Analysis and control of path-dependent random systems

Lead Research Organisation: Imperial College London
Department Name: Mathematics

Abstract

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Publications

10 25 50

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Chiu H (2023) A model-free approach to continuous-time finance in Mathematical Finance

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Chiu H (2021) A Model-Free Approach to Continuous-Time Finance in SSRN Electronic Journal

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Chiu H (2022) Causal functional calculus in Transactions of the London Mathematical Society

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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