CURRICULUM
VITAE
László
Gerencsér
Address:
MTA SZTAKI
Computer and Automation
Institute,
Hungarian Academy of Sciences
13-17 Kende u.
Budapest, 1111
Hungary
H-1518 Budapest,
P.O.Box 63,
Phone: +36 - 1 – 279 6138
Fax: +36-1-466 7503
Email: gerencser@sztaki.hu
gerencser@digitus.itk.ppke.hu
Personal
Information:
Birth Date: 07 August, 1946
Birth Place: Zalaegerszeg, Hungary
Citizenship: Hungarian
Marital Status: Married
Children: 3 children
Education:
Degrees:
D.Sc. (Doctor of the Hungarian
Academy of Sciences), 1999
Candidate of Mathematical
Sciences (Hungarian Academy of Sciences), 1976
University Doctorate (Eötvös
Lóránd University, Budapest, Hungary), 1970
M.Sc. Mathematics (Eötvös
Lóránd University, Budapest, Hungary), 1969
Scholarships:
Széchenyi Professorship
(Eötvös Lóránd University, Budapest, Hungary), 1998-2001.
British Council
(Polytechnic of Central London, 5 months), 1981.
Oxford
University (Computer Center of the University of Oxford, 6 months), 1974.
Hungarian Academy of Science
(Computer Center of the Soviet Academy of Sciences, 9 months, 1972-1973).
Work History
Head
of the Applied Mathematics Laboratory,
MTA
SZTAKI
(Computer
and Automation Institute of the Hungarian Academy of Sciences)
1998-present
Head
of the Stochastic Systems Research Group
MTA
SZTAKI
1998-to
present.
MTA
SZTAKI,
1970 –
present.
Current
position: Scientific Adviser
Péter Pázmány Catholic University
Full Professor, part time
2003-present
Janus
Pannonius Science University
Associate
Professor, part time
1991-1995
McGill
University
Department
of Electrical Engineering
Montreal,
Quebec, Canada
Visiting
Professor
1988-91
Chalmers
University of Technology
Gothenburg,
Sweden
Department
of Mathematics
Visiting
Lecturer (8 months)
1986.
Institute
of Mathematics of the
Hungarian
Academy of Sciences
1969-70.
Teaching Experience (selected list)
Eötvös Lóránd University:
System Theory IV., (Stochastic
Sytsems)
Markov Decision Processes
Statistical Theory of Nonlinear
Stochastic Systems, I, II
Hidden Markov-processes, I-III
Stability of Markov Processes
Statistical Theory of Linear Stochastic
Systems
Introduction to Option Pricing
Interest Rate Theory
Linear Stochastic Systems
Nonlinear Prpgramming
Linear Programming
Mathematical Analysis
Péter Pázmány
Catholic University :
Information and Coding Theory
Janus Pannonius Science University:
Signals and Systems
Linear Systems
Linear Algebra.
McGill University:
Stochastic Complexity in System Identification
Linear Stochastic Systems I-II
Signals and Systems
Chalmers University of Technology:
Time Series Analysis
Introduction to Statistics
Nonparametric Statistics
Technical University of Budapest:
Partial Differential Equations.
Graduate Student Supervision
Orlovits, Zs.: Statistical estimation of economic time series. (2003-)
Eötvös Loránd University, Budapest
Faculty of Natural Sciences
“Applied Mathematics” Ph.D. program
Mátyás, Z.: Behaviour models of financial markets (2002-)
Eötvös Loránd University, Budapest
Faculty of Natural Sciences
“Applied Mathematics” Ph.D. program
Molnár-Sáska, G.: Hidden Markov processes in financial modelling (1999-)
Budapest University of Technology and Economics
“Computer Science” Ph.D. program
Rásonyi, M.: Arbitrage theory in discrete time (1998 - )
Eötvös Loránd University, Budapest
Faculty of Natural Sciences
“Applied Mathematics and Operations Research” Ph.D. program and
The University of Besancon
Co-supervised by Yu.
