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Asymptotics of stochastic dynamical systems

Objetivo

The proposed research will be concerned with applications of large deviations in areas of stochastic dynamical systems that exhibit discontinuities due to sudden changes in their parameters or due to the presence of heavy-tailed probability distributions. The goal is the understanding and analysis of the behaviour of these complex systems in time (focusing mostly in stability analysis) as well as in space (random graph models possessing nodes with a gigantic number of neighbours being a principal object of study). Besides analysis, the research will be concerned with applications to management and control via risk sensitive methods, i.e. to the design of stochastic systems. To this end, we will use methods available in other application areas for stochastic systems, such as financial markets. In the department af Actuarial Mathematics and Statistics at Heriot-Watt University there are active research groups in stability/performance of stochastic systems and in financial economics. The proposer will greatly b enefit by interactions with these two Heriot-Watt teams.

Ámbito científico (EuroSciVoc)

Tema(s)

Convocatoria de propuestas

FP6-2004-MOBILITY-7
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Régimen de financiación

IIF - Marie Curie actions-Incoming International Fellowships

Coordinador

HERIOT-WATT UNIVERSITY
Aportación de la UE
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Coste total
Sin datos