Michele Giordano

Background

I am a PhD student in Mathematics. I am a member of the STORM project and I started working at UiO in August 2018 under the supervision of Giulia Di Nunno. My main interest is stochastic control theory, especially in connection with time change. Currently, I am working with optimization of Volterra-type dynamics motivated by applications in finance. In particular, I am working with finite and infinite dimensional settings, and studied several optimization techniques for both optimal control and game theory.

Before coming to Oslo I graduated in Mathematics at the University of Pisa with a thesis entitled “Classes of Stochastic Volterra Processes”. The main goal of the thesis was the study of some known classes of Volterra processes, with particular interest to application to finance, and the introduction of jumps in a known setting.

Preprints

1. Backward Volterra equations with time-changed Lévy noise and maximum principles, Joint work with Giulia Di Nunno
2. Maximum principles for stochastic time-changed Volterra games,
   Joint work with Giulia Di Nunno
3. Lifting of Volterra processes: optimal control and HJB equations,
   Joint work with Giulia Di Nunno
4. Maximum principles for infinite dimensional time-changed processes,
   Joint work with Giulia Di Nunno