Kabanov
Kmecs, I.: Estimation of Hidden-Markov models (1998-)
Eötvös Loránd University, Budapest
Faculty of Natural Sciences
“Informatics” Ph.D. program
Vágó, Zs: Statistical Theory of
Continuous-Time Linear Stochastic System (1992-95)
Eötvös Loránd University, Budapest
Faculty of Natural Sciences
“Applied Mathematics and Operations Research” Ph.D. program
Jimmy Baikovicius: Change point detection of linear stochastic systems (1988-1992)
McGill University
Department
of Electrical Engineering
Montreal,
Quebec, Canada
Research
projects:
Project title: Stochastic Systems and Modelling Financial
Markets
Hungarian National Science Foundation (OTKA)
OTKA Grant No.: T047193
Duration: 2002-2006
Project title: SPSA, MCMC and control Lyapunov exponents
The Johns Hopkins University
Applied Physics Laboratory
Contract No: No 864909
Duration: 2003
Project title: High accuracy stochastic adaptive systems
National Science and Research Fund, Hungary (OTKA)
OTKA Grant No.: T032932
Duration: 2000-2003
Project
title: Model
uncertainty and control
National Science and Research Fund, Hungary (OTKA)
OTKA Grant No.: T020984
Duration: 1996-1999
Project title:
Modelisation et
Control des Systemes Stochastiques en Temps Continu
OMFB TÉT, Balaton
program
Grant No:
F/78-95,
Duration: 1996-1997
Project title: Model-uncertainty and control
National Science and Research
Fund, Hungary (OTKA)
OTKA
Grant No.: T 020984
Duration: 1996-1999
Project title: System identification and
white noise modeling
Grant No: PECO 92 5981
1994
Project title: System identification and
direct adaptive control
Grant No: PECO 92 8195
1993
Project title: Stochastic complexity,
statistical modeling and adaptive control National
Science and Research Fund, Hungary, (OTKA)
OTKA Grant No.: T 7336
Duration: 1993-1995
Project title: Adaptive Control of Slowly
Time-Varying Systems
National
Science and Engineering Research Council (NSERC), Canada
1988-1991.
Project title: Stochastic analysis -
computational methods
National
Science and Research Fund, Hungary, (OTKA),
Duration: 1987-1990.
Professional
Activities
:
ERCIM (European Research Consortium for Informatics and
Mathematics) Working Group on Control and Systems, chairman (2004-present).
ERNSI (European Network for System Identification), 2003-
IFAC Techical Committe on Stochastic Systems, vice chair (2002-present)
IEEE Control Systems Society, Conference Editorial Board (1998-2001)
IEEE Control Systems Society, Committee for International Affairs (1998-present)
IFAC TC on Stochastic Systems (1998-2001)
IFAC TC on Modeling, Identification and Signal Processing (1998-2001)
ERCIM (European Research Consortium for Informatics and
Mathematics) Working Group on Control and Systems, local coordinator (2004-present)
Local Societies and Committees:
Committee
for Operations Research, Hungarian
Academy of Sciences (2003-present)
Reviewing
Committee for OTKA, Mathematics
(Hungarian National Science Foundation), (2000-2003)
IFAC Hungarian National Committee (1998-)
Hungarian Operations Research
Society, Systems and Control Group, Chairman
Conference Organization :
Associate Editor for the joint CDC-ECC’05 conference
ERNSI Workshop on System Identification 2004, Dobogókő, Local Chairman.
MTNS’98, Mathematical Theory of Networks
and Systems, Padova, Italy, 1998:
coorganizer of two invited sessions.
Bernoulli Satellite Conference on Stochastic Differential
and Difference Equations,
Győr, 1996, member of the NOC
Coorganizer
of two invited sessions for the
MTNS’96,
Mathematical Theory of Networks and Systems, St. Louis, Missouri, 1996:
coorganizer
of two invited sessions
ERCIM
Workshop on Systems and Control, Budapest, 1995: Program Chairman
Organizer of an invited
session for the
SIAM Conference on Control,
St. Louis, 1995: organizer of an invited session.
IFAC/IFORS Symposium on
Adaptive Control and Signal Processing, 1995, NOC
Member
IFAC/IFORS Symposium on
Identification and System Parameter Estimation,
Budapest, 1991, NOC member
Editorial Work:
Associate editor for the Journal on Applied Mathematics (Alkalmazott Matematikai Lapok, 2004-present)
Associate Editor for the joint CDC-ECC’05 Conference
Associate
Editor for the IEEE Transactions on Automatic Controlm (2001-2004)
Associate editor for the SIAM J. Control
and Optimization (1998 – 2004)
IEEE Control Systems Society Conference Editorial Board (1998-2001)
Associate editor for the Journal of
Mathematical Systems, Estimation and Control
(1991- 1996)
Co-editing
(with P.E. Caines): Topics in Stochastic Systems: Modeling, Estimation and
Adaptive
Control. Lecture Notes on Information and Control Sciences, 161, Springer,
1991.
Memberships :
IEEE
SIAM
János
Bolyai Mathematical Society
Hungarian
Operations Research Society
Awards :
SZTAKI
Publication award for outstanding scientific activity (1992, 1994, 2003).
Hart Prize for
Independent Research, The Johns Hopkins University (2002)
Gyula Farkas
Prize for Applied Mathematics, János Bolyai Math. Society (1974)
First Prize at
the József Kürschák Mathematical Competition (1969)
First prize at
the Mathematical Olympiad in Moscow
(1969)