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Elena Bandini

Senior assistant professor (fixed-term)

Department of Mathematics

Academic discipline: MAT/06 Probability and Statistics

Research

Keywords: Stochastic optimal control stochastic calculus for discontinuous processes and random measures backward stochastic differential equations partial differential equations of Hamilton-Jacobi-Bellman type

My research activity lies in the intersection of stochastic calculus and the theory of partial differential equations, including:

  • Stochastic calculus for jump processes (in particular, stochastic calculus for discontinuous Weak Dirichlet processes via the regularization approach);
  • Stochastic optimal control (in particular, optimal control of discontinuous processes driven by random measures, Weak Dirichlet processes and the regularization approach);
  • Hamilton-Jacobi-Bellman equations (in particular, integro-differential HJB equations, and their classical and viscosity solutions);
  • Backward Stochastic Differential Equations (in particular, non-linear Feynman-Kac formulae, the randomization of the control method, and BSDEs driven by general random measures).

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