January 2014 - Random - Mailing list — Dipartimento di Matematica, UniPI

Seminario Cristina di Girolami a Milano-Bicocca
by federica.masiero＠unimib.it 09 Feb '15

09 Feb '15

Il giorno 6 Febbraio, alle ore 15, presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, via Cozzi, 55, Edificio U5, stanza 3014 (terzo piano), la Dott.ssa Cristina di Girolami, Università G. D'Annunzio di Chieti-Pescara, terrà un seminario dal titolo "Stochastic calculus in Banach spaces, an infinite dimensional PDE and stability results" Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Federica Masiero

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Fwd: IHP TRIMESTER : Disordered systems, random spatial processes and some applications/ Systèmes désordonnés, processus spatiaux aléatoires et certaines applications
by Cristian Giardina 31 Jan '14

31 Jan '14

---------- Forwarded message ---------- From: random15 <random15(a)ihp.fr> Date: Thu, Jan 30, 2014 at 1:46 PM Subject: IHP TRIMESTER : Disordered systems, random spatial processes and some applications/ Systèmes désordonnés, processus spatiaux aléatoires et certaines applications To: Cristian Giardina <cristian.giardina(a)unimore.it> Dear Colleague, It is our pleasure to announce a programme on "Disordered systems, random spatial processes and some applications" organized by the Emile Borel Centre from the Henri Poincare Institute in Paris from January 5th to April 3rd, 2015. Organizers: J-P. Bouchaud, P. Contucci, C. Giardina, P. Nolin, V. Sidoravicius, V. Vargas Information on the programme can be found on: www.ihp.fr/en/CEB/T1-2015 or *random15.dm.unibo.it/ <http://random15.dm.unibo.it/>* * Registration is free and recommended* *to participate to:* - the trimester + workshops on: www.ihp.fr/en/program/13698/colloques/register - workshop(s) only on: www.ihp.fr/en/program/13698/colloques/register/nosignupprogram *BE CAREFUL:* *Deadline to apply for financial support is June 2nd**, 2014.* At the beginning of the programme a one week pre school will take place at the CIRM Marseille "Introductory school at CIRM" and 3 workshops will be organized during the trimester: Statistical physics methods in social and economic systems Spin glasses, random graphs and percolation Interacting particles systems and non-equilibrium dynamics We are looking forward to welcoming you! PS: do not hesitate to forward this email to your colleagues. **************************************************** Cher Collegue, Nous avons le plaisir de vous annoncer l organisation d un programme sur les " Systemes desordonnes, processus spatiaux aleatoires et certaines applications" au Centre Emile Borel de l Institut Henri Poincare a Paris, du 5 janvier au 3 avril 2015. Les organisateurs: J-P. Bouchaud, P. Contucci, C. Giardina, P. Nolin, V. Sidoravicius, V. Vargas Vous pouvez consulter le programme a l adresse suivante: www.ihp.fr/fr/CEB/T1-2015 ou directement a cette adresse: *random15.dm.unibo.it/ <http://random15.dm.unibo.it/>* *L inscription au programme est gratuite et recommandee **sur l adresse suivante:* - pour le trimestre + conferences: www.ihp.fr/fr/program/13698/colloques/register - ou uniquement pour le/les conferences: www.ihp.fr/fr/program/13698/colloques/register/nosignupprogram *Attention:* *Date limite pour les supports financiers: 2 juin 2014* Le trimestre debutera par une pre ecole d une semaine au CIRM de Marseille. Pendant ce trimestre, 3 conferences seront organisees: Statistical physics methods in social and economic systems Spin glasses, random graphs and percolation Interacting particles systems and non-equilibrium dynamics C est avec plaisir que nous vous accueillerons a Paris. PS: merci par avance de bien vouloir transmettre ce courriel a vos collegues. -- Claire Berenger Organisation Assistant random15(a)ihp.fr CNRS UPMC - Institut Henri Poincare Centre Emile Borel 11, rue Pierre et Marie Curie - 75005 Paris Bureau 206 Tel: 01 44 27 67 64 Fax: 01 44 07 09 37www.ihp.fr Decouvrez la chaine de l'institut Henri Poincare<http://www.youtube.com/user/PoincareInstitute> <http://www.youtube.com/user/PoincareInstitute>.

