Stochastic Analysis
in Finance and Physics

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IKYDA 54718970
Stochastic Analysis in Finance and Physics

This project is funded by the German Academic Exchange Service (DAAD) and the Greek State Scholarschips Foundation (IKY) under the IKYDA initiative. The aim of IKYDA projects is to intensify the bilateral collaboration of scientists in Germany and Greece. Thus, these projects support scientists from both countries working together on common projects.

The IKYDA project 54718970 "Stochastic Analysis in Finance and Physics" has brought together scientists from the following institutions in Germany and Greece:

• Athens University of Economics and Business
• Humboldt University Berlin
• National Technical University of Athens
• Technical University Berlin
• University of Crete
• University of Piraeus

The initial funding period is 2 years and the project started in January 2012. There are 15 members in the project, working together on probability theory, stochastic processes, and their various applications in mathematical finance and mathematical physics. There are three main research directions:

• Equilibrium Pricing in Incomplete Markets
• Equilibrium in Stochastic Differential Games with FBSDEs and Jumps
• Condensation and Metastability in Interacting Particle Models.

Antonis Papapantoleon
Original design by Andreas Viklund