Research programme is (co) funded by the Slovenian Research Agency.
UL Member: Faculty of Mathematics and Physics
Code: P1-0448
Programme: Stochastic Methods with Applications
Period: 1. 1. 2024 - 31. 12. 2027
Range per year: 2 FTE
Head: Matija Vidmar
Research activity: Natural sciences and mathematics
Research Organisations, Researchers and Citations for bibliographic records
Programme description:
This programme will support research in a variety of topics of modern probability. Said topics shall include the theory and applications of: processes with stationary independent increments and of their allied processes (such as self-similar Markov processes and branching processes); stochastic noises (especially the nonclassical ones); optimal stochastic control (with elements of machine learning); non-commutative probability and probabilistic methods in quantum probability (also in connection to the theory of stochastic noises); the central limit thorem (focusing in particular on Berry–Esseen type results); Markov/point processes (excursion theory); copulas (e.g. shock models, imprecise couplas). On the more immediately applied side the programme intends to deal with selected topics in financial/actuarial mathematics and mathematical statistics. The goal is to contribute relevant, high quality, meaningful new results to the above-mentioned areas.
