Ressearch topics

I am mainly working on Stochastic Differential Equations (SDEs) driven by irregular noises. In particular, I'm dealing with jumps-SDEs (for example, driven by Lévy processes), stochastic Volterra equations and path-dependent PDEs, and some classes of SPDEs (for the modelling of fibers in turbulence). Such equations can appear in various application fields, such as turbulence, particle transport, population models, or option pricing models in finance (for example, rough volatility models). They are useful to describe probabilistic phenomenon with a large variety of behavior, including models with heavy tail distributions, anomalous diffusion, and intermittency.