Multidimensional Lévy-driven OU processes, Stochastic control theory for intertemporal non-linear optimization problems, Transport equations

Tipologia

Ricerca locale ex 60% (LINEA A)

Periodo

17/07/2019 - 16/07/2021

Responsabile

Marina Marena

Partecipanti al progetto

Marena Marina (Responsabile)
Ghirardato Paolo (Componente)
Lods Bertrand (Componente)
Vigna Elena (Componente)

Descrizione del progetto

This project consists of three parts. In the first part we will study Lévy-driven OU processes to model sight deposits, a major source of funding for financial institutions. We tackle different estimation techniques and introduce tools for liquidity risk management. In the second part we will study tail optimality and preferences consistency for intertemporal optimization problems. In the third part we will study convergence to equilibrium for linear transport equations with boundary conditions.