Probability and Applications
The research activity of the group deals with the analysis of complex systems whose behavior is influenced by stochastic factors. The theoretical aspects of these stochastic models are the subject of our studies, as well as their applications in engineering, biomedical, environmental and financial contexts.
Dealing with applications, examples of problems commonly studied by the group are the analysis of risk or the maximization of expected utilities in actuarial sciences, the management of production/distribution systems under demand uncertainty, the evaluation and hedging of financial derivatives in complete or incomplete markets.
Dealing with theoretical aspects, the research activity deals with generalized measures of minimal entropy, generalized exponential models, stochastic and dependence comparisons, robust optimization methods and stochastic control techniques.