PhD Position in Mathematics

Organization: 
Institute for Mathematics, Julius-Maximilians-University Würzburg, Germany
Email: 
l-math9@mathematik.uni-wuerzburg.de
Job Description: 

The STRIKE network (www.itn-strike.eu) provides a unique opportunity for a total of 12 researchers in early stages of their careers to study emerging research topics in the field of computational finance under the prestigious scheme of Marie Curie Initial Training Network.

In the frame of FP 7 Marie Curie Initial Training Network STRIKE, the University of Wuerzburg invites applications for an open Marie Curie ESR fellowship. The aim of STRIKE is to deeper understand complex nonlinear financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This aim will be accomplished by means of financial modeling, mathematical analysis and numerical simulations, optimal control techniques and validation of models.

The fellow to be recruited by the University of Würzburg will be employed with full social security coverage and all benefits in accordance with Marie Curie ITN fellowships regulations (highly competitive remuneration plus allowances for living and mobility expenses). As an Early Stage Researchers the applicant will register to read for a Doctor rerum naturalium (Dr. rer. nat.) of the Faculty of Mathematics and Computer Science of the University of Würzburg. The duration of the fellowship is 36 months for the Early Stage Researchers.

Research activities will all be carried out at the Chair of Scientific Computing
(Mathematik IX - http://www9.mathematik.uni-wuerzburg.de) at the University of Würzburg in close collaboration with the STRIKE network. The fellow will spend 3 months visiting the STRIKE collaboration partner at the TU Delft. The fellow will join the STRIKE community, take part in the STRIKE events and will perform their individual research projects studying optimization and optimal control techniques for stochastic processes.

Eligibility:
To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in Germany within the last three years and must not have been awarded a doctoral grade.

Starting date: as soon as possible
Duration: 36 months
Salary/conditions: according to Marie Curie ITN standards

Short description:
This project is devoted to the development of optimal control strategies for the control of probability density functions (PDF) of multidimensional stochastic processes. The resulting robust control strategy will be based on the Kolmogorov-Fokker-Planck equation that governs the time evolution of the PDF of stochastic processes and on objectives that are functions of the PDF. Different open-loop and closed-loop control strategies will be investigated. The advantages of this approach are manifold since it allows to control the collective behavior of a stochastic process. The proposed optimization framework will be developed and validated using stochastic financial models.

Job requirements:
Master's degree in mathematics or a relevant field. Only researchers are eligible who at the time of selection by the host organization: have not yet been awarded the doctoral degree and are within the first four years (full-time equivalent) of their research careers starting with date of obtaining your master's degree or equivalent.

Host institute: Faculty of Mathematics and Computer Science,
Institute for Mathematics, University of Würzburg.
Supervisor: Prof. Dr. Alfio Borzi

How to apply:
Please submit your letter of application, complete CV, a short summary of your scientific projects so far, electronic copies of your relevant certificates and diplomas, a proof of your proficiency in English and finally two letters of recommendation to:
www.itn-strike.eu and to alfio.borzi@mathematik.uni-wuerzburg.de

Deadline for application: January 31th, 2013.

Further information:
Please feel free to contact the supervisor Prof. Dr. Alfio Borzi
(alfio.borzi@mathematik.uni-wuerzburg.de)

Job Categories: 
Universities and colleges
Deadline for Application: 
Jan 31 2013