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Rome-Moscow school
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Probability and Mathematical Statistics
Aree Scientifiche
Probability and Mathematical Statistics
Research interests
Stochastic processes connected to risk theory and to stochastic modelling in finance.
Large deviations, with applications to simulation and to numerical methods in risk theory and finance; ruin probabilities for complex models and variance reduction for their computation by simulation, in particular for long memory or heavy tail models; Monte Carlo methods for the pricing/hedging of options via Malliavin calculus techniques.
Isotropic random fields.
Characterizations, harmonic analysis, connections with representation theory, high frequency asymptotics.
Stochastic modelling and statistics in biology and medicine.
First passage times and inverse problems. Methods and models in medical statistics. Modelling and statistics of disease spread.
Filtering.
Filtering with delayed data; non linear filtering and applications to partially observed queues model estimation; high frequency data models and estimates.
Statistical inference on stochastic processes and random fields.
Spectral analysis of stationary and nonstationary processes, long memory, cointegration and fractional cointegration; statistics of spherical random fields, higher order angular power spectra, spherical wavelets, application to cosmological data.
People
Mario Abundo
Paolo Baldi
Antonella Calzolari
Lucia Caramellino
Claudio Macci
Domenico Marinucci
Alessandra Nardi
Barbara Pacchiarotti
Gianpaolo Scalia Tomba
Giulia Terenzi, PhD student at
Tor Vergata
and
LAMA, Paris-Est, Marne-la-Vallée
[email: terenzi at mat dot uniroma2 dot it]
Anna Paola Todino
, PhD student at GSSI
Barbara Torti
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