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Avviso di Seminario -- Dott. Robert Knobloch
by Federico Polito 31 Jan '14

31 Jan '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Lunedì 10 Febbraio alle ore 15 in Aula S presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, il Dott. ROBERT KNOBLOCH (Department of Mathematics -- Saarland University) terrà un seminario dal titolo "An Itō type formula and related properties for convoluted Lévy processes" Abstract: In this talk we derive moment and path properties as well as an Itō type formula for a large class of convoluted Lévy processes M(t) that in particular contains fractional Lévy processes. To this end we make use of the S-transform, which is defined as the expectation under a suitable change of measure and results in Hitsuda-Skorokhod integrals appearing in our main results. For the general version of our Itō type formula we assume that the underlying Lévy process has a nontrivial Gaussian component and use this assumption to prove that the characteristic function of M(t), under the aforementioned changed measure, has nice integrability properties. This enables us to weaken the conditions in the Itō type formula compared to related results in the literature. Tutti gli interessati sono invitati a partecipare. Federico Polito -- Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy

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Fwd: Workshop "Teorie Matematiche della Crisi"
by marina pireddu 30 Jan '14

30 Jan '14

Cari Colleghi, vi segnaliamo il workshop "Teorie Matematiche della Crisi" che si terrà in Bicocca i prossimi 6 e 7 Febbraio. Trovate il programma in allegato. Tutti gli interessati sono invitati a partecipare. Un caro saluto, Marina Pireddu ed Ahmad Naimzada

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PhD position with deadline tomorrow
by Camilla Pisani 30 Jan '14

30 Jan '14

PhD position in Lund with deadline tomorrow: http://www.lunduniversity.lu.se/o.o.i.s?id=24914&Dnr=575675&Type=E _____________________ Camilla Pisani HPCFinance project-Phd student Aarhus University Business and Social Sciences Fuglesangs Allé 4 8210 Aarhus V, Denmark T: +45 87166015 M: cpisani(a)econ.au.dk W: http://au.dk/en/ cpisani(a)econ.au.dk [bslogo_mail_equis_stor_uk] Business and Social Sciences is a broad business school constituting one of four new main academic areas at Aarhus University. Business and Social Sciences is the largest university unit within business and social sciences in Denmark, encompassing a wide range of academic disciplines, outstanding research environments and strong degree programmes.

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course at GSSI L'Aquila
by davide gabrielli 29 Jan '14

29 Jan '14

The course of Maria Eulalia Vares: TOPICS IN SPECIAL INTERACTING PARTICLE SYSTEMS will start Tuesday February 4 at 16 pm and will continue up to February 27 with the following timetable: Tuesday: 16-18 Wednesday: 9-11 Thursday: 9-11 At Gran Sasso Science Institute, L'Aquila

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Seminario Probabilità a Roma Tre il 04-02-2014
by pietro caputo 29 Jan '14

29 Jan '14

Seminario di Probabilità a Roma Tre Alexandre Stauffer (University of Bath) Titolo: Mixing time of random walks on dynamical percolation Martedi' 04 Febbraio 2014 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 211 Largo San L. Murialdo,1 Abstract We study the behavior of random walk on dynamical percolation. In this model, the edges of a graph G are either open or closed and refresh their status at rate mu while at the same time a random walker moves on G at rate 1 but only along edges which are open. On the d-dimensional torus with side length n, we prove that in the subcritical regime, the mixing times is of order n^2/mu. We also obtain results concerning mean squared displacement and hitting times.This is a joint work with Yuval Peres and Jeff Steif.

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Re: [Random] JoMaC - Call-for-Paper for Special Issue (fwd)
by Tiziano Vargiolu 28 Jan '14

28 Jan '14

---------- Forwarded message ---------- Date: Mon, 27 Jan 2014 15:39:37 +0100 From: paolo pellizzari <paolop(a)unive.it> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: AW: JoMaC - Call-for-Paper for Special Issue caro Tiziano, please circulate the following call for paper http://www.springer.com/business+%26+management/accounting/journal/187: for a special issue "Simulation in Management Accounting and Management Control" of JoMaC. Details and deadlines in the attached file. grazie e saluti, paolo pellizzari -- Dept. of Economics Ca' Foscari University of Venice - ITALY email: paolop(a)unive.it http://virgo.unive.it/paolop @paolopellizzari Gli uomini son bestie rare, son capitomboli di allegria, sono carretti da trascinare, sono gomitoli di fantasia. (Scraps Orchestra, "Rosso di sera")

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Correzione data - Seminario I. Crimaldi
by alessandra bianchi 27 Jan '14

27 Jan '14

Giovedì 6 febbraio, alle ore 15:00, presso l'aula Seminario VII del Dipartimento di Matematica di Padova la Prof.ssa Irene Crimaldi (IMT Lucca) terra' il seguente seminario TITLE: Asymptotic Results for some Preferential Attachment Models with Random Weights ABSTRACT: Various asymptotic results will be shown for the "randomly reinforced" versions of three popular models: Polya urn, Poisson-Dirichlet sequence and Indian buffet process. The main central limit theorem will be stated for an arbitrary sequence of real random variables. Indeed, although this result has been thought for urn problems, it deals with the general problem of the rate of convergence of predictive distributions and empirical distributions for dependent data. The main references are: - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "A central limit theorem and its applications to multicolor randomly reinforced urns", J. Appl. Probab., 48(2), 527-546 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for multicolor urns with dominated colors", Stochastic Processes and their Applications, 120(8), 1473-1491 - F. Bassetti - I. Crimaldi - F. Leisen, "Conditionally identically distributed species sampling sequences", Adv. Appl. Probab., 42(2), 433-459 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for an Indian buffet model with random weights", forthcoming in Annals of Applied Probability -- Alessandra Bianchi Dip. di Matematica Pura e Applicata Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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Seminario di Probabilità - Università di Padova
by alessandra bianchi 27 Jan '14

