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 /> <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 energy markets and financial markets.<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 should have a demonstrated 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/info/130206/applying/91/applying_for_research_degrees">University's website</a>. Please state clearly in the research information section that the research degree you wish to be considered for is ‘Stochastic control models for financial applications’ 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><em>We welcome applications from all suitably-qualified candidates, but UK black and minority ethnic (BME) researchers are currently under-represented in our Postgraduate Research community, and we would therefore particularly encourage applications from UK BME candidates. All scholarships will be awarded on the basis of merit.</em></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><strong>Self-Funding Students are welcome to apply.</strong></p> <p><strong>UK students</strong> – The <a href="https://phd.leeds.ac.uk/funding/138-leeds-doctoral-scholarships-2021-january-deadline">Leeds Doctoral Scholarship (January deadline)</a> and the <a href="https://phd.leeds.ac.uk/funding/142-william-wright-smith-scholarship-2021">William Wright Smith 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 students</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>For further information regarding your application, please contact Doctoral College Admissions by email: <a href="mailto:firstname.lastname@example.org">email@example.com</a>, or by telephone: +44 (0)113 343 5057.</p> <p>For further information regarding the project, please contact Dr Jan Palczewski by email: <a href="mailto:J.Palczewski@leeds.ac.uk">J.Palczewski@leeds.ac.uk</a></p>
<h3 class="heading heading--sm">Linked research areas</h3>