Giulia di Nunno får Toppforsk-millioner
Toppforsk-prosjektet heter Stochastics for time-space Risk Models (STORM). Prosjektleder professor Giulia di Nunno og forskningsgruppen i stokastisk analyse er med denne tildelingen sikret gode år fremover!
I år går Fellesløftet til ordningen Toppforsk som er en målrettet satsning for å sikre god, langsiktig finansiering av forskningsmiljøer som kan bli internasjonalt ledende på sitt felt. Fellesløftet er et spleiselag mellom universitetene og Norges forskningsråd.
Matematisk institutt gratulerer!
Prosjektleder Giulia di Nunno
Om prosjektlederen forteller om STORM:
Phenomena that evolve in time and spread in space are overall, sourced by nature, intrinsic in life, generated by human technology and construction. Whether engendered by unknown past causes, present evaluations, or future unexpected events, randomness is a reality and it has to be properly dealt with. The overall goal in our research is to formulate and solve the key problems in stochastic modelling, analysis, and control of space-time random phenomena featuring structures well beyond the traditional.
To understand the significance of STORM we resort to illustrative examples from the energy production and markets, where the role of renewable resources is nowadays of the foremost importance. These resources depend on weather conditions: wind, cloud cover, precipitation, and temperatures, which introduce uncertainty in the production side. These environmental risk factors are clearly characterised by time-space dependences and show features that are well beyond the traditional structures: e.g. non-Gaussianity, non-Markovianity, non-semimartingality, fat-tails, jumps, and spikes. These influence the stream of production and electricity prices. STORM aims at providing a coherent framework to treat flexible classes of models able to accommodate the different features detected. For this we shall use the stochastic analysis of random fields.
Continuing with our examples, on the production side we have questions of optimal exploitation of resources and optimal switching of production lines, while in the energy market side, price models are a first step towards the complex study of portfolio management and monetary risk evaluation. To solve these types of problems we shall study stochastic control and optimal stopping, we shall design risk measure for space-time risk models involving delay and mean-field terms, irregular coefficients, asymmetric information.
STORM takes up the challenge of studying these unconventional models believing that it is timely to introduce effective methods. The results will be of universal mathematical nature with wide applicability, covering not only energy, but also biology and life science, where the stylized features mentioned above are also detected.
The project will receive funding for about 25 million Nok in 5 years to hire post-docs and phds, invite guest researchers, organise conference and scientific events.