Francesco Caravenna
Professor of Mathematics (Probability and Statistics)
Department of Mathematics and Applications
University of Milano-Bicocca
Via Cozzi 55
20125 Milano - Italy
Office: 3016, U5 building (3^{rd} 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 files I wrote:
- ABRACADABRA and Enterprise (solutions of exercises E10.6 and E10.10 from the book "Probability with Martingales" by D. Williams)
- Moto Browniano
e Analisi Stocastica
(lecture notes / dispense)
[version 3.3; last modified: 9 Jun 2011.]
Links
- National Probability and Statistical Physics seminar (in Florence)
- Joint PhD program in Mathematics (Pavia - Milano Bicocca - INdAM)
- A probability textbook (in Italian) that I wrote with Paolo Dai Pra
- Some computer programs linked to my research
- Recent Breakthroughs in Singular Stochastic PDEs, a Winter School that I co-organized at Milano-Bicocca University (2-6 February 2015)