In the past I predominantly worked on optimal stopping of Markov processes motivated by the pricing of American options. I now work on both qualitative and quantitative properties of nonlinear stochastic ODE and PDE systems, mostly motivated by statistical mechanics. Some other applications include finance and random dynamics on networks.
Maltba, T., Gremaud, P. A., & Tartakovsky, D. M. (2018). Nonlocal PDF methods for Langevin equations with colored noise. Journal of Computational Physics, 367, 87–101. https://doi.org/10.1016/j.jcp.2018.04.023