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Ph.D. position : "Two-dimensional models in queues and risk: exact analytic methods"

In the framework of the project "Two-dimensional models in queues and risk”, funded
by the Dutch Research Foundation NWO, there is a PhD positions available in the
Stochastic Operations Research group at the Depasrtment of Mathematics and Computer
Science in Eindhoven University of Technology, in The Netherlands.

This research proposal is concerned with two, related, areas of applied probability:
queueing theory and insurance risk. In both areas, one-dimensional stochastic
processes are well understood. However, in queueing theory one is usually faced with
a network of interconnected and interacting resources,
or with several classes of interacting customers; and thus one needs to study
multidimensional stochastic processes. Similarly, in insurance risk one often needs
to study several, related, books of a company, and the capitals of different
companies are often linked via reinsurance contracts -- again
giving rise to multidimensional stochastic processes. In both areas, only few two-
or higher-dimensional systems have allowed an exact analysis.
Our main goal is to develop mathematical tools for the analysis of two-dimensional
stochastic processes, and thus get a much deeper insight into the intricate
interactions which occur in, e.g., queueing systems and insurance risk processes.

The project is methodologically oriented. We shall develop three sets of methods, viz.,
T1: exact analytic methods;
T2: asymptotic techniques (heavy traffic);
and T3: rare-event analysis and simulation.

Important problem instances are coupled/parallel processors and their counterpart in
insurance risk, and Ornstein-Uhlenbeck processes. Two PhD students have just started
their research in T2 and T3; we have a vacancy for T1.

o Job requirements:
Candidates are expected to be fluent in English, both oral and in writing, and have
an excellent background in (applied) mathematics, as evidenced by
an MSc degree in preferably (applied) mathematics, or possibly econometrics,
operations research or electrical engineering. Strong knowledge of applied
probability and analysis is highly desirable.

o Terms of employment:
PhD candidates are appointed as temporary university employees for a four-year
period (based on an initial one-year contract, with a three-year extension
after a positive evaluation as to whether the research is expected to result in a
PhD degree after four years). The terms of employment are governed by the Collective
Labor Agreement of Universities in The Netherlands, with a monthly salary starting
at 2083 Euro in the first year, and increasing to 2664 Euro in the fourth year, and
an additional 8% holiday allowance and 8% end-of-year bonus. For further details,
please refer, e.g., to

o Information:
For further information, please contact one of the following persons: Onno Boxma (<>)
Dr. Stella Kapodistria (<>)
Prof.dr. Sindo Nunez Queija

o Application:
In order to apply, please send a detailed curriculum vitae, along with a brief cover
letter motivating your interest, to one of the above-mentioned persons.

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