- Type of research degree
- Application deadline
- Ongoing deadline
- Country eligibility
- International (open to all nationalities, including the UK)
- Competition funded
- Dr Jan Palczewski
- Additional supervisors
- Dr Tiziano De Angelis
- School of Mathematics
- Research groups/institutes
This project is devoted to the study of stochastic control problems with possible applications ranging from energy and power systems to economics and finance. In particular, we are interested in the theoretical and numerical study of optimal strategies in one of the following classes of problems:<br /> * Optimal stopping problems. These can be used to design, price and hedge contracts with features similar to those of American type options.<br /> * Irreversible (partially reversible) investment problems. These find numerous applications in the study of real options and energy systems.<br /> * Zero-sum and nonzero-sum games of control and stopping. These games are well-suited to model situations where multiple agents compete or cooperate to achieve certain goals; hence they can be used to describe financial markets and energy markets.<br /> <br /> Versions of the above problems featuring also partial and asymmetric information may be considered. The methodologies that will be used in this project are inspired by stochastic calculus, stochastic differential equations and partial differential equations. It is therefore expected that applicants have a strong background in one or more of those areas of mathematics.<br /> <br /> The Financial Mathematics group in Leeds has strong expertise in stochastic control and stochastic analysis. As a PhD student in our group you will have the opportunity to interact with several other young researchers in this area and you will benefit from frequent scientific visits of leading international academics in the field.
<p>Formal applications for research degree study should be made online through the <a href="https://www.leeds.ac.uk/research-applying/doc/applying-research-degrees">University's website</a>. Please state clearly in the Planned Course of Study section that you are applying for <em><strong>PHD Statistics FT </strong></em>and in the research information section that the research degree you wish to be considered for is <em><strong>Stochastic control models for financial applications</strong></em> as well as <a href="https://eps.leeds.ac.uk/maths/staff/4069/dr-jan-palczewski">Dr Jan Palczewski</a> as your proposed supervisor.</p> <p>If English is not your first language, you must provide evidence that you meet the University's minimum English language requirements (below).</p> <p style="margin-bottom:11px"><em>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.</em></p> <p class="MsoNoSpacing">Applications will be considered on an ongoing basis. 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 at the point you submit your application:</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> <li>Funding information including any alternative sources of funding that you are applying for or if you are able to pay your own fees and maintenance</li> </ul> <p> </p>
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.
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.
<p style="margin-bottom:12px"><strong>Self-Funded or externally sponsored students are welcome to apply.</strong></p> <p><strong>UK</strong> – The <a href="https://phd.leeds.ac.uk/funding/209-leeds-doctoral-scholarships-2022">Leeds Doctoral Scholarships</a> and <a href="https://phd.leeds.ac.uk/funding/234-leeds-opportunity-research-scholarship-2022">Leeds Opportunity Research Scholarship</a> are available to UK applicants. <a href="https://phd.leeds.ac.uk/funding/60-alumni-bursary">Alumni Bursary</a> is available to graduates of the University of Leeds.</p> <p><strong>Non-UK</strong> –The <a href="https://phd.leeds.ac.uk/funding/48-china-scholarship-council-university-of-leeds-scholarships-2021">China Scholarship Council - University of Leeds Scholarship</a> is available to nationals of China. The <a href="https://phd.leeds.ac.uk/funding/73-leeds-marshall-scholarship">Leeds Marshall Scholarship</a> is available to support US citizens. <a href="https://phd.leeds.ac.uk/funding/60-alumni-bursary">Alumni Bursary</a> is available to graduates of the University of Leeds.</p> <p><strong>Important:</strong> 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<strong> not</strong> covered under these studentships.</p> <p>Please refer to the <a href="https://www.ukcisa.org.uk/">UKCISA</a> website for information regarding Fee Status for Non-UK Nationals.</p>
<p>For further information about your application, please contact Doctoral College Admissions: e: <a href="mailto:email@example.com">firstname.lastname@example.org</a></p> <p>For further information about this project, please contact Dr Jan Palczewski: e: <a href="mailto:J.Palczewski@leeds.ac.uk">J.Palczewski@leeds.ac.uk</a></p>
<h3 class="heading heading--sm">Linked research areas</h3>