Birgit Rudloff

Prof. Birgit Rudloff is a Full Professor at the Institute for Statistics and Mathematics, Vienna University of Economics and Business (WU). She holds the title of Deputy Institute Chair and leads a research group focused on optimization and financial mathematics. Her work bridges dynamic programming, set-valued risk measures, and systemic risk analysis, with applications in finance and economics.

• Affiliations: Vienna Graduate School on Computational Optimization (VGSCO), FWF-funded projects.
• Education: Habilitation (2016), Ph.D. (2006) in Financial Mathematics, M.Sc. (2002).

Research Interests: Multivariate dynamic programming, set-valued Bellman principle, time consistency in optimization, systemic risk measurement, and algorithm development for vector optimization. Her group explores financial risk modeling under transaction costs and dynamic game equilibria.

Publications: Over 47 peer-reviewed articles in top journals (e.g., Operations Research, Mathematical Programming). Recent work includes set-valued systemic risk measures and Nash equilibrium approximations in convex games.

• Grants: FWF (€1.8M), OeNB (€170k), NSF-funded research communities.

Labs/Teams: Leads a team of 3 PostDocs and 2 PhD students, fostering cross-disciplinary projects with experts in optimization, dynamic systems, and computational finance.