Since 2018 he is an Emeritus Professor of Mathematics at Auburn University, AL.[1][2] Kallenberg was born in Gothenburg, Sweden, but grew up in Stockholm, where he attended the KTH (Royal Institute of Technology), division of Technical Physics, graduating with honors as a civil engineer.

In 1966 he got a masters degree (then about equivalent to a present Ph.D.) in probability theory (belonging to the division of Mathematical Statistics at KTH) under the direction of Carl-Gustav Esseen.

In 1986 he gave a one-hour plenary talk at the 2nd World Congress of Mathematical Statistics and Probability in Tashkent (then belonging to the Soviet Union but now the capital of independent Uzbekistan.)

In 2013 he was honored by an international Olav Kallenberg Workshop at the Mittag-Leffler Institute in Djursholm, Sweden, attended by leading probabilists from eight different countries.

Associate Editor for Zeitschrift für Wahrscheinlichkeitstheorie and verwante Gebiete (predecessor to PTRF), Stochastic Processes and Applications, and Probability Surveys (over periods of time for each of them).