Analysis and control of path-dependent random systems
Lead Research Organisation:
Imperial College London
Department Name: Mathematics
Abstract
Abstracts are not currently available in GtR for all funded research. This is normally because the abstract was not required at the time of proposal submission, but may be because it included sensitive information such as personal details.
Organisations
Publications
Chiu H
(2019)
Causal functional calculus
Chiu H
(2023)
A model-free approach to continuous-time finance
in Mathematical Finance
Chiu H
(2022)
A model-free approach to continuous-time finance
Chiu H
(2021)
A Model-Free Approach to Continuous-Time Finance
in SSRN Electronic Journal
Chiu H
(2022)
Causal functional calculus
in Transactions of the London Mathematical Society
Chiu H
(2018)
On pathwise quadratic variation for càdlàg functions
in Electronic Communications in Probability
Studentship Projects
| Project Reference | Relationship | Related To | Start | End | Student Name |
|---|---|---|---|---|---|
| EP/N509486/1 | 30/09/2016 | 30/03/2022 | |||
| 1824430 | Studentship | EP/N509486/1 | 30/09/2016 | 31/12/2020 | Henry Chiu |
| Description | A non-probabilistic, generic framework for the analysis of path-dependent (causal) random systems in continuous-time. This framework may be applied to study non-Markovian control problems in physics, engineering, economics and finance. |
| Exploitation Route | Better (not necessarily Markovian) solutions to control problems in physics, engineering, economics and finance. |
| Sectors | Aerospace Defence and Marine Communities and Social Services/Policy Digital/Communication/Information Technologies (including Software) Education Electronics Energy Environment Financial Services and Management Consultancy Government Democracy and Justice Manufacturing including Industrial Biotechology Retail Security and Diplomacy Transport Other |
| Description | 11th World Congress of Bachelier Finance Society |
| Form Of Engagement Activity | A talk or presentation |
| Part Of Official Scheme? | No |
| Geographic Reach | International |
| Primary Audience | Professional Practitioners |
| Results and Impact | Present latest research. Outcome (publication) has been attributed to this grant. |
| Year(s) Of Engagement Activity | 2022 |
| URL | http://www.bacheliercongress.com/2022/~bfs2020/index.html |