Stochastic Analysis and Applications

The group performs research in the fields of stocastich calculus, stochastic differential equations (SDEs), and stochastic partial differential equations (SPDEs), of diffusive type and, possibly, with jumps. More precisely, the group studies the following subjects: linear and non-linear Kolmogorov-Fokker-Planck equations; degenerate diffusions and ultra-parabolic differential operators; density estimates for diffusive stochastic processes, possibly in the presence of jumps, under weak Hörmander conditions; mean field stochastic differential equations and corresponding Kolmogorov equations; backward stochastic differential equations (BSDEs) and non-linear Feynman-Kac formulae for elliptic or parabolic non-linear partial differential equations; numerical methods of probabilistic type and analytic approximation; applications to Mathematical Finance and Engineering.

Faculty:

Elena Bandini

Senior assistant professor (fixed-term)

Stefano Pagliarani

Associate Professor

Andrea Pascucci

Full Professor

Research fellows - Ph.D. Students

Kevin Kamm

PhD Student

Antonello Pesce

Junior assistant professor (fixed-term)

Elisa Raspanti

PhD Student

External Collaborators:

Ankush Agarwal, Emmanuel Gobet, Alberto Lanconelli, Matthew Lorig, Cornelis Oosterlee, Sergio Polidoro, Carlos Vazquez.