Quantum kinetic equations, ambiguity aversion Quantum kinetic equations, ambiguity aversion, stochastic modeling and optimization
Tipologia
Ricerca locale ex 60% (LINEA A)
Periodo
28/07/2020 - 27/07/2022
Bertrand Lods
Partecipanti al progetto
- Lods Bertrand (Responsabile)
- Ghirardato Paolo (Componente)
- Marena Marina (Componente)
- Pennesi Daniele (Componente)
- Vigna Elena (Componente)
Descrizione del progetto
This project consists into four parts. The first part will consist in a careful study of the long-time behaviour of the solutions to some diffusive kinetic equation arising in quantum mechanics. The quantitative approach to this problem will be based upon new entropy/entropy production estimates which are new in the quantum context. In the second part, we will propose a new methodological approach to dynamics models of ambiguity aversion exploiting new tools such as subjective mixture operator. In the third part, we will introduce a general framework to assess liquidity risk for the banking sector, by modeling non-maturing deposits via a stochastic three-factor approach.The final part will deal with a comparison of various approaches to time inconsistent optimization problems.