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
- Pierre Del Moral
- William Dunsmuir
- Libo Li
- Spiridon Penev
- Donna Salopek
- Scott Sisson
- Peter Straka

### Research Interests

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

### Stochastic Processes

- Stochastic partial differential equations
- Optimal stochastic control
- Fractional Brownian motion
- Stochastic differential equations
- Enlargements of filtration
- Anomalous Diffusion
- Branching processes and interacting particle systems
- Feynman-Kac semigroups

### 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

- Max-stable and related processes
- Multivariate extremes
- Spatial and temporal modelling
- Computational techniques for inference
- Applications to environmental and climate extremes
- Risk analysis and rare event simulation