WIAS invites applications for a
PhD student position (f/m/d)
(Ref. 22/05)
in the Research Group
“Stochastic Algorithms and Nonparametric Statistics”
(Head: Prof. Dr. Vladimir Spokoiny) starting at April 1, 2022.
The position is tied to the MATH+ Cluster of excellence project AA4-2:
“Optimal control in energy markets using rough analysis and deep networks”.
Motivated by the complex and pivotal role of energy markets in our economy, the project aims to develop and analyze efficient methods for modeling energy price processes and methods for solving stochastic control and decision problems based thereon. Some particular methods used in the project are signature based regression, dual methods for randomized stochastic optimal control, relevant for energy “swing” options, Bayesian reinforcement optimal control and last not least data driven dynamics and rough volatility.
We are looking for candidates with a master’s degree in mathematics and a strong background in probability theory and stochastic analysis. Prior knowledge is (stochastic) optimal control, rough analysis, statistics or machine learning is beneficial.
Please direct scientific queries to PD Dr. J. Schoenmakers (John.Schoenmakers@wias-berlin.de) or Dr. Christian Bayer (Christan.Bayer@wias-berlin.de).
The appointment is limited until 31.03.2025. The reduced work schedule is 29,25 hours per week, and the salary is according to the German TVoeD Bund scale.

See here for more information: https://short.sg/j/16108473