Luca Di Persio

Foto,  January 26, 2015
Position
Associate Professor
Academic sector
MATH-03/B - Probability and Mathematical Statistics
Research sector (ERC-2024)
PE1_13 - Probability

Research sector (ERC)
PE1_13 - Probability

Office
Ca' Vignal 2,  Floor 2,  Room 10.A
Telephone
+39 045 802 7968
E-mail
luca|dipersio*univr|it <== Replace | with . and * with @ to have the right email address.
Curriculum

The research activity of Luca Di Persio is mainly focused on the following topics:
  •  Stochastic Partial Differential Equations (SPDEs) both in finite and infinite dimensions 
  • Asymptotic Expansion of finite-infinite Integrals
  •  Interacting Particle Systems, Random Walk in Random Media 
  •  Mean Field Games
  •  Time series Analysis and applications to Mathematical Finance 
  • Numerical Methods for Mathematical Finance 
  • Neural networks and applications 

His articles are published by journals mainly devoted to Stochastic Analysis and its applications, particularly with respect to the modelisation of problems arising in the context of Mathematical Finance. Whitin the same ambit takes place his congressual activity, both as organizer and invited speaker to internationally recognized consesses.

His didactic activity, which extends to the organization of courses and lectures within the Stochastic Analysis and applications framework, is mainly devoted to the Theory of Probability and time series analysis. In particular, Luca Di Persio is in charge for the didactic path in Mathematical Finance (Master degree in Mathematics) and he teaches, or  he has taugtht, the following courses: Probability, Stochastic Systems, Stochastic Differential Euqations, Mathematical Finance.

Luca Di Persio is also
  • member of the PhD School in Mathematics, jointly organised by the Mathematics Department of the University of Trento and by the College of Mathematics of the Computer Science Department of the University of Verona
  • coordinator for the European mobility program Erasmus+, activated with the universities of Bielefeld, Munich, Oslo and Wuppertal.

Modules

Modules running in the period selected: 43.
Click on the module to see the timetable and course details.

Course Name Total credits Online Teacher credits Modules offered by this teacher
Master's degree in Mathematics Mathematical finance (2024/2025)   6  eLearning
Master's degree in Data Science Statistical models for Data Science (2024/2025)   6  eLearning
Master's degree in Mathematics Stochastic Calculus (2024/2025)   6  eLearning
Master's degree in Mathematics Mathematical finance (2023/2024)   6  eLearning
Master's degree in Data Science Statistical models for Data Science (2023/2024)   6  eLearning
Master's degree in Mathematics Stochastic Calculus (2023/2024)   6  eLearning
Master's degree in Mathematics Mathematical finance (2022/2023)   6  eLearning
Master's degree in Data Science Statistical models for Data Science (2022/2023)   6  eLearning
Master's degree in Mathematics Stochastic Calculus (2022/2023)   6  eLearning
Master's degree in Mathematics Mathematical finance (2021/2022)   6  eLearning
Master's degree in Data Science Statistical models for Data Science (2021/2022)   6  eLearning
Master's degree in Mathematics Stochastic Calculus (2021/2022)   6  eLearning
Master's degree in Mathematics Advanced topics in financial engineering (2020/2021)   6  eLearning
Master's degree in Mathematics Mathematical finance (2020/2021)   6  eLearning
Master's degree in Data Science Probability for Data Science (2020/2021)   12  eLearning (Teoria)
Master's degree in Mathematics Stochastic Calculus (2020/2021)   6  eLearning
Bachelor's degree in Applied Mathematics Stochastic systems (2020/2021)   6  eLearning
Master's degree in Mathematics Advanced topics in financial engineering (2019/2020)   6  eLearning
Master's degree in Mathematics Mathematical finance (2019/2020)   6  eLearning
Master's degree in Mathematics Stochastic Calculus (2019/2020)   6  eLearning
Bachelor's degree in Applied Mathematics Stochastic systems (2019/2020)   6  eLearning
Master's degree in Mathematics Mathematical finance (2018/2019)   6  eLearning (Parte 2)
(Parte 1)
Master's degree in Mathematics Stochastic differential equations (2018/2019)   6  eLearning
Bachelor's degree in Applied Mathematics Stochastic systems (2018/2019)   6  eLearning (Teoria)
Master's degree in Mathematics Mathematical finance (2017/2018)   6  eLearning
Master's degree in Mathematics Stochastic differential equations (2017/2018)   6  eLearning
Bachelor's degree in Applied Mathematics Stochastic systems (2017/2018)   6  eLearning
Master's degree in Mathematics Mathematical finance (2016/2017)   6  eLearning
Bachelor's degree in Applied Mathematics Stochastic systems (2016/2017)   6   
Master's degree in Mathematics Mathematical finance (2015/2016)   6    (Teoria 1)
Bachelor's degree in Applied Mathematics Stochastic systems (2015/2016)   6    (Catene di Markov in tempo discreto)
(Analisi di serie temporali)
Master's degree in Mathematics Mathematical finance (2014/2015)   6    (Teoria 1)
(Esercitazioni)
Bachelor's degree in Applied Mathematics Probability (2014/2015)   6    (Teoria)
Master's degree in Mathematics Mathematical finance (2013/2014)   6    (Teoria 1)
(Esercitazioni)
Bachelor's degree in Applied Mathematics Probability (2013/2014)   6    (Teoria)
Bachelor's degree in Applied Mathematics Probability (2012/2013)   6    (Esercitazioni)
(Teoria)
Bachelor's degree in Applied Mathematics Probability (2011/2012)   6   
Bachelor's degree in Computer Science Probability and Statistics (2011/2012)   6    (Teoria)

Di seguito sono elencati gli eventi e gli insegnamenti di Terza Missione collegati al docente:

  • Eventi di Terza Missione: eventi di Public Engagement e Formazione Continua.
  • Insegnamenti di Terza Missione: insegnamenti che fanno parte di Corsi di Studio come Corsi di formazione continua, Corsi di perfezionamento e aggiornamento professionale, Corsi di perfezionamento, Master e Scuole di specializzazione.

