Discovery Early Career Researcher Award - Grant ID: DE160100999

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DE160100999

Funding Status
Declined

Does something not look right? The information on this page has been harvested from data sources that may not be up to date. We continue to work with information providers to improve coverage and quality. To report an issue, use the .

Funded Activity Summary

Applying forward-backward stochastic differential equations to optimisation. This project intends to develop new ways to solve optimisation problems that are currently difficult to solve because of their complexity and size. In particular, forward–backward stochastic differential equations (FBSDEs) are a new technique that is showing ways to solve problems for which there is yet to be a solution. This project's focus will be on problems that cannot use existing software because the decision-making processes require intensive consideration of all possible outcomes in the modelled environment. In comparison to previous optimisation methods, the FBSDE approach is easier to work with and much more informative. The project's main potential applications are multiplayer games with mean-field interaction and financial markets with partial information.

Funded Activity Details

Start Date: Start date not available

End Date: End date not available

Funding Scheme: Discovery Early Career Researcher Award

Funding Amount: $295,020.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Financial Mathematics | Stochastic Analysis and Modelling | Statistics

ANZSRC Socio-Economic Objective (SEO)

Microeconomics not elsewhere classified |

Other Keywords

Financial Mathematics | Microeconomics not elsewhere classified | Statistics | Stochastic Analysis and Modelling

Related Links