27 Jan '14

Ho il piacere di invitarvi al seguente seminario, che si terrà mercoledì 5 febbraio, alle ore 15:00, nell'aula 1BC45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Prof.ssa Irene Crimaldi AFFILIATION: IMT- Institute for advanced studies -Lucca TITLE: Asymptotic Results for some Preferential Attachment Models with Random Weights ABSTRACT: Various asymptotic results will be shown for the "randomly reinforced" versions of three popular models: Polya urn, Poisson-Dirichlet sequence and Indian buffet process. The main central limit theorem will be stated for an arbitrary sequence of real random variables. Indeed, although this result has been thought for urn problems, it deals with the general problem of the rate of convergence of predictive distributions and empirical distributions for dependent data. The main references are: - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "A central limit theorem and its applications to multicolor randomly reinforced urns", J. Appl. Probab., 48(2), 527-546 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for multicolor urns with dominated colors", Stochastic Processes and their Applications, 120(8), 1473-1491 - F. Bassetti - I. Crimaldi - F. Leisen, "Conditionally identically distributed species sampling sequences", Adv. Appl. Probab., 42(2), 433-459 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for an Indian buffet model with random weights", forthcoming in Annals of Applied Probability -- Alessandra Bianchi Dip. di Matematica Pura e Applicata Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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Seminario di Fabio Gobbi a Bologna
by giacomo.scandolo＠univr.it 27 Jan '14

27 Jan '14

Il giorno Giovedì 30 Gennaio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna si terrà il Seminario del Dott. Fabio Gobbi Dipartimento di Scienze Statistiche, Università di Bologna Titolo: C-CONVOLUTION AND ITS APPLICATION TO FINANCE Abstract In ﬁnancial applications is interesting to determine the distribution function of the sum of two random variables X and Y in the case where they are dependent. We address the problem using the convolution operator which recovers the distribution of X+Y when a copula function C describes the dependence structure and the marginal distributions of the two r.vs. are given. Nevertheless, almost all the ﬁnancial data are generated by stochastic processes. Our C-convolution approach allows to build dependent increments processes since setting X = X(t-1) − and Y = DX, their sum is X_t . In this framework we model the dependence structure between the level of the process and its next increment. From an empirical point of view, ﬁnancial data are time series and the econometric analysis is provided by the concept of conditional copula introduced by Patton (2006) which allows us to deﬁne the conditional 𝐶-convolution as a data generating process. We estimate such a model by a three-stage maximum likelihood method and we provide some asymptotic results of this estimator. An immediate ﬁnancial application of such a method is given by a copula-based model to recover the distribution of actively managed funds. The analysis is based on a general representation of the Henriksson Merton (1981) model, in which the forecasting ability of the asset manager is modeled with a copula function (linking the forecasts of the asset manager and actual market movements). This is a convolution-based copula yielding at the same time the marginal distribution of the return on the managed fund and the dependence structure between the managed fund and the market. The model is very well suited to estimate and simulate the conditional distribution of managed funds.

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Avviso di seminario :: Ventura@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 27 Jan '14

27 Jan '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 31 Gennaio, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma LAURA VENTURA (Dip. di Scienze Statistiche, Università degli Studi di Padova) terrà un seminario dal titolo PSEUDO-LIKELIHOODS FOR BAYESIAN INFERENCE tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis --- Summary In the presence of models with complicated dependence structures, of multidimensional nuisance parameters, or of model miss-specifications, both frequentist and Bayesian inference may encounter some theoretical and computational difficulties, since the ordinary likelihood may be too difficult or even impractical to compute. In order to take into proper account such difficulties, it is possible to consider surrogates of the original likelihood, which produce the wide class of the so-called pseudo-likelihoods. In this talk we review the properties and applications of the so-called pseudo-posterior distributions, i.e. posterior distributions derived from the combination of a pseudo-likelihood function with suitable prior information. Some examples are illustrated.

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Fwd: [stoch-ned-l] Workshop Population Dynamics and Statistical Physics in Synergy
by Cristian Giardina 25 Jan '14

25 Jan '14

---------- Forwarded message ---------- From: Koorn, P.M. <Koorn(a)eurandom.tue.nl> Date: Fri, Jan 24, 2014 at 3:26 PM Subject: [stoch-ned-l] Workshop Population Dynamics and Statistical Physics in Synergy To: "stoch-ned-l(a)science.uu.nl" <stoch-ned-l(a)science.uu.nl> We would like to announce the upcoming workshop on Population Dynamics and Statistical Physics in Synergy To be held at Eurandom, Eindhoven, the Netherlands Date: August 25-29, 2014 More information on http://www.eurandom.nl/events/workshops/2014/Population_Dynamics/Population… On behalf of the organizers, Patty Koorn Eurandom P.O.Box 513 (MF 4.081) 5600 MB EINDHOVEN The Netherlands tel. +31 40 247 81 00 e-mail koorn(a)eurandom.tue.nl www.eurandom.tue.nl (mon+wed 8.30-16.30; thu+fri 8.30-15.00) _______________________________________________ stoch-ned-l mailing list SMS-VvS+OR/ Section Mathematical Statistics of The Netherlands Society for Statistics and Operations Research. stoch-ned-l(a)science.uu.nl http://mailman.science.uu.nl/mailman/listinfo/stoch-ned-l

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mini workshop on risk measures in Bicocca
by Fabio Bellini 25 Jan '14

25 Jan '14

Il giorno martedì 28 gennaio dalle ore 14.30 alle ore 17.30, presso la aula seminari del Dipartimento di Statistica e Metodi Quantitativi della Università di Milano Bicocca, al quarto piano dell'edificio U7, si terrà un mini-workshop su "New trends in risk measures". Programma dettagliato: 14.30 - 15.30 Johanna Ziegel, Università di Berna "Coherence and elicitability" http://arxiv.org/pdf/1303.1690.pdf 15.30 - 16.30 Valeria Bignozzi, ETH Zurich "How superadditive can a risk measure be?" http://www.math.uwaterloo.ca/~wang/papers/2014WBT.pdf 16.30 - 17.30 Elisa Mastrogiacomo, DISMEQ "Portfolio optimization with quasiconvex risk measures" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2282472 Tutti gli interessati sono invitati a partecipare. Saluti Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://www.economia.unimib.it/bellini

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Re: [Random] Announcement for a spring school: CREMMA (fwd)
by Tiziano Vargiolu 22 Jan '14

22 Jan '14

Apologies for cross-postings. Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu -------------------------------------------------------------------------- ---------- Forwarded message ---------- Date: Wed, 22 Jan 2014 11:48:26 +0000 (GMT) From: anis lasmar <anis_lasmar(a)yahoo.fr> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Re: Announcement for a spring school: CREMMA Dear Sir The University of Maine, The faculty of Science of Tunis and Laboratory of Mathematical Modeling and Numeric in Engineering Sciences "LAMSIN" organize the fourth spring school of the Euro-Mediterranean Research Center for Mathematics and its Applications. The lectures are devoted to Recent Advances in Math Financial and Insurance. The school will take place in the National Engineering School of Tunis ( ENIT), from March the 17th to the 28th. For registration and more information please visit the following link: http://www.lamsin.tn/CREMMA/Fourth-School.html Agenda March 17th-21st, 2014 - NizarTOUZI (EcolePolytechniquede Paris, France) Viscosity solutions for path dependent PDEs and application to Finance. - Xiaolu TAN (University of Paris-Dauphine, France ) The optimal transport and application to Finance. March 22, 2014: day of lectures. March 24th-28th, 2014 - Nicole EL KAROUI (University of Pierre et Marie Curie, Paris, France): Applications to the longevity and population dynamics. - Monique JEANBLANC (Universit?d'Evry Val d'Essonne ): Applications to problems of default and credit. - Alexandre BOUMEZOUEDD (University of Pierre et Marie Curie, Paris): The Poisson process, its simulation, random measures and point processes. Thank you for disseminating the information. Best regards, Mohamed Anis BEN LASMAR Enseignant/Chercheur Laboratoire de Mod?lisation Math?matique et Num?rique pour les Sciences de l'Ing?nieur Ecole Nationale d'Ing?nieurs de Tunis Universit? de Tunis El Manar BP 37, 1002 Tunis Le Belv?d?re, Tunisie E-mail: anis_lasmar(a)yahoo.fr mohamedanis.benlasmar(a)lamsin.rnu.tn

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Avviso di mini-corso :: Iacus@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 20 Jan '14

