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18.07.2008, Αίθουσα Σεμιναρίων 342, Κτίριο Τμημάτων Βιολογίας/Μαθηματικών
Dear Colleagues and Graduate Students:
This week we have the pleasure of hosting as an ERASMUS lecturer, Professor Angela de Sanctis of the Department of Statistical and Quantitative Methods of the University of Chieti – Pescara. Dr. de Sanctis will give an introductory lecture as follows
Time: 1:00 – 2:00 p.m. Friday July 18,
Place: Seminar Room 342, Dept. of Math/Biol
Title: Modelling spikes in natural and financial phenomena
Speaker : Angela de Sanctis, Department of Statistical and Quantitative Methods, University of Chieti – Pescara “Gabrielle d’ Annunzio”Pescara, Italy
Abstract
We introduce some fundamental concepts regarding Stochastic Differential Equations and Excitable Dynamics.
Then we propose a general methodology to model natural and financial phenomena characterized by stochastic dynamics,
in which the occurrence of random spikes can be observed. The method uses excitable dynamics in a multi-regime
switching approach to describe dynamical systems in which the motion randomly switches between a stable dynamics
and an excited dynamics. A financial application to modelling the electricity price dynamics is also proposed.
Everyone interested is most welcome to attend!
Tassos Bountis, Professor
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