Michael Sørensen

Michael Sørensen is a Professor at the Department of Mathematical Sciences, University of Copenhagen. His primary research focuses on statistical inference for stochastic processes, particularly stochastic differential equations and jump processes, with applications in finance, physics (e.g., wind-blown sand dynamics), and biology. He has authored/co-authored influential books such as Exponential Families of Stochastic Processes and edited volumes on empirical process techniques and statistical methods for stochastic differential equations. His work bridges theoretical statistics with applied problems in natural sciences and finance.

Research interests include modeling turbulence, sand transport dynamics, and protein structure evolution. Collaborations with earth scientists like Keld Rømer Rasmussen have advanced understanding of aeolian processes. His methodologies emphasize likelihood-based inference and estimating functions, with contributions to high-frequency data analysis and diffusion bridge simulations. A comprehensive CV and full publication list are available on his profile.

Key contributions span stochastic modeling in physics (e.g., sand dune dynamics), financial econometrics, and computational statistics. He has pioneered techniques for analyzing multi-modal diffusions and developed frameworks for mixed-effects stochastic differential equations. His work is widely cited in both theoretical and applied statistical literature.