Pubblications
by Giovanna Nappo (Math.Sci.Net),
PUBBLICAZIONI (alcune
sono disponibili on line)
27) A. Calzolari, P. Florchinger, G. Nappo,
Nonlinear filtering for
stochastic systems with fixed delay: approximation by a modified
Milstein scheme.
Comput. Math. Appl. 61
(2011), no. 9, 2498–2509.
http://dx.doi.org/10.1016/j.camwa.2011.02.036
26) P.
Florchinger, G.
Nappo,
Continuity of the
filter
with unbounded observation coefficients
STOCHASTIC
ANALYSIS AND APPLICATIONS 29 (2011), n.4, 612-630.
http://dx.doi.org/10.1080/07362990903415825
25) T.G. Kurtz, G. Nappo
The
filtered
martingale
problem, in The
Oxford
Handbook
of
Nonlinear Filtering,
Editors D. Crisan, B.
Rosovskii,
129–165, Oxford University Press , Oxford, 2011
24) M. Fischer, G. Nappo
On the moments of the
modulus
of continuity of Itô diffusions
STOCHASTIC ANALYSIS AND
APPLICATIONS 28, 103-122, (2010)
23) G. Nappo, F. Spizzichino
Kendall distributions and
level
sets in bivariate exchangeable survival models.
INFORMATION SCIENCES. ISSN:
0020-0255.
"Information
Sciences", special issue on "Copulas, measures
and
integrals"(2009) ,
vol.
179, n. 17, pp. 2878-2890.
(link
to
(on-line)
published
paper)
http://dx.doi.org/10.1016/j.ins.2009.02.007
22) A. Calzolari, P. Florchinger, G. Nappo,
Nonlinear Filtering for
Markov
sytems with delayed observations.
INTERNATIONAL JOURNAL OF
APPLIED
MATHEMATICS AND COMPUTER SCIENCE.
ISSN: 1641-876X.
(2009)
vol. 19, n. 1, pp. 49-57 ( link
to
(on-line)
published
paper)
21) M. Fischer, G. Nappo
Time discretisation and rate of
convergence
for the optimal control of continuous-time stochastic systems
with delay
App. Math. & Opt.
(2008),
vol. 57, n. 2, pp. 177-206. ( link
to
(on-line)
published
paper)
20) A. Calzolari, P. Florchinger, G. Nappo,
Convergence in nonlinear filtering for
stochastic delay systems
SIAM
J.
Control
Optim. (2007) vol. 46, n. 5, pp.
1615-1636
(pdf=link
to published paper)
http://dx.doi.org/10.2478/v10006-009-0004-8
19) A.
Calzolari, P.
Florchinger, G. Nappo,
Approximation of nonlinear
filters
for Markov systems with delayed observations
Decision
and Control, 2006 45th IEEE Conference on
13-15 Dec. 2006 Page(s):308 - 313
(link
a IEEE per ottenere il file originale) (pdf=link
to published paper)
18) B. Torti, G. Nappo,
Filtering of a reflected Brownian motion
with
respect to its local time
Stochastic Process. Appl.
116 (2006), no. 4, 568--584
(pdf=linkto
web
page
of Stoch. Processes
Appl. )
17) B. Torti, G. Nappo,
Continuous time random walks and
queues:
explicit forms and approximations of the
conditional
law with respect to their local times
Stochastic Process. Appl.
116 (2006), no. 4,
585--610
(pdf=linkto
web
page
of Stoch. Processes
Appl. )
16) A. Calzolari, P. Florchinger, G. Nappo,
Approximation of nonlinear filters for
Markov
systems with delayed observations
SIAM J.
Control
Optim.
45, 599-633 (2006)
(pdf=link
to web page of SIAM J. Control Optim.)
15) C. Asci, G. Nappo, M. Piccioni
The hyper-Dirichlet process and its
discrete
approximations: The butterfly mode
Journal
of
Multivariate Analysis,
Volume 97, Issue 4,
(pdf=link
to
web
page of J. Multiv. Anal.)
14) A. Calzolari, P. Florchinger, G. Nappo,
Nonlinear filtering for Markov diffusion
systems
with delayed observations
(42nd
IEEE
Conference on Decision and Control)
(link
a IEEE per ottenere il file originale)
(pdf=link
to published paper)
13) P. Brémaud, G. Nappo, G. L. Torrisi,
Rate of convergence to equilibrium of marked
Hawkes processes
Journal of Applied Probability, 39, n.1, pp.
123-136 (2002)
(pdf=link
to web page of J. Appl. Proba.)
