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Marie Curie Early Stage Researcher in Marrakech

Optimal control of Backward stochastic differentail equations : Applications to finance

Institution : Cadi Ayyad University in Marrakesh

Place of Work : Faculty of Sciences Semlalia

Department of Mathematics

Laboratory Ibn Al Banna of Applied Mathematics

Minimum Starting Salary: 12000 per annum

Fixed Term appointment for a period of 3 years

Applications are invited for a three-year Marie Curie Early State Researcher Position/PhD studentship in "Stochastic Analysis, Mathematical Finance Stochastic Control" under the supervision of Professor Youssef Ouknine. It is envisaged to organize the PhD students in the frame of a co-directed work with Kh. Bahlali (University of Toulon, France).

The post concerns the theoretical description of Optimal control of Backward stochastic differentail equations (BSDE in short). BSDE and Forward BSDE are very important tools in various fields of mathematics and applications. They appear naturally in math. finance, in probabilistic approach to non linear PDEs and in optimal control.

So it is natural to control this kind of dynamical systems.

1. Existence of optimal controls for systems driven by BSDEs and FBSDEs where the generator depends on the second component Z.

2. Approximation of the optimal control by means of simple processes.

3. Dynamic programming methods in the control of BSDEs. Hamilton-Jacobi-Bellman Equation for these problems.

The work will lead to advances in stochastic control problems with applications in financial industry.

The successful candidate should preferably have a Masters degree (or equivalent) or a Diploma (or equivalent) to a high academic level, in Pure or Applied Mathematics, or other related area. The successful candidate will also need a strong foundation on (Probability and Statistics ). A good knowledge of the theroy of stochastic processes is highly desirable.

The successful applicant will be expected to enrol for and complete a PhD degree during the period of employment.

Benefits of this Marie Curie contract include mobility allowance and career development allowance (for travel home and to meetings).

Eligibility Requirements as specified by Framework VII Marie Curie multi-beneficiary Initial Training Networks:

To be eligible the successful applicant should be in the first years of their research career, and not in the possession of a PhD.

Applicant should be European or if she/he is a Moroccan national she / he must have resided outside the Morocco for at least 3 years out of the past 4.

Applicants should not be Morocco residents for more than 12 months in the last 3 years.

Further information and the full terms and conditions regarding eligibility can be found at the link below: ftp://ftp.cordis.europa.eu/pub/fp7/docs/fp7-mga-annex3intramulti-v2_en.pdf

Closing date for applications: May 20, 2009

Alternatively, if you are unable to apply online, please contact :

Professsor Youssef Ouknine

Cadi Ayyad University in Marrakesh

Faculty of Sciences Semlalia

Department of Mathematics

B.P. 2390, Marrakesh

40 000 Morocco

email : ouknine@ucam.ac.ma , youknine@gmail.com

Fax : +212 5 24 43 74 09

ITN Team in Marrakesh

Team responsable: Prof. Youssef Ouknine (FSSM, Marrakech)

Industrial partner: Optima Finance Consulting.