Postgraduate study

Probability & Stochastic Analysis

Awards: PhD

Study modes: Full-time, Part-time

Funding available

Our research group operates in what is perhaps the most widely applied area of mathematics. The financial sector, in particular, is a major focus of our research, and graduates with the right research experience can make their way into highly rewarding roles in industry.

As part of our small, specialised group, you'll enjoy a research environment that features a balance between theory and practice, access to one of the most powerful computing facilities in the UK and strong links with relevant industries.

The School of Mathematics is a vibrant community of more than 60 academic and related staff supervising 60 students.

Our research focuses on the following themes:

  • stochastic differential equations and stochastic partial differential equations (PDEs) and their applications in nonlinear filtering and stochastic control
  • applications of stochastic analysis of PDEs, stochastic PDEs and stochastic differential equations (accelerated numerical methods in particular)

We’re also involved in the applications of probability theory, mainly to mathematical finance, particularly stochastic volatility models, equivalent martingale measures and incomplete markets. Other applications include engineering, signal procession and biological sciences.

With the financial sector being the major commercial employer of our graduates, our involvement with the Scottish Financial Risk Academy, established in conjunction with Heriot-Watt University, offers valuable industry links and training.

You can benefit from short project internships with leading financial institutions, visits from leading risk scholars, and a series of knowledge exchange courses and events.

As part of the Probability & Stochastic Analysis group you will have access to the training activities provided by Mathematical Analysis & its Applications (MIGSAA).

Mathematics is a discipline of high intellect with connections stretching across all the scientific disciplines and beyond, and in Edinburgh you can be certain of thriving in a rich academic setting. Our School is one of the country’s largest mathematics research communities in its own right, but you will also benefit from Edinburgh’s high-level collaborations, both regional and international.

As part of the Probability & Stochastic Analysis group, you'll have access to the Edinburgh Parallel Computing Centre (EPCC), one of Europe’s leading supercomputing facilities. EPCC enables high-level grid computing, data integration, and computer simulation and process optimization. We offer training in all the relevant programs required to achieve your research aims.

You will enjoy excellent facilities, ranging from one of the world’s major supercomputing hubs to generous library provision for research at the leading level, including the new Noreen and Kenneth Murray Library at King’s Buildings.

Students have access to more than 1,400 computers in suites distributed across the University’s sites, many of which are open 24 hours a day. In addition, if you are a research student, you will have your own desk with desktop computer.

We provide all our mathematics postgraduates with access to software packages such as Maple, Matlab and Mathematica. Research students are allocated parallel computing time on ‘Eddie’ – the Edinburgh Compute and Data Facility. It is also possible to arrange use of the BlueGene/Q supercomputer facility if your research requires it.

Many of our graduates take up lucrative positions with high-profile financial companies. A large number also pursue careers in academia, while others apply their skills in engineering or biological sciences.

A UK first class honours degree, or its international equivalent, in an appropriate subject; or a UK 2:1 honours degree plus a UK masters degree, or their international equivalents; or relevant qualifications and experience.

International qualifications

Check whether your international qualifications meet our general entry requirements:

English language requirements

All applicants must have one of the following qualifications as evidence of their English language ability:

  • an undergraduate or masters degree, that was taught and assessed in English in a majority English speaking country as defined by UK Visas and Immigration

  • IELTS Academic: total 6.5 with at least 6.0 in each component
  • TOEFL-iBT: total 92 with at least 20 in each section
  • PTE(A): total 61 with at least 56 in each of the Communicative Skills scores
  • CAE and CPE: total 176 with at least 169 in each paper
  • Trinity ISE: ISE II with distinctions in all four components

Degrees taught and assessed in English must be no more than two and a half years old at the beginning of your degree programme. Language tests must be no more than two years old at the beginning of your degree programme.

Find out more about our language requirements:

Academic Technology Approval Scheme

If you are not an EU, EEA or Swiss national, you may need an Academic Technology Approval Scheme clearance certificate in order to study this programme.

  • School of Mathematics
  • James Clerk Maxwell Building
  • Peter Guthrie Tait Road
  • The King's Buildings Campus
  • Edinburgh
  • EH9 3FD

We encourage you to apply at least one month prior to entry so that we have enough time to process your application. If you are also applying for funding or will require a visa then we strongly recommend you apply as early as possible. We may consider late applications if we have places available, but you should contact the relevant Admissions Office for advice first.

You must submit two references with your application.

Find out more about the general application process for postgraduate programmes:

Further information

  • School of Mathematics
  • James Clerk Maxwell Building
  • Peter Guthrie Tait Road
  • The King's Buildings Campus
  • Edinburgh
  • EH9 3FD