This $106,291 Project Grant award from the National Science Foundation (NSF) Mathematical and Physical Sciences (CFDA 47.049) program supports research on extreme value theory and its applications in finance, medicine, and other fields. The project aims to extend classical extreme value theory to interdependent numerical systems with a certain type of mean-field interaction, with potential applications for modeling events like credit defaults, market capitalizations, and neurological activity. The research will involve establishing propagation of chaos for the system of stochastic differential equations and applying techniques from extreme value theory and Malliavin calculus. The results are expected to enable improved statistical estimation of extreme value parameters and better prediction of future extreme events. The award provides opportunities for student involvement and will be conducted by the Regents of the University of Michigan from August 2024 through July 2027.
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