Probabilistic methods for free boundary problems in stochastic control


Contact Dr Tiziano De Angelis to discuss this project further informally.

Project description

Stochastic control theory deals with the dynamic optimisation of systems subject to randomness. It finds applications in several fields, including engineering, biology, economics and finance. In order to determine an optimal control it is often useful to turn to the study of so-called free boundary problems (FBP).

These are partial differential equations (PDE) that need to be solved in unspecified domains. In fact the domain must be found as part of the solution to the PDE itself. Currently there exist two main approaches to problems of this kind: a probabilistic one and an analytical one.

However, links between the two are still missing and several questions concerning FBPs do not have a probabilistic answer.

The aim of the project is to contribute to bridge the two theories and develop an advanced probabilistic framework for the study of FBPs.

Entry requirements

Applications are invited from candidates with or expecting a minimum of a UK upper second class honours degree (2:1), and/or a Master's degree in a relevant mathematics or statistics background. Specific topics which would be relevant to this project include stochastic control, stochastic calculus, programming.

Additional staff contact

How to apply

Formal applications for research degree study should be made online through the university's website. Please state clearly in the research information section that the PhD you wish to be considered for is the 'Probabilistic methods for free boundary problems in stochastic control’ as well as Dr Tiziano De Angelis as your proposed supervisor.

If English is not your first language, you must provide evidence that you meet the University’s minimum English Language requirements.

We welcome scholarship applications from all suitably-qualified candidates, but UK black and minority ethnic (BME) researchers are currently under-represented in our Postgraduate Research community, and we would therefore particularly encourage applications from UK BME candidates.  All scholarships will be awarded on the basis of merit.