20 Jan '14

----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Lunedì, 27 Gennaio, ore 14:00 - 18:00 Martedì, 28 Gennaio, ore 9:00 - 13:00 ----------------------------------------------------------------------------- Aula VII (piano terra) Dipartimento di Scienze Statistiche Sapienza Università di Roma STEFANO IACUS (Dep. of Economics, Management and Quantitative Methods, University of Milan & R Core Team) terrà un mini-corso rivolto principalmente (ma non solo) agli studenti di dottorato dal titolo SIMULATION AND INFERENCE FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN R WITH APPLICATIONS TO FINANCE Il corso è gratuito ma, dato il numero limitato di posti disponibili in aula, tutti gli interessati sono invitati a **prenotarsi** compilando il seguente form on line: http://goo.gl/RrCdVm Entro Giovedì 23/1 verrà inviata conferma dell'effettiva disponibilità del posto richiesto all’indirizzo email fornito. Ovviamente “first come, first served”, con possibile piccolo bias in favore di studenti di dottorato. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari e mini-corsi presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Alessandro De Gregorio, Pierpaolo Brutti, Fulvio De Santis --- Syllabus del corso The course plan to cover the following topics: > Simulation of solutions of stochastic differential equations. > Quasi–maximum likelihood estimation. > Model selection. > Analysis of financial time series. > Clustering of financial time series. > Change point analysis for the volatility in stochastic differential equations. Students are required to have basic knowledge of the R statistical package and come with a pre–installed version of the software and of the Yuima package on their machines. Preliminary notions on SDEs are welcome. Lectures will be based on the following books: > Iacus, S.M. (2011). Option Pricing and Estimation of Financial Models with R. John Wiley & Sons. > Iacus, S.M. (2008). Simulation and Inference for Stochastic Differential Equations: with R examples. Springer. but extract of the parts relevant to the course, will be distributed during the lectures along with exercise sheets.

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Incontro su SDE con memoria e argomenti correlati
by Giovanni Zanco 19 Jan '14

19 Jan '14

Segnalo che martedì 21 e mercoledì 22 gennaio si terrà presso il dipartimento di Matematica dell'Università di Pisa (aula seminari) un incontro informale su equazioni differenziali stocastiche con memoria e argomenti correlati, durante il quale verranno presentati risultati recenti su SDE path-dependent, SDE con ritardo e calcolo stocastico via regolarizzazione in spazi di Banach. Sono previsti i seguenti seminari: *Martedì 21 gennaio:* *15.00* - B. Goldys - *Convergence of ARMA and GARCH processes to stochastic differential equations with memory;* *15.35* - M. Rosestolato - TBA; *16.10* - S. Federico - *Directional regularity and verification theorems for optimal control problems with delay;* *17.15* - F. Masiero - *Some results on HJB equations related to problems with delay;* *17.50* - G. Zanco - *An infinite dimensional approach to path-dependent Kolmogorov's equations.* *Mercoledì 22 gennaio:* *09.30* - C. Di Girolami - *Basis Banach space valued calculus via regularization and Fukushima-Dirichlet decomposition for window processes;* *10.05* - F. Russo - *On Kolmogorov type equations associated with frames of diffusion processes in relation with calculus via regularization;* *11.25* - A. Cosso - *Strong-viscosity solutions to path-dependent PDEs.* -- Giovanni Zanco Dipartimento di Matematica Università di Pisa Largo Bruno Pontecorvo 5, 56127 Pisa Room 302 +39 050 2213 237 zanco(a)mail.dm.unipi.it giovanni.zanco(a)gmail.com

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[Recall] Nicola Bruti-Liberati Prize [2013] (fwd)
by Tiziano Vargiolu 18 Jan '14

18 Jan '14

Apologies for cross-postings. Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu -------------------------------------------------------------------------- -------- Messaggio originale -------- Oggetto: [Recall] Nicola Bruti-Liberati Prize [2013] Data: Fri, 17 Jan 2014 18:28:42 +0100 Mittente: qfinlab(a)polimi.it A: undisclosed-recipients:; The Bachelier Finance Society and the Department of Mathematics of the Politecnico di Milano, in cooperation with Springer, are proud to announce the 2013 Nicola Bruti Liberati Prize (III edition) which is to be awarded annually for a doctoral thesis in all subjects of Mathematical Finance, such as, but not limited to: Derivative Pricing, Computational Finance, Econometrics and Statistical Methods applied to Finance, Risk Analysis, Portfolio Optimization, Probability Methods in Finance, and Numerical Methods in Finance. Nicola obtained an undergraduate degree from Bocconi University (2001) in Mathematical Finance. He died in 2007 in a traffic accident in Sydney, while he was completing his PhD thesis at the University of Technology. At that time, he was also cooperating with the Quantitative Finance group of the Department of Mathematics of the Politecnico di Milano. In order to commemorate Nicola, his family and the Department of Mathematics of the Politecnico di Milano offer an annual prize of E3.000 for the best doctoral thesis to be selected by a Committee appointed by the Bachelier Finance Society. Theses defended in 2011, 2012 or 2013 must be submitted no later than January 31st, 2014. The call for scholarship can be downloaded from the QFinLab web-site (www1.mate.polimi.it/qfinlab) ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

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Seminario di Probabilità - Università di Padova
by alessandra bianchi 17 Jan '14

17 Jan '14

Ho il piacere di invitarvi al seguente seminario che si terrà venerdì 31 gennaio, alle ore 14:30, nell'aula 2AB45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. Speaker: Dott. Tal Orenshtein Affiliation: Department of Mathematics, University of Munich Title: Excitements in one dimension Abstract: Excited random walk (also called Cookie walk) is a self interacting discrete time stochastic process on graphs so that the transition probability is given not only by the location, but also by the number of past visits to that location. We shall discuss some old and new results on the one-dimensional lattice case, which has a special structure. Joint with Gideon Amir and Noam Berger. -- Alessandra Bianchi Dip. di Matematica Pura e Applicata Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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seminario del Prof. Ivan Gentil a Pavia - messaggio corretto
by Carbone Raffaella 17 Jan '14

17 Jan '14

Cari colleghi, il giorno martedì 21 gennaio 2014, alle ore 15, presso la sala conferenze dell'IMATI-CNR di Pavia, il Prof. Ivan Gentil (University of Lyon 1) terrà il seminario dal titolo *Contraction in Wasserstein distance for Markov diffusion semigroups * nell'ambito del Seminario di Matematica Applicata (IMATI-CNR e Dipartimento di Matematica, Pavia). Abstract : Under curvature condition the Wasserstein distance has some contraction properties between two solutions of the heat equation (on a manifold for instance). We investigate how the dimension appears in the contraction inequality. (Mi scuso per il doppio messaggio) -- Raffaella Carbone, PhD Ricercatore di Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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seminario del Prof. Ivan Gentil a Pavia
by Carbone Raffaella 17 Jan '14

17 Jan '14

Cari colleghi, presso la sala conferenze dell'IMATI-CNR di Pavia, il Prof. Ivan Gentil (University of Lyon 1) terrà la conferenza dal titolo *Contraction in Wasserstein distance for Markov diffusion semigroups * nell'ambito del Seminario di Matematica Applicata (IMATI-CNR e Dipartimento di Matematica, Pavia). Abstract : Under curvature condition the Wasserstein distance has some contraction properties between two solutions of the heat equation (on a manifold for instance). We investigate how the dimension appears in the contraction inequality. -- Raffaella Carbone, PhD Ricercatore di Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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Energy Finance 2014 conference first announcement
by Tiziano Vargiolu 13 Jan '14

13 Jan '14

---------- Forwarded message ---------- Date: Fri, 3 Jan 2014 15:59:05 -0700 From: EF14 <info(a)energyfinance2014.org> Subject: Energy Finance 2014 conference first announcement Conference first announcement, apologies for cross-posting. ____________________________________________________________________________ Energy Finance 2014 (EF14) ____________________________________________________________________________ The next Energy Finance conference will be held on September 24 - 26, 2014, in Erice, Italy. The conference aim is to bring together academicians, practitioners and students interested in the last developments of quantitative analysis, risk management and mathematical modelling of energy markets and related subjects. You can find more information about EF14 in the conference website energyfinance2014.org. Sincerely, the EF14 Organizing Committee. View of the Tyrrhenian coast from the Erice Conference Center [index.php?option=com_acymailing&ctrl=stats&mailid=12&subid=898&no_html=1]

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Avviso di seminario :: Farcomeni@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 13 Jan '14

13 Jan '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 17 Gennaio, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma ALESSIO FARCOMENI (Dip. Sanità Pubblica e Malattie Infettive, Sapienza Università di Roma) terrà un seminario dal titolo GENERALIZED LINEAR MIXED MODELS BASED ON LATENT MARKOV HETEROGENEITY STRUCTURES tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis --- Summary Latent Markov models (LM) can be seen as a flexible device for taking into account time-varying subject-specific unobserved heterogeneity. In the basic LM, a random intercept is flexibly allowed to evolve over time. The available formulations of mixed LM often assume that any additional random effect is time-constant, with few specific exceptions. In this work we formulate a mixed latent Markov model in which all random effects may freely evolve over time. The size of the parameter space is controlled with the possibilities of assuming block independence of random effects, and/or that groups of random effects may share some or all aspects of their distribution. Parameter estimation is carried out with a simple expectation maximization strategy, analogous to that used for the basic latent Markov model, after an adaptation of the usual forward backward recursions and a parsimonious representation of the expected complete likelihood. Standard errors are derived using Oakes' identity. Dependence among random effects is summarized using Watanabe's total correlation and described with log-odds ratios and higher-order log-linear interactions. We illustrate with an original application to the relationship between health literacy and depression in a panel of adolescents. In this example subjects are clustered in schools, which leads to high-dimensional multivariate time-varying random effects.

