Job Delft University of Technology - PhD: Bayesian Nonparametrics for Stochastic Differential Equations

Project: 'Bayesian nonparametrics for diffusion processes'. Diffusion processes are natural statistical models for many phenomena. Currently, these processes are especially popular to model financial time series. Estimating unknown parameters in the drift and/or diffusion function is a challenging and important problem. We aim to construct and analyse statistical procedures using Bayesian analysis. Especially in the nonparametric case, not much is known about such procedures, e.g., convergence rates are not known. The corresponding computational problem has recently received some attention, but a completely satisfactory solution is still unavailable. Depending on the candidate’s interests, the focus in this project may be either on the theoretical study of the procedures or on the development of fast and efficient algorithms. Extensions of the present setup include stochastic volatility models, the multivariate setting, and models driven by a Levy process instead of a Brownian motion. The candidate will write a PhD thesis on problems related to the project description and will have minor teaching duties in the area of probability and statistics. The position is funded by the STAR (stochastics) cluster of the Dutch Science Foundation NWO and Delft University of Technology. The project is a cooperation between Delft University of Technology and EURANDOM.

We are looking for a candidate with a master’s degree and excellent grades in probability and/or statistics, preferably in an area related to the proposed research.

TU Delft offers an attractive benefits package, including a flexible work week, free high-speed Internet access from home, and the option of assembling a customised compensation and benefits package (the 'IKA'). Salary and benefits are in accordance with the Collective Labour Agreement for Dutch Universities. For more information about this position, please contact Frank van der Meulen (phone: +31 (0)15-2784517, e-mail: f.h.vandermeulen@tudelft.nl) or Harry van Zanten (phone: +31 (0)40-2474464, e-mail: J.H.v.Zanten@tue.nl). To apply, please e-mail a detailed CV along with a letter of application by 1 June 2010 to A.C.M. Hoek, peno-ewi@tudelft.nl. When applying for this position, make sure to mention vacancy number EWI2010-09.

Delft University of Technology (TU Delft) is a multifaceted institution offering education and carrying out research in the technical sciences at an internationally recognised level. Education, research and design are strongly oriented towards applicability. TU Delft develops technologies for future generations, focusing on sustainability, safety and economic vitality. At TU Delft you will work in an environment where technical sciences and society converge. TU Delft comprises eight faculties, unique laboratories, research institutes and schools.

Delft Institute of Applied Mathematics (DIAM) The research curriculum at DIAM is geared to the mathematical modelling of physical, technical and societal phenomena by applying advanced mathematical techniques. Mathematics and mathematical research form a vital part of every technical discipline. At DIAM they cover a broad spectrum, including new numerical methods for fluid dynamics computations, calculations for the transport of hazardous materials, stochastic models of large networks, financial mathematics, and risk and decision-support modelling in conjunction with large technical systems. Besides engaging in fundamental research at an international level, DIAM researchers play an active role in applying their research findings to practical problems. It is largely with this in mind that the faculty collaborates closely with various leading research institutes (TNO, WL, Rijkswaterstaat, NLR, MARIN, Shell, RIVM, KNMI) and other faculties at TU Delft. Teaching is also very important at DIAM. The institute offers a BSc in Mathematics in partnership with the Mathematical Institute in Leiden and has independently developed an MSc in Applied Mathematics with specialisations in Computer Science and Engineering and Probability, Risk and Statistics. It also makes a vital contribution via Education Services to the teaching in all the engineering programmes at the university.

Technische Universiteit Delft

Frank van der Meulen
+31 (0)15-2784517
f.h.vandermeulen@tudelft.nl