The Analysis group within the Delft Institute of Applied Mathematics at TU Delft is offering a full-time PhD position in the area of Numerical
Methods for Stochastic Differential Equations. The PhD candidate will be supervised by Dr. Kristin Kirchner.

The focus of the project is the numerical approximation of solutions to stochastic differential equations, which are not Markov processes.
Possible topics are computational methods for stochastic equations driven by fractional Brownian motion and multilevel Monte Carlo methods.
Applications include option pricing under rough volatility models in finance and long-range dependencies in statistics.

Applicants should have a strong background in Probability Theory (Stochastic Processes and Stochastic Calculus) or Numerical Analysis.

The project is for a duration of 4 years and includes the budget for a research visit at KTH Royal Institute of Technology in Stockholm.

The expected starting date is no later than 15 September 2024.

Application deadline: 7 June 2024.

Further details and the online application form are available at: