Random October 2014

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22 participants
35 discussions

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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Seminario BESKOS
by Matteo Ruggiero 31 Oct '14

31 Oct '14

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Venerdi' 7 Novembre 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Alexandros BESKOS (University College London) SMC SAMPLERS FOR APPLICATIONS IN HIGH DIMENSIONS Abstract: Sequential Monte Carlo (SMC) methods are nowadays routinely applied in a variety of complex applications: hidden Markov models, dynamical systems, target tracking, control problems, just to name a few. Whereas SMC methods have been greatly refined in the last decades and are now much better understood, they are still known to suffer from the curse of dimensionality: algorithms can sometimes break down exponentially fast with the dimension of the state space. As a consequence, practitioners in high-dimensional Data Assimilation applications in atmospheric sciences, oceanography and elsewhere will typically use 3D-Var or Kalman-filter-type approximations that will provide biased estimates in the presence of non-linear model dynamics. The talk will concentrate on a class of SMC algorithms and will look at ways to reduce the cost of the algorithms as a function of the dimension of the state space. Explicit asymptotic results will clarify the effect of the dimension at the properties of the algorithm and could provide a platform for algorithmic optimisation in high dimensions. Applications will be shown in the context of Data Assimilation, in a problem where the objective is to target the posterior distribution of the initial condition of the Navier-Stokes equation given a Gaussian prior and noisy observations at different instances and locations of the spatial field. The dimension of the signal is in theory infinite-dimensional - in practice 64x64 or more depending on the resolution – thus posing great challenges for the development and efficiency of SMC methods. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto http://sites.carloalberto.org/ruggiero

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seminario Carlo Acerbi in Bicocca
by fabio.bellini 31 Oct '14

31 Oct '14

Il giorno lunedì 3 novembre alle ore 17, presso la Sala del Consiglio della Scuola di Economia e Statistica della Università di Milano Bicocca, al IV piano dell'edificio U7, il dott. Carlo Acerbi, Executive Director a MSCI, presenterà un seminario su: Supply-Demand Symmetry Abstract How does the order book look like in a market where there's perfect balance between supply and demand? The question is less obvious than it sounds, and still awaits formalization. The problem admits a clear formalization based on analogies with change of numeraire techniques. We characterize and classify symmetrical models. Supply-Demand symmetry turns out to be something different from just bid-ask parity of the market cost functions, and the two concepts are shown to coincide only in very liquid regimes. Tutti gli interessati sono invitati a partecipare. Fabio Bellini

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CfP: ISIPTA '15, 20-24 July 2015, Pescara, Italy
by Serena Doria 30 Oct '14

30 Oct '14

*ISIPTA '15 CALL FOR PAPERS* 9th International Symposium on Imprecise Probability: Theories and Applications 20-24 July 2015 Pescara, Italy Website with up-to-date information on all aspects of the conference: http://www.sipta.org/isipta15 Scientific program contact: isipta15(a)easychair.org Local organization contact: isipta15(a)unich.it *Important Dates* 30 Jan - Paper abstracts & preliminary papers due 13 Feb - Review-ready papers due 31 Mar - Conference hotel pre-reservation deadline 08 Apr - Paper notification 17 Apr - Poster-only abstracts due 06 May - Poster-only notification 29 May - Early-bird registration deadline (?350 full; ?200 student) *Scope & Symposium Format* ISIPTA is the primary international forum to present and discuss new results related to imprecise probability. We welcome both theoretical and applied original contributions. In this edition, we especially welcome papers connecting imprecise probabilities with related research in fields such as economics, philosophy, sociology, and engineering. There will be no parallel sessions. Each paper that is accepted is presented both (i) in a plenary session, meant for a short introduction and a sketch of the context and relevance; and (ii) in a poster session, where ample time is given for in-depth explanation and discussion. The poster-only track provides a second, free format presentation option. It is also open for preliminary results, challenges, etc. *New: non-proceedings papers* To adapt to different publication cultures in different fields, we introduce a new option: the non-proceeding papers. Authors may request that their contribution is not published in the proceedings in case this precludes later publication of an expanded journal version. The PC will decide on a case-by-case basis. If accepted, a one-page abstract will be published in the proceedings, and the paper must be freely available on-line (e.g., as a working paper). *Already Confirmed Invited Speakers* Massimo Marinacci, AXA-Bocconi Chair in Risk Department of Decision Sciences, Bocconi University, Milan, Italy Itzhak Gilboa, Professor of Economics and Decision Sciences Eitan Berglas School of Economics, Tel-Aviv University, Israel & HEC, Paris, France *Special Issue* After the conference, a special issue with a selection of the accepted papers will be published in an expanded version in the International Journal of Approximate Reasoning. *Steering Committee* T. Augustin (LMU München, Germany) + PC Board G. de Cooman (Ghent University, Belgium) S. Doria (University G. d'Annunzio, Italy) + Local Organization E. Miranda (University of Oviedo, Spain) + PC Board E. Quaeghebeur (CWI, Amsterdam, Netherlands) + PC Board T. Seidenfeld (Carnegie Mellon University, USA) We look forward to your contribution and to seeing you in Pescara!