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Avviso di seminario - Dott. D'Ovidio
by Federico Polito 09 Jan '14

09 Jan '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Venerdì 17 Gennaio alle ore 15 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, il Dott. MIRKO D'OVIDIO ("Sapienza" Università di Roma) terrà un seminario dal titolo FRACTIONAL CAUCHY PROBLEMS ON S^2_1 AND COORDINATES CHANGED RANDOM FIELDS In allegato l'abstract del seminario. Tutti gli interessati sono invitati a partecipare. Federico Polito -- Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy federico.polito(a)unito.it phone: +39 011 6702937

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Avviso di seminario :: Karachanskaya@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 09 Jan '14

09 Jan '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Martedì 14 Gennaio, ore 10:30am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma ELENA KARACHANSKAYA (Pacific National University, Khabarovsk) terrà un seminario dal titolo THE INVARIANT METHOD IN THE THEORY OF STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPLICATIONS FOR THE CONTROL PROGRAM PROBLEMS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Pierpaolo Brutti --- Summary We consider two types of invariants (geometric and integral), which are connected with the theory of stochastic differential equations (SDEs). The geometric invariants are the fixed length of a random chain and the constant radius of a sphere, which is the surface for random walks (for example, in the case of a turning diffusion). The integral invariants are represented as integrals of kernel functions of integral invariants on the whole space. These kernel functions are solutions of SDEs, which were obtained and discussed. Furthermore, kernel functions will be used for deriving the first global stochastic integral, for constructing the program control (with probability one) for stochastic dynamical systems on deterministic manifold based on Brownian motion with Poisson jumps, and for obtaining the Kolmogorov equations.

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secondo annuncio: mini corso del Prof. Gentil a Pavia
by Carbone Raffaella 09 Jan '14

09 Jan '14

Cari colleghi, vi ricordiamo che il prof. Ivan Gentil (Université Lyon 1) terrà, presso il Dipartimento di Matematica dell'Università di Pavia, un mini-corso dal titolo The Bakry-Emery condition applied to the functional inequality and contraction in Wasserstein distance Abstract : During the lessons we would like to introduce the Bakry-Emery condition in the Euclidean space R^n and also in a Riemannian manifold. First we study the two classical examples: the Euclidean Heat semigroup and the Ornstein-Uhlenbeck semigroup. Then we define the general setting: a Markov semigroup associated to the Gamma and the Gamma-2 operators. Under the Bakry-Emery condition we obtain coercive inequalities which implies for instance functional inequality such as Poincaré or logarithmic-Sobolev inequalities. The last part of the course is devoted to the contraction in wasserstein distance under the Bakry-Emery condition. Orario (provvisorio): ore 11-13 nei giorni 14, 15, 17, 20, 22, 24 gennaio 2014.

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de Finetti Risk seminar - gennaio 2014
by Emanuela Rosazza Gianin 08 Jan '14

08 Jan '14

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture PREFERENCE TO DIVERSIFICATION: DIFFERENT BUT INTRICATE DIMENSIONS OF UNCERTAINTY AVERSION Samuel Drapeau ABSTRACT We study the preferences of agents for diversification and better outcomes when they are facing both, in Frank Knight's formulation, measurable as well as unmeasurable uncertainty. Following Anscombe and Aumann, such a situation can be modeled by preferences expressed on stochastic kernels, that is scenario dependent lotteries. By means of automatic continuity methods based on Banach-Dieudonné's Theorem on Fréchet spaces, we provide a robust representation. This gives us some insight into the nature of uncertainty aversion these preferences are expressing. We further investigate under which conditions these two intricate dimensions of uncertainty can be disentangle into a distributional uncertainty, in the direction of von Neumann and Morgenstern's theory, and a probability model uncertainty, in the spirit of risk measures. These results allow in particular to address both Allais as well as Elsberg's paradox. LOCATION: The seminar will be held on Wednesday, 15 January, at 18.00 at Aula di Rappresentanza, Department of Mathematics, Milano University, Via Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 - 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Reminder IWFOS 2014
by Aldo Goia 07 Jan '14

07 Jan '14

*Call for Papers - Reminder* *3rd International Workshop on* *Functional and Operatorial Statistics* Stresa (Italy) – June 19 – 21, 2014 Web-Site: http://iwfos2014.unipmn.it Apologies for cross-posting. Dear Colleagues, Dear Friends, We wish to remind the deadlines for submitting an extended abstract for the 3rd International Workshop on Functional and Operatorial Statistics. *January 15, 2014* Submission deadline. *March 31, 2014* Notification of Acceptance. *April 15, 2014 * Revised submission deadline. We welcome proposals addressing “infinite dimensional statistical problems or methods” with special emphasis on: · Statistical modelling for functional variables · Functional Data Analysis · Operator-based Statistics · Background for Statistics in Infinite-Dimensional spaces · High-Dimensional Statistics · Machine Learning *PROCEEDINGS* A book of proceedings (published with ISBN by Società Editrice Esculapio) will be given at each participant. *SPECIAL ISSUE* Best new advances on the prioritized areas of the meeting could be submitted to the Special Issue *Statistical models and methods for high or infinite dimensional spaces* on* Journal of Multivariate Analysis*. A full reviewing process according the standards of JMVA will be made. For further information visit: http://www.journals.elsevier.com/journal-of-multivariate-analysis/call-for-… *CONTACTS* Dipartimento di Studi per l’Economia e l’Impresa (Di.S.E.I.) Università del Piemonte Orientale Via Perrone, 18 – 28100 Novara (Italy) fax: +39 0321 375305 - e-mail: iwfos2014(a)unipmn.it web-site: http://iwfos2014.unipmn.it Thank you for your attention, Hoping see you in Stresa, Sincerely Yours, On behalf of the organizers, Aldo Goia Ernesto Salinelli Philippe Vieu ======================================================= IWFOS.2014 Secretary Dipartimento di Studi per l'Economia e l'Impresa Università del Piemonte Orientale Via Perrone, 18 - 28100 Novara (Italy) iwfos2014(a)unipmn.it

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GSSI Colloqium in Probability]
by davide gabrielli 07 Jan '14

07 Jan '14

---------- Forwarded message ---------- From: errico presutti <errico.presutti(a)gmail.com> Date: 2014/1/6 Subject: francis Comets *GSSI Colloquia in Probability* The series will start with a conference held by *Prof. F. Comets* (Paris VII) who will talk on: ``*An overview of directed polymers in random environment'*' on Thursday January 9 at 16.00 in the Aula Magna of GSSI (Gran Sasso Science Institute, L'Aquila) -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

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Seminario Prof.ssa Youngna Choi @ SNS Pisa
by Giacomo BORMETTI 07 Jan '14

07 Jan '14

Buongiorno a tutti, vi segnalo il seminario della Prof.ssa Youngna Choi della Montclair State University che si terrà a Pisa presso la Scuola Normale Superiore il prossimo 9 Gennaio alle ore 13:00 in Aula Bianchi. Seguono titolo e abstract. Titolo: Financial Instability Contagion: a Dynamical Systems Approach Abstract: We build a multi-agent dynamical system for the global economy to investigate and analyze financial crises. The agents are large aggregates of a subeconomy, and the global economy is a collection of subeconomies. We use well-known theories of dynamical systems to represent a financial crisis as propagation of a negative shock on wealth due the breakage of a financial equilibrium. We first extend the framework of the market instability indicator, an early warning signal defined for a single economy as the spectral radius of the Jacobian matrix of the wealth dynamical system. Then, we formulate a quantitative definition of instability contagion in terms thereof. Finally, we analyze the mechanism of instability contagion for both single and multiple economies. Our contribution is to provide a methodology to quantify and monitor the level of instability in sectors and stages of a structured global economic model and how it may propagate between its components. Tutti gli interessati sono cordialmente invitati.

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LEZIONE INAUGURALE XXIX CICLO DELLA FORMAZIONE DOTTORALE
by Julia Mortera 06 Jan '14

06 Jan '14

Dottorato in "Economia e Metodi Quantitativi" giovedì 9 gennaio 2014, ore 15.00-18.00 Sala delle lauree, Dipartimento di Economia, Università degli Studi Roma Tre Via Silvio D'Amico 77, 00145 Roma */LEZIONE INAUGURALE XXIX CICLO DELLA FORMAZIONE DOTTORALE/* ore 14.45: Caffè di benvenuto ore 15.00: Saluti e introduzione *Silvia Terzi*- Direttore Dipartimento di Economia *Julia Mortera*-- Dipartimento di Economia ore 15.30:Lezione inaugurale** *Søren Johansen *-- Professor of Econometrics, Department of Economics, University of Copenhagen /Cointegration in the vector autoregressive model/^ ore 16.30:Discussion ore 17:15:Coffee Break ore 17:30*Katarina Juselius *--Professor of Economics, Department of Economics, University of Copenhagen /Challenges for Macroeconomic Theory/ ore 18:00//Discussion *Abstracts* // /*Cointegration in the vector autoregressive model*/ An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. The results are illustrated by a few examples. A number of extensions of the theory are pointed out.// */Challenges for Macroeconomic Theory/* Standard macroeconomic models were not able to foresee our recent crisis nor have they been very useful for guiding us out of the subsequent long recession. Most of the economics profession has, therefore, acknowledged the need for a new research vision in macroeconomics and macrofinance. This talk discusses a number of challenges and argues that we need theoretical models that can capture the full dynamics of financial market behavior and its interrelatedness with the real economy as well as empirical models that can take such models to the data without compromising high scientific standards. How to combine these two goals is the subject of the talk. -- Prof.ssa Julia Mortera Dipartimento di Economia Università Roma Tre Via Silvio D'Amico 77 00145 Roma Tel: +39 06 57335732 Fax: +39 06 57335771 http://dipeco.uniroma3.it/docenti.asp?id=123# --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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