Research groups

INdAM - Research Unit at the University of Verona
We collect here the scientific activities of the Research Unit of Istituto Nazionale di Alta Matematica INdAM at the University of Verona
Research interests
Topic Description Research area
Intelligent agents Design and development of autonomous entities that can sense, model and interact with the environment in which they operate. These area focuses on the interaction and integration of solution technques for several research topics such as automated planning and reasoning, reinforcement learning, statistical learning and reasoning in face of uncertainty. Artificial Intelligence
Distributed artificial intelligence
Stochastic partial differential equations and their applications The research about (SPDEs and their applications spans a wide range of topics. With respect to theoretical contributions, we focus on fundamental aspects such as existence, uniqueness of solutions, invariant measures, and asymptotic expansions, with equations driven by general Lévy-type noises. Concerning applications, we consider mathematical finance problems exploiting SPDEs' methods to address challenges like option pricing under stochastic volatility, counterparty risk evaluation, and optimal execution strategies, often employing FBSPDEs and jump-diffusion models. Moreover, we consider control and optimization applications in memory-dependent systems, mean-field games, and stochastic control to manage uncertainty through dynamic programming and energy shaping. We also use SPDE techniques for electricity price forecasting, wind energy modelling, and control in robotics and teleoperation, emphasizing stochastic passivity and developing an innovative stochastic approach to port-Hamiltonian systems. Interdisciplinary applications extend to biomedicine, network dynamics, and interacting particle systems, showcasing the versatility of these mathematical tools in addressing complex problems in heterogeneous fields. Mathematical methods and models
Stochastic analysis
Mean field games and applications In this research field, non-cooperative dynamic games with a large number of players are considered. With appropriate symmetry assumptions, the N-player game can be approximated by a limit game for a representative player, called a mean-field game. Such games are used to model the collective behavior of large communities. The research concerns theoretical aspects - existence and uniqueness of equilibria, convergence of the N-player problem… -, computational aspects - algorithms for finding approximate equilibria - and applications to different areas, in particular Social Sciences and Machine Learning. Quantitative Methods for Economics
Game theory, economics, social and behavioral sciences
Stochastic data-driven forecasting Stochastic Data-Driven Forecasting focuses on integrating stochastic analysis with data-driven methods to enhance predictive accuracy in systems governed by random processes. By utilizing stochastic models, such as stochastic differential equations and time series with noise components, and calibrating them through machine learning on observed data, this field aims to yield robust probabilistic forecasts. Applications include dynamic systems in finance, climatology, and energy, where accurate uncertainty quantification is essential for predictive reliability and risk evaluation. Information Systems and Data Analytics
Stochastic Differential Equations
Problem solving in the context of artificial intelligence The research fields covered by the Artificial Intelligence (AI) and Machine Learning we are interested in span various applications across finance, energy, and control systems. In finance, hybrid neural networks and deep learning are applied to forecasting, risk management, and investment optimization, including stock price prediction and volatility analysis. Energy systems benefit from AI-driven models for load forecasting, electricity price prediction, and renewable energy management. Stochastic control methods, enhanced by neural networks, address optimization challenges in dynamic and uncertain environments. Advanced neural architectures, such as recurrent networks and multitask learning, improve time series forecasting and domain-specific predictions. Interdisciplinary applications include biomedical engineering, where AI aids in analysing nanofluids, and robotics, where neural networks support motion control under stochastic dynamics. These studies emphasize the integration of AI to solve complex, high-impact problems. Mathematical methods and models
Stochastic analysis
Multi agent systems Design and development of multiagent systems, where intelligent agents can interact among them, with the environment and with humans. This area focuses on the interaction and integration of solution techniques related to multiagent planning, statistical learning, multi-agent reinforcement learning and game theory. Artificial Intelligence
Distributed artificial intelligence
Projects
Title Starting date
Securing Decentralized Finance and Remote Healthcare Systems - SHIELD 10/22/24
Study of the integration of stochastic analysis tools with Machine Learning models in the training and operation of Large Language Models (LLM). 2/7/24
Green Inspired Revolution for Optimal-Workforce Management - GIRO-WM 11/1/23
Development of Artificial Intelligence methods to support insurance policy sales. 11/21/22
Stochastic Modelling of Financial Markets aiming to develop new concepts for Goal-Based Investment Solutions during Decumulation Phase 5/1/21
Study and development of machine learning techniques for data prediction. 10/22/19
Metodi di controllo ottimo stocastico per l'analisi di problemi di debt-management 3/15/17
Energy markets management by stochastic methods 1/16/17
Advanced numerical methods for financial forecasting 1/12/17
Stochastic Approaches for Forecasting and Hedging in Energy Markets 12/1/16
Stochastic Partial Differential Equations and Stochastic Optimal Control with Applications to Mathematical Finance 3/21/16
Metodi di set-valued analysis e di teoria del trasporto ottimo per la modellizzazione di mercati finanziari con costi di transazione in ambito deterministico e stocastico. 3/12/15




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