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Seminario Fabio Caccioli il 4 Novembre alla Scuola Normale Superiore di Pisa
by Fabrizio Lillo 29 Oct '14

29 Oct '14

Martedì 4 novembre 2014 ore 13.00 *Scuola Normale Superiore* Pisa Aula Bianchi (Scienze) *Fabio Caccioli* *University College London* Terrà un seminario dal titolo: *“**Instabilities in portfolio optimization and regularization**”* *Abstract:* *We consider the problem of portfolio selection in presence of market impact, and we show that including a term which accounts for finite liquidity in portfolio optimization naturally mitigates the instabilities that arise in the estimation of coherent risk measures. This is because taking into account the impact of trading in the market is mathematically equivalent to introducing a regularization on the risk measure. We show that the impact function determines which regularizer is to be used, and we characterize the typical behavior of the optimal portfolio in the limit of large portfolio sizes for the case of Expected Shortfall*. Per informazioni scrivere a fabrizio.lillo(a)sns.it -- ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore di Pisa, Dipartimento di Fisica, Universita' di Palermo & Santa Fe Institute, U.S.A. Piazza dei Cavalieri 7 56126 Pisa ITALY phone: +39 050509159

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SUMMER SCHOOL ON COPULAS: Pau, France, July 13-17, 2015
by Gianfausto Salvadori 28 Oct '14

28 Oct '14

Dear Colleagues, all interested people (especially PhD and Post-doc students) are invited to attend the following Summer School on Copulas. *** SCOPE *** The statistical modeling of natural events frequently involves the modeling of the joint distribution of several random phenomena. Copulas are mathematical objects that are particularly suitable for modeling the multivariate dependence between several continuous random variables, independently of their marginal distributions. This explains why they are more and more often used in hydrology and environmental sciences. With the development of powerful statistical software (such as the R statistical system), a multivariate analysis based on copulas appears increasingly feasible. This one-week short course will focus on the theory and statistical practice of copulas with applications to hydrological problems and related environmental issues. It will also contain an introduction to multivariate extreme-value theory from a copula perspective. Theoretical concepts will be illustrated through the analysis of real-world datasets using the R statistical system. *** VENUE *** Université de Pau et des Pays de l'Adour. Pau, France, July 13-17, 2015 *** WEB SITE *** http://lma-umr5142.univ-pau.fr/copula/ PLEASE CIRCULATE THIS MAIL TO ALL INTERESTED PEOPLE. THANKS. ____________________________________________________ Gianfausto SALVADORI ____________________________________________________ Università del Salento Dipartimento di Matematica e Fisica "E. De Giorgi" Provinciale Lecce-Arnesano, P.O.Box 193 I-73100 Lecce (Italy) ____________________________________________________ PHONE: +39-0832-29 7584. FAX: +39-0832-29 7594 ____________________________________________________ E-MAIL: gianfausto.salvadori(a)unisalento.it http://www.unisalento.it/people/gianfausto.salvadori ____________________________________________________

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METRON: Special Issue on "Latent Variable Models for the analysis of socio-economic data”
by Pierpaolo Brutti 27 Oct '14

27 Oct '14

================================================== METRON – Call for Papers for the Special Issue “Latent Variable Models for the analysis of socio-economic data” Guest Editors: Marco Alfó and Francesco Bartolucci ================================================== Latent variable (LV) models represent an important stream of the statistical literature with application in many fields, such as economics, medicine, psychology, and sociology, and are related to other important classes, such as that of finite mixture models. LV models are naturally applied whenever unobserved heterogeneity between sample units has to be taken into account, typically in a multilevel or longitudinal study, or the characteristic of interest (e.g. quality-of-life of patients suffering from a certain disease) is not directly observable. The special issue is intended to cover approaches based either on continuous or discrete latent variable models, with also particular interest in approaches that combine the use of continuous and discrete latent variables within the same model. The focus is on: - novel statistical approaches in terms of modelling formulations and/or estimation methods; - up-to-date case studies which address the application of such models to socio-economic data; - critical review papers with substantive insights on definition, estimation, and inference for the models of interest. We are enthusiastic of the opportunity offered by the special issue to disseminate LV models in the scientific community, not only among statisticians. Authors who are not sure whether their problems and ideas fall under the call for paper may preliminarily contact the Editors with an initial draft of the paper. All submitted papers under this call will undergo the standard review process of the journal. The deadline for the present call is November 30th, 2014. The special issue is handled through the website of the Journal; the editing and the review process will be handled by the Special Issue Editors Marco Alfó (Sapienza, University of Rome, email:marco.alfo@uniroma1.it) and Francesco Bartolucci (University of Perugia, IT, email: bart(a)stat.unipg.it). Please submit your manuscript at http://www.editorialmanager.com/tron/ ==================================================

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Fwd: [World] 10 PhD studentships in Statistical Applied Mathematics at the University of Bath
by Gustavo Posta 24 Oct '14

24 Oct '14

Begin forwarded message: > From: Andreas Kyprianou <a.kyprianou(a)bath.ac.uk> > Subject: [World] 10 PhD studentships in Statistical Applied Mathematics at the University of Bath > Date: 24 ottobre 2014 12:49:08 GMT+02:00 > To: world(a)alea-research.eu > > > 10 PhD studentships in Statistical Applied Mathematics at the University of Bath > > EPSRC Centre for Doctoral Training in Mathematical Sciences > > University of Bath > > SAMBa - Statistical Applied Mathematics at Bath > www.bath.ac.uk/samba > > The Department of Mathematical Sciences at the University of Bath has established an EPSRC Centre for Doctoral Training in Statistical Applied Mathematics (SAMBa). We shall be awarding 10 or more new, fully-funded, 4-year studentships, to start in September 2015. These are for exceptionally qualified students to complete PhDs at the interface between applied mathematics, statistics, and probability. > > The four-year funding includes full tuition fee at the home rate, a training support fee of £1,000/annum and standard tax-free maintenance of £13,863/annum (14/15 rate). Please note: only UK and EU students who satisfy research council funding rules are eligible for this funding (http://www.epsrc.ac.uk/skills/students/help/Pages/eligibility.aspx). > > SAMBa will have a cohort of students whose thesis topics range from industrially motivated problems to more abstract problems, using deterministic, probabilistic, statistical and computational mathematical tools. Students will take courses across this mathematical spectrum in the first year. > > The first year of the training involves courses and symposia tailored to the students’ individual learning programme together with thesis scoping seminars and 'Integrative Think Tanks'. These ITTs will be intensive week-long events held twice a year where students are faced with industrial and cross-disciplinary problems and are trained in synthesising relevant mathematical formulations for solving them. > > Each student will finalise a thesis proposal at the end of year 1, and will work on PhD research in years 2-4 under the mentoring of a principal supervisor and a co-supervisor. Successful completion of the first year of the programme will result in the student receiving an M.Res. degree. > > The SAMBa student cohort will be an important source of support, and, as part of the training programme, students will have access to a budget that will allow them to plan semester-long symposia and invite outside speakers. The programme will also support travel to conferences and workshops. > > Expressions of interest should be sent to the Centre Manager, Susie Douglas, via email: samba(a)bath.ac.uk and should include: > • A short statement (250 words) explaining your motivation for applying to SAMBa > • A 2-page CV which includes your academic and work experience and your nationality and country of normal residence (for the past 3 years, not including full time education) > • Scans of your academic transcript(s) > • Information on where you heard about SAMBa > > All applications will be reviewed rapidly and promising applicants will be invited to an interview at Bath. Further information is available on www.bath.ac.uk/samba. > > -- > **************************************************** > * Professor Andreas E. Kyprianou * > * Co-Director SAMBa Centre for Doctoral Training * > * Co-Director Prob-L@B * > * Department of Mathematical Sciences * > * University of Bath * > * Claverton Down * > * Bath BA2 7AY * > * URL: http://www.maths.bath.ac.uk/~ak257/ * > **************************************************** > > _______________________________________________ > World mailing list > World(a)alea-research.eu > http://alea-research.eu/cgi-bin/mailman/listinfo/world

