About the Project:
This project is devoted to problems that arise when combining the promising and novel approach of ‘cubature on Wiener space’ developed by Kusuoka, Lyons and Victoir with recombination algorithms that can simplify particle descriptions of an evolving system. The aim is to develop powerful numerical methods that can be adopted by practitioners. The project is rooted in stochastic analysis, but many of the problems arising are at an interface to numerical analysis, (applied algebraic) geometry and algebra and can be developed in several different directions.
We are particularly interested in the following classes of problems:
Applications of the developed algorithms to problems arising in mathematical finance informed by our external project partners with broad experience in the financial services industry.
Applicants should either have some knowledge of a high-level programming language such as C++ or be willing to develop such skills as part of their PhD. The project is related to the research of our EPSRC grant
EP/V005413/1 and may involve some collaboration with our external project partner Prof Terry Lyons FRS who is based in Oxford.
The stochastic analysis and mathematical finance group in York is active in several research areas including the analysis of SPDEs, rough paths and statistical mechanics. The start time for the studentship is flexible between March and September 2022. Applications are open to students worldwide.
TO APPLY: To apply, please complete the application form by clicking on the "Apply Now - PhD"
If you are interested in any other Maths Studentships at York, follow this link.