12) A. Calzolari, G. Nappo,
Counting Observations: A Note on State Estimation
Sensitivity
with an L^1 -Bound
Applied
Mathematics and Optimization,
Volume 44, Number 2/2001, pp. 177 - 201
Springer-Verlag New York
(pdf=link
to web page of Springer App. Math. & Opt.)
11) A. Calzolari, G. Nappo,
Robust Approximation in a Filtering Problem
with
Real
State Space and Counting Observations
Applied Mathematics and Optimization,
Volume 42, Number 1/July 2, 2000 , pp. 51 - 71
Springer-Verlag New York
(pdf=link
to
web
page
of App. Math. & Opt.)
(per errore sul database della Springer appare
come
autore solo Calzolari)
http://dx.doi.org/10.1080/17442509708834113
10) G. Nappo, F. Spizzichino,
A Concept of Dynamic Sufficiency and
Optimal
Stopping of Longitudinal Observations
of Lifetimes.
in MMR 2000, Deuxième
Conférence
Internationale sur les Méthodes Mathématiques en
Fiabilité.
Méthodologie,
Practique et Inférence, Bordeaux, France, 4-7 Juillet
2000,
Livre
des Actes, vol.2, pp.796-799, 2000.
9) G. Nappo and F. Spizzichino
Ordering properties of the TTT-plot of
lifetimes with Schur joint densities,
Statistics
& Probability Letters,Volume
39, Issue 3, pp. 195-203 (1998)
(pdf=link
dal dominio uniroma1.it) (pdf=link
to web page of Stat. & Prob. Lett.)
8) A. Calzolari, G. Nappo,
A Filtering Problem with Counting
Observations:
Error Bounds due to the Uncertainty onthe
Infinitesimal Parameters.
Stochastics
and
Stochastics
Reports (1997),
Vol. 61, no 1-2, pp. 1-19,
7) A.
Calzolari, G.
Nappo,
A
filtering problem
with counting observations: approximation with error bounds.
Stochastics
Stochastics Rep.57
(1996), no. 1-2,
71--87.
6) G. Nappo,
E. Orlandi, and H. Rost
A reaction-diffusion model for moderately
interacting
particles.
J.
Statist. Phys.55
(1989), no. 3-4,
579--600.
(link
to
Springer)
5) G. Nappo and E. Orlandi
Limit
laws for a coagulation model of interacting random particles.
Annales de l'institut Henri
Poincaré (B)
Probabilités et Statistiques, 24
no.3
(1988),
p.
319-344
(pdf=link
a Numdam)
4) A. Gerardi and G. Nappo
Martingale
Approach
for
Modeling
DNA Synthesis
SIAM J.
Appl.
Math. 48,
1424-1436 (1988)
(link
to
JSTOR)
3)A. Gerardi and G. Nappo
DNA distribution as a measure valued
process.Stochastic
differential
systems (Marseille-Luminy, 1984), 35--42,
Lecture
Notes in Control and Inform. Sci., 69,Springer,
Berlin, 1985
(link
to
Springer)
2) C. Costantini,
A.
Gerardi, and G. Nappo
On the convergence of sequences of
stationary
jump Markov processes.
Statist.
Probab. Lett.1
(1983), no. 3,
155--160.
1) C. Costantini
and
G. Nappo
Some
results on weak convergence of jump Markov processes and their
stability
properties.
Systems
Control Lett.2 (1982/83),
no. 3, 175--183.
F.M. Marchetti, G. Nappo, and G. Vagnani (first
version)
Some remarks on the implied volatility smile
and on a related identification problem. (2007).
