The fundamental equations for inversion of operator pencils. This project seeks to deepen understanding of how complex systems may be significantly changed by incremental changes to ambient conditions. Mathematical models of complex systems (climate change processes, optimal driving strategies, efficient distribution policies, effective search routines) often depend on key parameters. If small perturbations to the parameters cause large changes to the solution, then the perturbations are said to ....The fundamental equations for inversion of operator pencils. This project seeks to deepen understanding of how complex systems may be significantly changed by incremental changes to ambient conditions. Mathematical models of complex systems (climate change processes, optimal driving strategies, efficient distribution policies, effective search routines) often depend on key parameters. If small perturbations to the parameters cause large changes to the solution, then the perturbations are said to be singular. This project aims to reveal the underlying mathematical structures and develop new computational algorithms to analyse a general class of perturbed systems both locally near an isolated singularity and globally. It plans to use these algorithms to solve systems of equations, calculate generalised inverse operators, examine perturbed Markov processes, and estimate exit times from meta-stable states in stochastic population dynamics.Read moreRead less
Construction of near optimal oscillatory regimes in singularly perturbed control systems via solutions of Hamilton-Jacobi-Bellman inequalities. Problems of optimal control of systems evolving in multiple time scales arise in a great variety of applications (from diet to environmental modelling). This project addresses the challenge of analytically and numerically constructing rapidly oscillating controls that would 'near optimally coordinate' the slow and fast dynamics.
Occupational measures, perturbations and complex deterministic systems. When tackling complex problems, scientists and engineers seek methods that judiciously exploit stochasticity and perturbations as antidotes to unpredictability of outputs that the latter can induce if they inadvertently influence their models. The project proposes for this study vaccine-like perspective of stochasticity and singular perturbations.
Two-price quantitative finance. This project aims to establish a novel field, namely two-price quantitative finance, and explore its applications. The new field will integrate two major schools for modelling and explain the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and ....Two-price quantitative finance. This project aims to establish a novel field, namely two-price quantitative finance, and explore its applications. The new field will integrate two major schools for modelling and explain the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and the economy. This project expects to bring about long-term impact on quantitative finance and related applications through providing a deep understanding of, and a new perspective for, the design, risk and fairness of the finance, property and insurance markets.Read moreRead less
G-expectation and its applications to nonlinear risk management. This project will develop novel theories and methods for nonlinear risk management based on nonlinear expectations and Backward Stochastic Differential Equations. The expected outcomes of the project will place Australia in the forefront and the leading position of these fields.