Nell'ambito delle attività seminariali del Dipartimento di Matematica, su proposta del Gruppo di ricerca “Equazioni di Evoluzione: analisi qualitativa e metodi numerici”, responsabile locale il Prof. P. Amodio,
il Prof. Jerome A. GOLDSTEIN (University of Memphis, USA), Visiting Professor dell’Università degli Studi di Bari Aldo Moro
(su invito della Dott.ssa Rosa Maria Mininni), terrà presso il Dipartimento di Matematica un Minicorso (Ciclo di Seminari) su:
“Applications of Semigroups of Linear Operators to Mathematical Finance and Mathematical Physics”
10 Giugno 2019, aula VI, ore 11.00 – 13.00
11 Giugno 2019, aula VI, ore 11.00 – 13.00
17 Giugno 2019, aula VI, ore 11.00 – 13.00
18 Giugno 2019, aula VI, ore 11.00 – 13.00
Graduate Course on
Semigroups in Mathematical Finance and Quantum Mechanical Scattering Theory
Jerry Goldstein, Bari, 2019
The course consists of four lectures, each one lasting for two hours.
Lecture #1. Remarks on Brownian motion and stochastic differential equations. The Nobel Prize winning Black-Merton-Scholes equation for stock options. The governing semigroup: explicit representation formula and the chaos property.
Lecture #2. The Cox-Ingersoll-Ross bond equation. We survey the current theory, which is changing rapidly. This includes construction of the semigroup, the unexpected boundary conditions, a new type of Feynman-Kac formula, plus other topics.
Lecture #3. Introduction to classical mechanics and quantum mechanics. Examples in quantum mechanics, involving bound states (eigenfunctions).
Lecture #4. Quantum mechanical scattering theory. Perturbation of continuous spectra. Remarks on inverse problems.
