About the group
Stochastic analysis is a mixture of mathematical analysis and probability theory with many applications in fields like mathematical finance, biology, energy and insurance. By using advanced stochastic processes and techniques from stochastic analysis and probability, we investigate various problems within these fields, like for instance management of financial investment portfolios and networks for energy distribution. This involves stochastic control theory, where for instance partial differential equations play a crucial role. In insurance mathematics, stochastic modelling and analysis are used for understanding car accident risk or mortality, and in the derivation of fair premiums. The group also contributes to more general research on how to manage risk in technical/financial systems. Stochastic analysis is a vital research field on its own, and we are active in contributing to the theoretical development, in particular, random fields and stochastic partial differential equations.
The group's research ranges from the theoretical to the applied with the main activity within these areas:
- Stochastic analysis
- Mathematical finance
- Insurance
- Energy finance
- Reliability and industrial risk
- Spatial-temporal statistical modelling and risk
