These web pages describe the Probability, Stochastic Modelling and Financial Mathematics research group at the University of Leeds.
ResearchOur group has three main research areas:
- Random dynamical systems and their applications in finance, economics, biology and physics;
- statistical inference for discrete and continuous time processes, including theoretical aspects and applications; and
- asymptotic and computational methods for stochastic (partial) differential equations and stochastic control.
Specific examples of our research interests are:
- stochastic (partial) differential equations, including smoothing, filtering, control, and numerical methods;
- Markov processes including applications in cell biology, immunology and social dynamics;
- mathematical finance and economics, including portfolio management, hedging, and evolutionary finance;
- queueing theory including communication systems and networks;
- multivariate extreme value modelling with applications in transport pollution problems;
- evolutionary game theory with applications in behavioural science and complexity theory;
- statistical physics of disordered systems and random media theory;
- random combinatorial structures including random partitions;
- stochastic particle dynamics, including applications in spatial ecology;
- modern methods in numerical sampling, including molecular dynamics and MCMC.