Education 11.2006-02.2010 University of Trento. PhD in Mathematics. Subject: Probability and Stochastic Processes. Stochastic Differential Equations with boundary, Semigroup Theory, Martingale Problems, Diffusion Processes.10.2003-06.2006 University of Trento. Master Degree in Mathematics. Subject: Probability and Stochastic Processes. Stochastic evolution equation on networks, partial differential equations with boundary dynamic conditions, semigroup theory, mathematical biology.09.2000-10.2003 University of Trento. First Degree in Mathematics. Subject: Probability and Stochastic Processes. Partial Differential Equations, Diffusion Processes, Stochastic Differential Equations. Academic Experience12.2016- University of Insubria. Assistant Position Tenure track (Ricercatore Tempo Determinato B). SSD: SECS-S/0606.2016– 11.2016 Politecnico of Milano. Post Doc. Research project “Financial education and financial literacy”. Research grant for cooperation on research activities. Responsible : Prof. Emilio Barucci.05.2012– 04.2016 University of Milano Bicocca. Post Doc. Research project “Risk measures : theory and applications”. Research grant for cooperation on research activities from the Italian Ministry of Education.08.2010– 04.2012 Politecnico of Milan. Post Doc. Research project “Optimal control for stochastic Volterra integro-differential equations and applications” . Research grant for cooperation on research activities from the Italian Ministry of Education.
Il ricevimento del 18 e 25 aprile e del 2 maggio p.v. è sospeso. Il prossimo ricevimento si terrà il 6 maggio con orario 14:30-16:00.
My research interests cover several topics in mathematical analysis, stochastic differential equations, control theory and, in the last four years, financial mathematics. My research is in the area of quantitative finance concerns the study of risk measures and portfolio theory (optimal allocations and portfolio optimization) both from a theoretical and numerical point of view. I have also studied some problems related to invariant measures for stochastic differential equations, in particular for the description of explicit representation of the invariant measures for a class of SDEs with Lévy noise. During my master thesis and, subsequently, my PhD, I studied one of the most basic models of stochastic neurobiology, namely the stochastic Fitz-Hugh Nagumo model perturbed by space – time white noise on networks. I am also interested in the study of stochastic Volterra equations, with general completely monotonic kernels, and optimal control for them, with applications in areas like biology, physics and finance.
Pubblicazioni in evidenza
1)Sergio Albeverio, Luca Di Persio, Elisa Mastrogiacomo, Boubaker Smii Invariant measures for SDEs driven by Lévy noise, Accettato on Communications in Mathematical Sciences
2) Sergio Albeverio, Luca Di Persio, Elisa Mastrogiacomo, Boubaker Smii A class of Lèvy driven SDEs and their explicit invariant measures, Potential Anal. DOI 10.1007/s11118-016-9544-3
3) Mastrogiacomo, Elisa and Emanuela Rosazza Gianin, Pareto optimal allocations, Math. Financ. Econ. 9 (2015), no. 2, 149–167.
4) Mastrogiacomo, Elisa and Emanuela Rosazza Gianin, Portfolio Optimization with quasiconvex risk measures, Math. Oper. Res. 40 (2015), no. 4, 1042–1059.
5) Confortola, Fulvia and Mastrogiacomo, Elisa Feedback optimal control for stochastic Volterra equations with completely monotone kernels, (2015) Math. Control Relat. Fields 5 (2015), no. 2, 191–235.
6) Confortola, Fulvia and Mastrogiacomo, Elisa Optimal control for stochastic heat equation with memory, Evolution Equation and Control, (2014), Vol. 1, 35-58.
7) Albeverio, Sergio; Di Persio, Luca; Mastrogiacomo, Elisa Invariant measures for stochastic differential equations on networks. in Spectral Analysis, Differential Equations and Mathematical Physics A Festschrift for Fritz Gesztesy on the Occasion of his 60th Birthday, Proceedings of Symposia in Pure Mathematics, (2013) Vol. 87, 1–34.
8) Albeverio, Sergio; Mastrogiacomo, Elisa; Smii, Boubaker. Small noise asymptotic expansions for stochastic PDE’s driven by dissipative nonlinearity and Lévy noise. Stochastic Process. Appl. 123 (2013), no. 6, 2084–2109.
9) Bonaccorsi, Stefano; Confortola, Fulvia; Mastrogiacomo, Elisa. Optimal control for stochastic Volterra equations with completely monotone kernels. SIAM J. Control Optim. 50 (2012), no. 2, 748–789.
10) Albeverio, Sergio and Di Persio, Luca and Mastrogiacomo, Elisa Small noise asymptotic expansions for stochastic PDE’s. The case of a dissipative polynomiallly bounded non linearity. (2011) Centennal Issue Tohoku Mathematical Journal, Vol. 63, no. 4 (2011)
11) Bonaccorsi, Stefano and Mastrogiacomo, Elisa (2009) Analytic approach to stochastic Volterra equations with completely monotone kernels. Journal of Evolution Equations, Vol. 9, n. 2, pp. 315-339.
12) Bonaccorsi, Stefano and Mastrogiacomo, Elisa (2008) Analysis of the stochastic FitzHugh-Nagumo system. Infinite Dimensional Analysis Quantum Probability and Related Topics, Vol. 11/3, pp. 427-446.
13) Bonaccorsi, Stefano and Confortola, Fulvia and Mastrogiacomo, Elisa (2007) Optimal control of stochastic differential equations with dynamical boundary conditions. Journal Math. Analysis Applications 344 (2); 667-681