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Numerical approximations of irregular differential equations


Key facts

Type of research degree
Application deadline
Ongoing deadline
Project start date
Tuesday 1 October 2024
Country eligibility
International (open to all nationalities, including the UK)
Competition funded
Source of funding
University of Leeds
Dr Khoa Le
School of Mathematics
Research groups/institutes
Applied Mathematics, Probability and Financial Mathematics, Statistics
<h2 class="heading hide-accessible">Summary</h2>

Recent advances in the study of regularization by noise phenomena have pushed forward our understanding of numerical approximations for stochastic differential equations with irregular coefficients which are discontinuous or even distributions. However, the current results only treat equations whose coefficients are uniformly bounded which leave out interesting cases that one encounters in practice. This Phd project aims to develop further these advances in numerical approximations of differential equations with unbounded coefficients, and therefore will address practical implementations.

<h2 class="heading hide-accessible">Full description</h2>

<p>Consider, for instance, a multidimensional stochastic differential equation driven by Brownian motion with a drift and its corresponding Euler-Maruyama scheme. We are interest in the optimal convergence rate of the scheme in situations when the drift is a measurable function of time and space. Note that we do not assume any continuity property on the drift.</p> <p>When the drift is bounded, the recent article &ldquo;<a data-clk="hl=en&amp;sa=T&amp;ei=ckdzZd2OBYzCmgGp_5zQBg" href="">Quantifying a convergence theorem of Gy&ouml;ngy and Krylov</a>&rdquo; by Konstantinos Dareiotis, M&aacute;t&eacute; Gerencs&eacute;r, Khoa L&ecirc; obtains a strong convergence rate of order &frac12;, which is the same as in the classical case when the drift is Lipschitz continuous. An extensions of this result to the case of integrable drift is reported in &ldquo;<a data-clk="hl=en&amp;sa=T&amp;ei=M0hzZcq-LozCmgGp_5zQBg" href="">Taming singular stochastic differential equations: A numerical method&rdquo;</a> by Khoa L&ecirc; and Chengcheng Ling.</p> <p>The&nbsp; current challenging problem would be extending these results to equations with growing drifts (for example, unbounded measurable drifts).</p> <p>Similar problems for stochastic partial differential equations could be also considered.</p>

<h2 class="heading">How to apply</h2>

<p class="MsoNoSpacing">Formal applications for research degree study should be made online through the&nbsp;<a href="">University&#39;s website</a>. Please state clearly in the Planned Course of Study section that you are applying for&nbsp;<em><strong>PhD Statistics FT</strong></em>&nbsp;and in the&nbsp;research information section&nbsp;that the research degree you wish to be considered for is&nbsp;<em><strong>Numerical approximations of irregular differential equations</strong></em>&nbsp;as well as&nbsp;<a href="">Dr Khoa Le</a>&nbsp;as your proposed supervisor. Please state in the Finance section the funding source you are applying for, if you are self-funding or are externally sponsored (please include the name of your sponsor).</p> <p>If English is not your first language, you must provide evidence that you meet the University&#39;s minimum English language requirements (below).</p> <p>As an international research-intensive university, we welcome students from all walks of life and from across the world. We foster an inclusive environment where all can flourish and prosper, and we are proud of our strong commitment to student education. Across all Faculties we are dedicated to diversifying our community and we welcome the unique contributions that individuals can bring, and particularly encourage applications from, but not limited to Black, Asian, people who belong to a minority ethnic community, people who identify as LGBT+ and people with disabilities. Applicants will always be selected based on merit and ability.</p> <p>Applications will be considered after the closing date. &nbsp;Potential applicants are strongly encouraged to contact the supervisors for an informal discussion before making a formal application. We also advise that you apply at the earliest opportunity as the application and selection process may close early, should we receive a sufficient number of applications or that a suitable candidate is appointed.</p> <p>Please note that you must provide the following documents in support of your application by the closing date of 3 April 2024 for Leeds Opportunity Research Scholarship and 8 April 2024 for Leeds Doctoral Scholarship:</p> <ul> <li>Full Transcripts of all degree study or if in final year of study, full transcripts to date</li> <li>Personal Statement outlining your interest in the project</li> <li>CV</li> </ul>

<h2 class="heading heading--sm">Entry requirements</h2>

Applicants to research degree programmes should normally have at least a first class or an upper second class British Bachelors Honours degree (or equivalent) in an appropriate discipline. The criteria for entry for some research degrees may be higher, for example, several faculties, also require a Masters degree. Applicants are advised to check with the relevant School prior to making an application. Applicants who are uncertain about the requirements for a particular research degree are advised to contact the School or Graduate School prior to making an application.

<h2 class="heading heading--sm">English language requirements</h2>

The minimum English language entry requirement for research postgraduate research study is an IELTS of 6.0 overall with at least 5.5 in each component (reading, writing, listening and speaking) or equivalent. The test must be dated within two years of the start date of the course in order to be valid. Some schools and faculties have a higher requirement.

<h2 class="heading">Funding on offer</h2>

<p class="MsoNoSpacing"><strong>Self-Funded or externally sponsored students are welcome to apply.</strong></p> <p><strong>UK</strong>&nbsp;&ndash;&nbsp;The&nbsp;<a href="">Leeds Doctoral Scholarships</a>,&nbsp;<a href="">Leeds Opportunity Research Scholarship</a>&nbsp;and <a href="">School of Mathematics Scholarships</a><span style="font-size:11.0pt"><span style="line-height:107%"><span style="font-family:&quot;Calibri&quot;,sans-serif">&nbsp;</span></span></span>are available to UK applicants.&nbsp;<a href="">Alumni Bursary</a>&nbsp;is available to graduates of the University of Leeds.</p> <p><strong>Non-UK</strong>&nbsp;&ndash; The&nbsp;<a href="">China Scholarship Council - University of Leeds Scholarship</a>&nbsp;is available to nationals of China (now closed for 2024/25 entry). The&nbsp;<a href="">Leeds Marshall Scholarship</a>&nbsp;is available to support US citizens.&nbsp;<a href="">Alumni Bursary</a>&nbsp;is available to graduates of the University of Leeds.</p> <p><strong>Important:</strong>&nbsp; Any costs associated with your arrival at the University of Leeds to start your PhD including flights, immigration health surcharge/medical insurance and Visa costs are&nbsp;<em><strong>not</strong></em>&nbsp;covered under this studentship.</p> <p>Please refer to the&nbsp;<a href="">UKCISA</a>&nbsp;website for information regarding Fee Status for Non-UK Nationals.</p>

<h2 class="heading">Contact details</h2>

<p class="MsoNoSpacing">For questions about this research project, please contact Dr Khoa Le by email to&nbsp;<a href=""></a>.</p> <p>For general enquiries about applications, please contact Doctoral College Admissions by email to&nbsp;<a href=""></a>.&nbsp;</p>

<h3 class="heading heading--sm">Linked funding opportunities</h3>
<h3 class="heading heading--sm">Linked research areas</h3>