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