Martingales are paradigmatic stochastic processes used in probability theory and finance as models of fair financial markets with no net gain or loss. The tool of martingales has been shown to be crucial in financial analysis with fruitful applications in the context of option pricing. In physics, martingales have not been explored much yet. Over the last few years, a new martingale formulation of the non-equilibrium thermodynamics of small systems has been developed within the field of stochastic thermodynamics. This workshop will establish an interdisciplinary dialogue on the use of martingales as “skeleton key” to the fluctuating world of finance and stochastic thermodynamics, and explore novel connections between these fields.
Giorgia Callegaro - Padua U.
Shamik Gupta - Ramakrishna Mission Vivekananda U.
Gonzalo Manzano - Scuola Normale, Pisa & ICTP
Izaak Neri - King's College, London
Fulvio Ortu - U. Bocconi, Milan
Édgar Roldán - ICTP
Federico Severino - USI, Lugano
Edgar Roldan (ICTP), Matteo Marsili (ICTP)
ICTP - Strada Costiera, 11
I - 34151 Trieste Italy (+39) 040 2240 111 email@example.com