Stochastic analysis

The research of this group is mainly concerned with mathematical and statistical modelling of systems evolving randomly in space and time. The group has a particularly strong reputation and interest in developing and applying the theory and methods of stochastic processes to financial risk management.

Group members

• Feng Chen, opens in a new window
• Libo Li, opens in a new window
• Sarat Moka, opens in a new window
• Sahani Pathiraja, opens in a new window

• Spiridon Penev, opens in a new window
• Donna Salopek, opens in a new window
• Scott Sisson, opens in a new window

Research interests

The research interests of the Stochastic Analysis group cover a number of different interrelated areas.

Stochastic processes

• General theory of Stochastic Processes
• Optimal stochastic control
• Fractional Brownian motion
• Stochastic differential equations
• Enlargements of filtration

Time series

• Inference for discrete values time series
• Large sample properties of estimation
• Continuous time limits of discrete time processes
• Applications in policy intervention
• Application to high frequency financial series

Extreme value theory

• Multivariate extremes
• Spatial and temporal modelling
• Computational techniques for inference
• Applications to environmental and climate extremes
• Risk analysis and rare event simulation