G. Nappo and F. Spizzichino (2006.pdf)
Relations between Kendall distributions and
families
of bivariate Values at Risk in exchangeable survival models
(presentato a Lecce settembre 2006 slides.pdf)
G. Bravaccino, P.Brémand, G. Nappo (version-2006.pdf)
Simulation of linear
stationary Hawkes
processes: the subexponential case
A. Calzolari, G. Nappo,
The Filtering Problem in a Model with
Grouped
Data and Counting Observation Times (2001) (pdf)
PREPRINT vari
1) B. Torti, G. Nappo,
Filtering of a reflected Brownian
motion
with respect to its local time (pdf)
(dvi)
(versione precedente del lavoro omonimo
pubblicato
su Stochastic Processes and
their
Applicationsversione
2005)
2) B. Torti, G. Nappo,
Continuous time random walks and
queues:
explicit forms and approximations of
the
conditional law with respect to their local times (pdf)
(dvi)
(versione precedente del lavoro
omonimo
pubblicato su Stochastic
Processes
and their Applications versione
2005 )
3) B. Torti, G. Nappo,
The conditional law of a continuous
time
random walk with respect to its local time:
explicit form and approximations (pdf)
(dvi)
4) C. Asci, G. Nappo, M. Piccioni
The hyper Dirichlet process and its discrete
approximations:
the single conditional independence
model
(pdf)
(dvi)
(versione precedente del lavoro
The
hyper-Dirichlet process and its discrete approximations: The
butterfly
mode
pubblicato
su Journal of
Multivariate
Analysis, Corrected
Proof Available
online
since
October 25, 2005
)
5) A. Calzolari, P. Florchinger, G. Nappo,
Convergence in nonlinear filtering for
stochastic
delay systems (pdf)
(dvi)
(new
version.pdf)
(versione precedente del lavoro omonimo
pubblicato
su SIAM
J. Control Optim. )
6) A. Calzolari, P. Florchinger, G. Nappo,
onvergence in nonlinear filtering for
stochastic
delay systems (version2005.pdf)
(versione precedente del lavoro
omonimo
pubblicato su SIAM
J. Control Optim. )
7) A. Calzolari, P. Florchinger, G. Nappo,(version2006.pdf)
Approximation of nonlinear filters for
Markov
systems with delayed observations
(versione precedente del lavoro pubblicato
negli
atti
della conferenza 45th
IEEE
Conference
on
Decision and Control, San Diego, California USA, December
13-15, 2006)
8) M. Fischer and G. Nappo (version2006.pdf)
Time discretisation and rate of convergence for
the
optimal control of continuous-time stochastic systems with delay
(presentato a Lecce settembre 2006)
(versione precedente del lavoro omonimo pubblicato
su App. Math. & Opt.)
9) M. Fischer and G. Nappo (version2007.pdf)
(revised
2008)
On the moments of the modulus of continuity of Itô
diffusions (2007).
10) G. Nappo and F. Spizzichino (version2008.pdf)
Relations between Kendall
Distributions
and level sets in bivariate exchangeable survival models (2008).
11) A. Calzolari, P. Florchinger, G. Nappo,
(version2007.pdf)
(revised
2008) ,
(version2010.pdf)
Nonlinear filtering for Markov systems with delayed
observations
12) F.M. Marchetti, G.
Nappo, and G. Vagnani (version-2009.pdf)
Some remarks on the implied volatility
smile
and on a related identification problem. (2009)
short
curriculum
2009
(pdf)
(english)
curriculum
2009
(pdf)
(italiano)
pubblicazioni
2008
(html)
curriculum
breve
2008
(html)
(italiano)
short
curriculum
2008
(html)
(english)
curriculum 2007(pdf) (italiano)
curriculum
2007(pdf) (english)
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http://w3.uniroma1.it/biblioteche/
RePEc
(Research
Papers
in Economics)
http://ideas.repec.org/http://ideas.repec.org/search.html
André LONGTIN http://www.science.uottawa.ca/~alongtin/publications.html
Tao PANG (control- delay-finance)
Denis TALAY ( 1996 CIME course on Stochastic Numerical Methods, A survey paper on Stochastic Numerical Methods (1995)
Ziyu ZHENG ( tra l'altro, interesssante la bibliografia contenuta nei file alla pagina web http://www.uwm.edu/~ziyu/interest.html )
homepages ottenibili da probability-web
homepage
su
credit
risk
di De Giorgi
ANNALS of PROBABILITY http://www.imstat.org/aop/default.htm
SIAM JOURNAL on CONTROL and OPTIMIZATION http://locus.siam.org/SICON/sicon_toc.html
ELECTRONIC
JOURNAL
of PROBABILITY
http://www.math.washington.edu/~ejpecp/
Journal
of
Applied
Mathematics and Stochastic Analysishttp://www.hindawi.com/journals/JAMSA/index.html
(vedere
anche
http://my.fit.edu/~eugene/index.htm
)
Filtering Theory and Applications 2002, Edmonton, July 25 - 30, 2002 (informazioni) (foto)
The third Conference on Lévy Processes: Theory and Applications, Paris, June 23-27, 2003 (informazioni)
KOLMOGOROV AND CONTEMPORARY MATHEMATICS, Moscow,June 16 - 21, 2003 (informazioni)
Workshop on Heavy Traffic Analysis and Process
Limits
of Stochastic Networks
EURANDOM, Eindhoven, The Netherlands, September
8
to
September
11, 2003
(informazioni-in-announcements-september
2003)
CONVEGNO DEL PROGETTO DI RICERCA
"Processi,
campi
aleatori e applicazioni alla finanza"
Dipartimento di Matematica, Universita` degli
Studi
di Bologna, 15-16 Settembre, 2003 (informazioni)
42nd IEEE Conference on
Decision
and Control,
Hyatt Regency Maui, Hawaii, USA,
December
9-12,
2003 (informazioni)