Francesco Caravenna
Professor of Mathematics (Probability and Statistics)
Associate Editor of Annals of Applied Probability (2019 - )
Associate Editor of Annales de
l'Institut Henri Poincaré (2018 - )
Contacts
Department of Mathematics and Applications
University of Milano-Bicocca
Via Cozzi 55, 20125 Milano, Italy
Office: 3016, U5 building (3rd floor)
Phone: +39 02 6448 5752
E-mail: francesco.caravenna at unimib.it
Research Interests
Probability Theory and its applications, in particular:
- Statistical Mechanics (disordered systems, random polymers)
- Random Walks (asymptotic properties, renewal theory, fluctuation theory)
- Mathematical Finance (stochastic volatility models, implied volatility)
See my publications page (with papers, preprints and slides)
Teaching
See my teaching page (mainly in Italian
)
Some teaching-related stuff that I wrote:
- A probability textbook (in Italian, together with Paolo Dai Pra)
-
Dispense su
Moto Browniano
e Analisi Stocastica (lecture notes in Italian)
[version 3.3; last modified: 9 Jun 2011] - ABRACADABRA and Enterprise (solutions of exercises E10.6 and E10.10 from the book "Probability with Martingales" by D. Williams)
Organization
- Workshop on Self-interacting random walks, Polymers and Folding, CIRM, Marseille (F), 9-13 September 2019
- XVIII Workshop on Quantitative Finance, Milano-Bicocca University, 25-27 January 2017
- Winter School on Recent Breakthroughs in Singular Stochastic PDEs, Milano-Bicocca University, 2-6 February 2015
Links
- Large Scale Random Structures, National Research Group (PRIN 2015)
- National Probability and Statistical Physics seminar (in Florence)
- Joint PhD program in Mathematics (Pavia - Milano Bicocca - INdAM)
- Some computer programs linked to my research
