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Quantum kinetic equations, ambiguity aversion Quantum kinetic equations, ambiguity aversion, stochastic modeling and optimization

Ricerca locale ex 60% (LINEA A)
28/07/2020 - 27/07/2022
Bertrand Lods

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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.
Ultimo aggiornamento: 30/10/2020 15:32
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