Objective
This proposal has its focus on developing/broadening the white noise theory with applications to financial mathematics and stochastic partial differential equations (SPDEs), to allow for non-Gaussian or even non-Levy, processes.
The following five research topics will be considered.
1) Solution of general hyperbolic SPDEs perturbed by fractional Brownian noise. This will add greatly to the knowledge of how an important class of dynamical systems behave in a noisy environment. Creating a stochastic LP-theory, giving information on how roughness of the noise is transferred to the solution, to aid in the computation of convergence rates for numerical methods.
2) Development of numerical methods and numerical analysis for use on SPDEs perturbed by non- Gaussian noise. There are currently no methods available in this situation while the demands for practical methods from the applied scientific community are clearly seen. The results will definitely be beneficial for the scientific community involved in stochastic modelling.
3) and 4) Two extensions in minimal variance hedging. Calculating the change of value of processes, perturbed by intensity processes such as the doubly stochastic Poisson process (the Cox process), requires extension of the Malliavin calculus to non-Levy processes and the use of a Clark-Haussmann-Ocone theorem for this setting which is the goal of the first part of this section. The second has a similar aim but deals with applying the Donsker's delta function to compute hedging strategies for more general contingent claims. The key results should be explicit, easy-to-use, formulas so as to avoid the imprecise and time consuming use of Monte-Car lo simulation
5) Anticipating calculus. To deal with price dynamics of stocks, which are not adapted t o a given filtration (market information), it is essential to develop a calculus for non-adapted processes. An anticipative Ito formula for Levy processes has recently been proved. This will be used to study portfolios under non-adaptedness. The situation of non-adaptedness will occur e.g. if an insider hedges a portfolio.
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
- social sciences economics and business economics macroeconomics
- natural sciences mathematics applied mathematics dynamical systems
- natural sciences mathematics pure mathematics mathematical analysis differential equations partial differential equations
- natural sciences mathematics applied mathematics numerical analysis
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Keywords
Project’s keywords as indicated by the project coordinator. Not to be confused with the EuroSciVoc taxonomy (Fields of science)
Project’s keywords as indicated by the project coordinator. Not to be confused with the EuroSciVoc taxonomy (Fields of science)
Programme(s)
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Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Call for proposal
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Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
FP6-2002-MOBILITY-5
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Funding Scheme
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Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Coordinator
OSLO
Norway
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.