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Fwd: [World] TU Graz: One Postdoctoral Position in Combinatorics
by Gustavo Posta 24 Oct '14

24 Oct '14

Begin forwarded message: > Resent-From: gustavo.posta(a)polimi.it > From: Mihyun Kang <kang(a)math.tugraz.at> > Subject: [World] TU Graz: One Postdoctoral Position in Combinatorics > Date: 24 ottobre 2014 09:49:39 GMT+02:00 > To: world(a)alea-research.eu > Reply-To: kang(a)math.tugraz.at > > ------------------------------------------------------------------------------ > TU Graz: One Postdoctoral Position in Combinatorics > ------------------------------------------------------------------------------ > > We are seeking outstanding candidates with expertise and proficiency in analytic and enumerative combinatorics, singularity analysis, saddle-point methods, cycle index sums, Boltzmann sampler, probabilistic and structural graph theory. > > The successful candidate will be employed as a Postdoctoral Researcher for one year with a possibility of extension for a further period of maximum two years within the Austrian Science Fund (FWF) Research Project on > > "Asymptotic Properties of Graphs on a Surface" > > at the Institute of Optimisation and Discrete Mathematics at Graz University of Technology (TU Graz), Austria, http://www.math.tugraz.at/mathb/. > > This is a research position and does not carry any teaching responsibilities. There is however a possibility to teach if one wishes to do so. The preferred starting date is 1 March 2015, but negotiable. > > The basic salary is specified in the FWF standard personnel costs and salaries https://www.fwf.ac.at/en/research-funding/personnel-costs/. There are extra salary payments, the so-called 13th- and 14th-month salaries which are favourably taxed. > > There are very active research groups working on Discrete Mathematics and Combinatorics at TU Graz. For example, TU Graz hosts a doctoral school "Discrete Mathematics" (funded by FWF) https://www.math.tugraz.at/discrete/. > > Further information about the mathematical institutes at TU Graz is available at https://www.math.tugraz.at/ > > Condition of employment: > - Qualified candidates must hold a PhD degree in mathematics or theoretical computer science before the time of appointment > > Application documents: > - Cover letter of application > - Curriculum vitae including the list of publications > - A short statement of research interests > - A list of full contact information of two references who can submit letters of recommendation > > All application documents with reference number P27290 (Kennzahl: P27290) should be electronically submitted in a PDF file by 15 December 2014 to Ms Sandra Wissler, sandra.wissler(a)tugraz.at. > > For further details concerning the content of the research project or to make an informal inquiry, please contact > > Mihyun Kang or Philipp Sprüssel > Graz University of Technology > Institute of Optimization and Discrete Mathematics (Math B) > Steyrergasse 30 > 8010 Graz, Austria > Email: kang(a)math.tugraz.at > spruessel(a)math.tugraz.at > _______________________________________________ > World mailing list > World(a)alea-research.eu > http://alea-research.eu/cgi-bin/mailman/listinfo/world

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Assegno di ricerca al Dip. di matematica di Pavia
by Regazzini Eugenio 22 Oct '14

22 Oct '14

In allegato, bando di concorso pubblico, per titoli, progetto e per colloquio, per il conferimento di un assegno di ricerca di tipo A presso il Dipartimento di Matematica "F. Casorati" dell'Università degli Studi di Pavia. Tematica: "Metodi probabilistici per lo studio di equazioni cinetiche: analisi delle condizioni sui dati iniziali per la convergenza delle soluzioni e applicazioni in campo economico-sociale"

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