senior Researcher at The Voleon Group - a Machine Learning driven quantitative hedge fund. Before moving to industy, I obtained my PhD in Mathematics from the University of Warwick, advised by Sir Martin Hairer in Stochastic PDEs and Rough Path Theory. I subsequently held postdoctoral positions at the University of Warwick and the University of North Carolina, Chapel Hill, before becoming a Courant Instructor / Assistant Professor at the Courant Institute, NYU.
selected publications
Smooth approximation of stochastic differential equations.Joint work with Ian Melbourne.
Annals of Probability. Volume 44, Issue 1 (2016).Journal, arXiv.
Concrete ensemble Kalman filters with rigorous catastrophic filter divergence.
Joint work with Andy Majda and Xin Tong.
Proceedings of the National Academy of Sciences. Volume 112, No 34 (2015).Journal (open access)
Geometric vs non-geometric rough paths.
Joint work with Martin Hairer.
Annales de l'Institut Henri Poincaré (B). Volume 51, Issue 1 (2015).Journal (open access).