Lucia Caramellino

Head of Teaching for the Bachelor's and Master's Degree in Mathematics, since 2024

Member of the PhD Board in Mathematics, since 2019

Associate editor of Bernoulli Journal, since 2022

Member of RoMaDS (Rome Centre on Mathematics for Modelling and Data ScienceS), since 2022

Deputy Director of the Department of Mathematics, 2021-2024
Member of the Academic Senate, 2018-2021

Full Professor in Probability, since 2021
Associate Professor in Probability, University of Rome Tor Vergata, 2001-2021
Assistant Professor in Probability, University Roma Tre, 1995-2001
PhD in Mathematics, University of Rome Tor Vergata, 1997
"Laurea" Degree in Mathematics, University of Rome La Sapienza, 1991

Stochastic analysis, Malliavin calculus, and the regularity of probability laws, with particular emphasis on stochastic differential equations, jump processes, Markov semigroups. 

Computational finance and numerical probability, including Monte Carlo and tree methods, as well as hybrid numerical procedures for option pricing, stochastic volatility models, credit risk, and jump-diffusion processes.

Probability on Lie groups and Wasserstein spaces, Fokker-Planck equations, convergence in total variation, invariance principles, and random fields such as hyperspherical harmonics and random trigonometric polynomials.

Large deviations, asymptotic methods, and probabilistic estimates for diffusion processes, Gaussian processes, and random walks on Lie groups, including applications to conditioned diffusions and hitting probabilities.

Publications

Quotations:  Mathscinet - Scopus - Google Scholar

Email: caramell (at) mat (dot) uniroma2 (dot) it 

Phone: +39 06 72594709

Office: 0202, corridor B0, Sogene Building

Postal Address: Dipartimento di Matematica, Università di Roma Tor Vergata, Via della Ricerca Scientifica 1, I-00133, Roma, Italy