Research
Research
My research focuses on stochastic analysis and stochastic optimal control problems, with a particular interest in applications to mathematical finance.
Lévy processes as weak limits of rough Heston models – with Martin Forde. Preprint arXiv:2508.14835, submitted.
Stochastic internal habit formation and optimality – with Michele Aleandri, Fausto Gozzi. Preprint arXiv:2502.05081, submitted.
Feller's test for explosions of stochastic Volterra equations – with Sergio Pulido. Preprint arXiv:2406.13537, submitted.
Regular stochastic flow and Dynamic Programming Principle for jump diffusions – with Enrico Priola. Preprint arXiv:2307.16871, submitted.
Fredholm Approach to Nonlinear Propagator Models – with Eduardo Abi Jaber, Nathan De Carvalho, Eyal Neuman, Sturmius Tuschmann. Forthcoming in Finance & Stochastics.
Mild solutions of HJB equations associated with cylindrical stable Lévy noise in infinite dimensions – with Fausto Gozzi, Enrico Priola, Jerzy Zabczyk. Forthcoming in Rendiconti Lincei – Matematica e Applicazioni.
On the Kolmogorov equation associated with Volterra equations and Fractional Brownian Motion – with Franco Flandoli. Journal of Functional Analysis, 2026.
The rough Hawkes Heston stochastic volatility model – with Sergio Pulido and Simone Scotti. Published online on Mathematical Finance, 2024.
Affine Volterra processes with jumps – with Giulia Livieri and Sergio Pulido. Stochastic processes and their Applications, 2024.
Probability computation for high-dimensional semilinear SDEs driven by isotropic α–stable processes via mild Kolmogorov equations. Electronic Journal of Probability, 2023.
Smoothing effect and derivative formulas for Ornstein–Uhlenbeck processes driven by subordinated cylindrical Brownian noises. Journal of Functional Analysis, 2022.
Comparing two different option pricing methods – with Dragana Radojičić and Thorsten Rheinländer. Risks, 2020.
On semilinear SDEs driven by α–stable noise, affine Volterra processes with jumps and their applications. Ph.D. Thesis.
An Osgood-type criterion for stochastic Volterra equations with additive noise – with Sergio Pulido.
Optimal Redistributive Capital and Wealth Taxation with a Fixed Asset – with Fausto Gozzi, Alberto Petrucci and Cristiano Ricci.