Umeå University, Mathematics and Mathematical Statistics

scholarship ID:

2216-POSTDOC3 [#28149]

scholarship Title:

Postdoctoral scholarship (2 years) in Stochastic Overlapping Generations Models, Random Fields, and Inequality Dynamics

scholarship Type:

Postdoctoral

scholarship Location:

Umea, Vasterbottens Lan 901 03, Sweden

Subject Area:

Financial Mathematics

Appl Deadline:

2026/03/15 23:59:59 (posted 2026/02/20, listed until 2026/03/16)

scholarship Description:

The Department of Mathematics and Mathematical Statistics at Umeå University is offering a postdoctoral scholarship within the project “Random Fields in Continuous-Time Overlapping Generations Models: Wealth Inequality and Macroeconomic Dynamics ”. The scholarship is full-time for two years, with a starting date of 1 September 2026 or by agreement.

The Department of Mathematics and Mathematical Statistics conducts research in applied and theoretical mathematics, including computational methods and financial mathematics. The successful candidate will be associated with a growing research environment in applied stochastic control, deep learning, and quantitative finance, and will have opportunities for collaboration within the department as well as with national and international partners.

Project description: Understanding wealth and income inequality is one of the central challenges in modern economics. While continuous-time overlapping generations (OLG) models provide a tractable framework for intergenerational macroeconomic analysis, and random growth models explain fat-tailed wealth distributions, these strands of research have not yet been fully integrated.

The objective of this project is to develop a unified continuous-time stochastic OLG framework in which both idiosyncratic and systematic shocks are modeled as random fields. The project introduces stochastic partial differential equations (SPDEs) and Malliavin calculus into macroeconomic modeling to analyze:

- intergenerational wealth accumulation, - correlated aggregate and idiosyncratic shocks, - tail behavior of wealth distributions, - transition dynamics of inequality, - and policy effects (taxation, pensions, financial stability).

The project connects stochastic analysis, infinite-dimensional control theory, and macroeconomic inequality theory, including operator methods inspired by the inequality dynamics literature.

The postdoctoral researcher will have the opportunity to build merits in several interconnected areas:

1. Random Fields and SPDEs in OLG Models Formulation of wealth, income, and mortality processes as random fields indexed by time and cohort (or space), with dynamics governed by SPDEs driven by time–space Brownian motion.

2. Malliavin Calculus and Stochastic Maximum Principles Development of Malliavin-based stochastic maximum principles for SPDE-driven OLG systems, extending martingale methods to infinite-dimensional settings.

3. Inequality Dynamics and Tail Behavior Characterization of stationary and transient wealth distributions, tail exponents, and transition speeds under correlated shocks.

4. Policy Analysis Evaluation of taxation, pension systems, and macro-prudential regulation in stochastic environments with systematic and idiosyncratic risk.

The precise emphasis will be adapted to the background and strengths of the postdoctoral scholar. The project allows specialization in:

- stochastic analysis and SPDE theory, - Malliavin calculus, - infinite-dimensional stochastic control, - macroeconomic modeling of inequality, - or numerical SPDE simulation and calibration.

This postdoctoral scholarship is financed and administered by Kempestiftelserna. The stipend is tax-free and will be 750 000 SEK for two years, meaning 375 000 SEK per year.

Umeå provides outstanding working and living conditions. This youthful city is situated beside a large river, surrounded by forests and lakes, and is near the sea. The area offers numerous opportunities for both indoor and outdoor activities.

https://www.umu.se/en/work-with-us/postdoctoral-scholarships/postdoctoral-scholarship-2-years-in-stochastic-overlapping-generations-models-random-fields-and-inequality-dynamics_904744/

We are not accepting applications for this job through MathJobs.Org right now. Please apply at https://www.umu.se/en/work-with-us/postdoctoral-scholarships/postdoctoral-scholarship-2-years-in-stochastic-overlapping-generations-models-random-fields-and-inequality-dynamics_904744/ .

Contact: Professor Christian Ewald

Email: email address

Postal Mail:

: Department of Mathematics and Mathematical Statistics
Linneaus väg 49
901 87 Umeå
SWEDEN

Web Page: https://www.umu.se/en/department-of-mathematics-and-mathematical-statistics/