Address book
Contacts
BERNARDO D'AURIA
Position
Professore Associato
Address
VIA TRIESTE, 63 - TORRE ARCHIMEDE - PADOVA
Telephone
Bernardo D'Auria,
he has been an associate professor at the University of Padua since 2022.
Previously he was associate professor at the Pescara University "G. d'Annunzio" (2022), and at the Madrid University Carlos III, Spain (2012-2022).
His scientific interests concern: Stochastic processes • Mathematical finance • Stochastic optimal control • Game theory • Systems modulated by Markov processes • Enlargements of filtrations • Diffusion and Lévy processes • Queuing theory • Stochastic networks.
Orcid Number: 0000-0002-1272-8352
Notices
Teachings
- INTRODUCTION TO STOCHASTIC PROCESSES, AA 2024 (SCQ0093538)
- INTRODUCTION TO STOCHASTIC PROCESSES, AA 2024 (SCQ0093964)
- INTRODUCTION TO STOCHASTIC PROCESSES, AA 2024 (SCQ0093964)
- INTRODUCTION TO STOCHASTIC PROCESSES, AA 2023 (SCQ0093964)
- INTRODUCTION TO STOCHASTIC PROCESSES, AA 2023 (SCQ0093964)
- INTRODUCTION TO STOCHASTIC PROCESSES, AA 2023 (SCQ0093538)
- INTRODUCTION TO STOCHASTIC PROCESSES, AA 2022 (SCQ0093538)
- INTRODUCTION TO STOCHASTIC PROCESSES, AA 2022 (SCQ0093964)
- INTRODUCTION TO STOCHASTIC PROCESSES, AA 2022 (SCQ0093964)
Publications
• B. D’Auria, (2022). Conditioned Tandem Networks. Queueing Systems, 100:405–407 .
• B. D’Auria, I. Adan, R. Bekker, V. Kulkarni (2022). An M/M/c e with queueing-time dependent service rates. European Journal of Operational Research, 299(2):566–579.
• M. Bramson, B. D’Auria, N. Walton (2021). Stability and Instability of the MaxWeight Policy. Math- ematics of Operations Research, 46(4):1611–1638.
• B. D’Auria, E. García-Portugués, A. Guada (2020). Discounted Optimal Stopping of a Brownian Bridge, with Application to American Options under Pinning. Mathematics, 8(1):1159–1185.
• B. D’Auria, A. Ferriero (2020). A Class of Itô Diffusions with Known Terminal Value and Specified Optimal Barrier. Mathematics, 8(1):123–135.
• B. D’Auria, J.-A. Salmerón (2020). Insider information and its relation with the arbitrage condition and the utility maximization problem Mathematical Biosciences and Engineering, 17(2):998–1019.
• M. Bramson, B. D’Auria, N. Walton (2017). Proportional Switching in First-in, First-out Networks. Operations Research, 65(2):496–513.
• I. Adan, B. D’Auria(2016). Sojourn time in a single server e with threshold service rate control. SIAM Journal on Applied Mathematics, (SIAP), 76(1):197–216.
• B. D’Auria, S. Kanta (2015). Pure threshold strategies for a two-node tandem network under partial information. Operations Research Letters, 43(5):467–470.
• J. Anselmi, B. D’Auria, N. Walton (2013). Closed queueing networks under congestion: non- bottleneck independence and bottleneck convergence. Mathematics of Operations Research, 38(3):469– 491.
• B. D’Auria, (2012). A short note on the monotonicity of the Erlang C formula in the Halfin-Whitt regime. Queueing Systems 71(4):469–472.
• B. D’Auria, O. Kella, (2012). Markov modulation of a two-sided reflected Brownian motion with application to fluid es. Stochastic Processes and their Applications 122(4):1566–1581.
• B. D’Auria, J. Ivanovs, O. Kella, M.R.H. Mandjes, (2012). Two-Sided Reflection of Markov-Modulated Brownian Motion. Stochastic Models 28(2):316–332.
• B. D’Auria, J. Ivanovs, O. Kella, M.R.H. Mandjes, (2010). First passage of a Markov additive process and generalized Jordan chains. Journal of Applied Probability 47(4):1048–1057.
Research Area
• Stochastic processes
• Mathematical finance
• Optimal stochastic control
• Game Theory
• Systems modulated by Markov processes
• Enlargement of filtrations
• Diffusion and Lévy processes
• Queuing theory
• Stochastic networks
