Stochastic Analysis and Stochastic Processes

The researchers of this group focus on analytical and numerical aspects of solutions to stochastic differential equations (SDE’s and SPDE’s) and stochastic control, as well as on branching and particle processes.

Our research

The Stochastic Analysis and Stochastic Processes (SASP) research group is mainly affiliated to the Department of Mathematics. However, we are interdisciplinary and proudly continue a long lasting cooperation with the Department of Physics and Electrical Engineering.

There are numerous applications for our research, in natural sciences and technology as well as in economy. Some examples are prediction of prices (e.g. for electricity), inter-bank monetary transfer, appropriate reinsurance levels, solvency of insurance business, stability of power systems, ecological dynamical challenges, hydrological problems in nuclear waste management, and optimal evacuation of large buildings.


In memoriam Habib Ouerdiane

Research areas

  • Stochastic differential equations (SDE's and SPDE's) for a variety of driving noises
  • Backward stochastic differential equations and their applications in technology and finance
  • Numerical analysis of backward SPDE's
  • Stochastic control
  • Branching and particle processes, with applications in natural science, ecology and finance



The Linnaeus University Workshop in Stochastic Analysis and Applications (LSAA) conference has been arranged five times at Linnaeus University. Its main field has been analytical and numerical results of stochastic models, but each conference has also focused on one or more current research issues within this field.


Other staff

Imane Jarni