Stochastic Numerics

Project description

The project belongs to the following areas of Mathematics: Stochastic Analysis, Applied Probability, Numerical Analysis

This broad project is devoted to the construction of new efficient numerical methods for stochastic differential equations and stochastic numerical analysis of properties of the methods. Depending on the interest of the student, it can be focused, e.g. on numerics for stochastic partial differential equations, on methods which are efficient for computing ergodic limits, on stochastic geometric integration, SDEs on manifolds.

We require an enthusiastic graduate with a 1st class degree in Mathematics, preferably at MMath/MSc level (in exceptional circumstances a 2:1 class degree, or equivalent, can be considered). We are expecting that the successful applicant has a very good background in Probability and has good computational skills.