January 2025
EDUCATION
PhD Mathematics, University of Wisconsin-Madison, USA, 1987
MS Mathematics, University of Wisconsin-Madison, USA, 1983
Laurea Mathematics, Universita` di Roma ’‘La Sapienza”, Italy, 1979
AREA OF SPECIALIZATION
Probability Theory and Stochastic Processes
EMPLOYMENT:
Academic positions
Universita` di Chieti-Pescara
Professor of Probability and Mathematical Statistics, 1996-2024 Universita` di Udine
Professor of Probability and Mathematical Statistics, 1994-1996 Universita` di Roma ’‘La Sapienza”
Associate Professor of Probability, 1992-1994
Assistant Professor of Mathematical Analysis (subarea Probability), 1984-1992
Research positions
National Research Council of Italy Research Abroad Fellowship, 1982-1984
National Research Council of Italy Research Fellowship, 1979-1982
Visiting positions
University of Wisconsin-Madison, August-September 1990
HONORS, AWARDS:
NATO Science Fellowship, July 1985-January 1986
National Research Council of Italy Research Abroad Fellowship Final Prize, 1984
ACADEMIC RESPONSIBILITY
Member of the Board of Trustees of the Universita` ‘G. D’Annunzio’ of Chieti-Pescara from November 2012 to September 2016.
Coordinator of the Ph.D. Program in Science of the Universita` ‘G. D’Annunzio’ of Chieti-Pescara from March 2010 to October 2010 and from May 2011 to December 2012.
Director of the Degree Course in Economics and Computer Sciences for Business
(Presidente CdL in Economia e Informatica per l’Impresa) of the Universita` ‘G. D’Annunzio’ of Chieti-Pescara from 2001 to 2010.
Director of the Local Research Unit of the Italian National Institute of Mathematics (Istituto Nazionale di Alta Matematica - INdAM) at the Universita` ‘G. D’Annunzio’ of Chieti-Pescara from 2002 to 2023.
MAIN RESEARCH INTERESTS
Reflecting diffusions and constrained processes. Stochastic networks.
Convergence of stochastic processes. Martingale problems.
Measure valued processes. Population dynamics.
Numerical methods for stochastic processes. Optimal stopping. Applications to operations research, biology, physics and finance.
INVITED ADDRESSES
Lecture, Workshop “Robust Optimization and Simulation of Complex Stochastic Systems”,
ICERM, Brown University, Providence, RI, USA, September 2024
Lecture, Workshop “Stochastic reflection”, Isaac Newton Institute, Cambridge, UK, August 2024
Lecture, Conference “40 years of reflected Brownian motion and related topics”,
Roscoff, France, April 2023
Communication in the Invited Session ”Reflecting Diffusions, Stochastic Networks, Applications”,
Annual Meeting of the Institute of Mathematical Statistics, London, UK, June 2022
Seminar, Universita` di Torino, Torino, Italy, December 2021
Seminar, University of California San Diego, USA, February 2021
Lecture, Workshop ”Population Dynamics and Physics in Synergy II”, Pisa, Italy, April 2019
Communication in the Invited Session SC38 in Applied probability,
INFORMS Annual Meeting 2018, Phoenix, November 2018
Communication in the Invited Session ”Stochastic Networks”,
39th Conference on Stochastic Processes and their Applications, Moscow, Russia, July 2017
Seminar, Sapienza Universit`a di Roma, Rome, Italy, May 2017
Seminar, Sapienza Universit`a di Roma, Rome, Italy, June 2017 Seminar, E´cole Polytechnique, Paris, France, February 2014
Seminar, E´cole Polytechnique, Paris, France, January 2004
Lecture, Applied Probability Day, Columbia University, April 1994
Lecture, NSF Summer Program on Stochastic Processes, Center for the Mathematical Sciences,
University of Wisconsin-Madison, July 1992
Seminar, Iowa State University, September 1990
Seminar, Case Western University, September 1990
Lecture, AMS-SIAM Summer Seminar on Mathematics of Random Media, June 1989
Seminar, University of Montreal, Canada, December 1984
PHD STUDENTS
Fernanda D’Ippoliti: Universita` ‘G. D’Annunzio’ of Chieti-Pescara, 2007, thesis on ’Macroeconomic factors and term structures: a dynamical model linking inflation, ECB and short term interest rates’.
Barbara Pacchiarotti: Universita` di Roma ’‘La Sapienza”, 1997, thesis on
‘Numerical approximation for expectations of functionals of reflecting diffusions’
RESEARCH GRANTS
Italian Government Funding for Research Projects of National Interest (40%, COFIN and PRIN Programs): 1993-1994 (Principal Investigator of a Local Unit),
1997-1998, 1999-2000, 2001-2003, 2004-2005, 2006-2007, 2008-2009, 2024-2025
Italian National Institute of Mathematics (INdAM) Visiting Professor Program, March 2018
National Research Council of Italy Visiting Professor Program, June 1994
OTHER SCIENTIFIC ACTIVITIES
Referee for the journals:
The Annals of Applied Probability, Proceedings of the London Mathematical Society, Probability Theory and Related Fields, Electronic Journal of Probability,
S.I.A.M. Journal on Control and Optimization, S.I.A.M. Journal of Numerical analysis, Stochastic Processes and their Applications, Stochastic Systems, Journal of Applied Probability.
Organizer of the Invited Session ”Reflecting Diffusions, Stochastic Networks, Applications”,
Annual Meeting of the Institute of Mathematical Statistics, London, UK, June 2022
Organizer of the Invited Session ”Reflecting Diffusions, Stochastic Networks, Applications”,
Annual Meeting of the Institute of Mathematical Statistics, London, UK, June 2022
Organizer of the Session on Asymptotics for Measure Valued Processes,
1st Italian Meeting on Probability and Mathematical Statistics, Torino, Italy, 2017
Scientific Committee and Organizing Committee, Final Conference of the National
Research Project PRIN 2008-Probability and Finance, Pescara, Italy, 2012
Organizing Committee, 17th Conference on Stochastic Processes and their Applications,
Rome, Italy, 1987
TEACHING
Probability: 1992/93, 1993/94, 1996/97, 2002/03, and every year from 2007/08 to 2024/25.
Derivatives and risk management II: 2023/2024
Deep neural networks: 2019/2020, 2020/2021 and 2021/2022
Mathematical models for investment decisions: 2020/2021
Mathematics for Economics: 2021/2022 and 2022/2023
Financial mathematics: 2007/08, 2008/09, 2009/10, 2011/12, 2012/13, 2013/14, 2014/15, 2015/16, 2016/17 and 2018/19.
Derivatives and risk management: 2003/04, 2004/05, 2005/06, 2006/07 and 2017/18.
Mathematical Statistics: 2003/04, 2004/05, 2005/06 and 2006/07.
Calculus: 1997/98, 1999/2000, 2001/02 and 2002/03.
Operational Research: 1998/99.
Decision Theory: 1998/99 and 1999/2000.
Sabbatical leave in 2000/01.
Maternity leave in 1995/96