Random October 2018

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Seminario di Probabilità - Padova
by Paolo Dai Pra 04 Oct '18

04 Oct '18

SEMINARIO DI CALCOLO DELLE PROBABILITA' Ho il piacere di invitarvi al seguente seminario, che si terrà Venerdì 12 Ottobre alle 11:30, nella Sala Riunioni del VII piano della Torre Archimede, in Via Trieste 63, Padova, LUISA ANDREIS (Weierstraß-Institut für Angewandte Analysis und Stochastik - WIAS) Titolo: A large-deviations approach to the multiplicative coagulation process Abstract: At least since the days of Smoluchovski, there is a desire to understand the behaviour of large particle systems that undergo chemical reactions of coagulation type. One of the phenomena that attracts much attention is the question for the existence of a phase transition of gelation type, i.e., the appearance of a particle of macroscopic size in the system. In this talk, we consider the (non-spatial) coagulating model (sometimes called the Marcus-Lushnikov model), starting with N particles with mass one each, where each two particles coagulate after independent exponentially distributed times that depend on a given coagulation kernel, function of the two masses. We focus on the case in which the corresponding coagulation kernel is multiplicative in the two masses, hence the process is identified as the multiplicative coagulation process. This case is of particular interest also for its strong relations with the time dependent Erdös-Rényi random graph. We work for fixed time t > 0 and derive, for the number N of initial particles going to infinity, a joint large-deviations principle for all relevant quantities in the system (microscopic, mesoscopic and macroscopic particle sizes) with an explicit rate function. We deduce laws of large numbers and in particular derive from that the well-known phase transition at time t = 1, the time at which a macroscopic particle (the so-called gel) appears, as well as the Smoluchovski characterisation of the statistics of the finite-sized particles. This is a joint work with Wolfgang König and Robert Patterson (WIAS). Paolo Dai Pra

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RTDA mat/06 presso il Dipartimento di Matematica, La Sapienza.
by Faggionato, Alessandra 04 Oct '18

04 Oct '18

Buongiorno è stato pubblicato sul sito web del Dipartimento e di Ateneo il seguente bando per ricercatore a tempo determinato di tipologia A https://web.uniroma1.it/trasparenza/sites/default/files/bando%20RTD_A%202_2… n. 2_2018 per il conferimento di n. 1 posto da ricercatore a tempo determinato Settore concorsuale 01/A3 SSD: MAT/06 scadenza: 1° novembre 2018 Vi prego di trasmetterne notizia ai possibili interessati Grazie per la collaborazione Saluti Alessandra -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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1year PostDoc position @ Scuola Normale Superiore
by Daniele Tantari 04 Oct '18

04 Oct '18

A call for a one-year postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is *“**Dynamic networks: measure, model and mitigate financial risks”* and it is funded by the Scuola Normale. The details of the call are at - ITA: *https://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma-di-ricerca-%E2%80%9Creti-dinamiche-il-rischio-finanziario-misure-e-modelli%E2%80%9D <https://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma-…>* - ENG: *https://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Cdynamic-networks-measure-model-and-mitigate-financial <https://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Cdy…>* The deadline is October 23. I would be grateful if you could forward this message to any potentially interested candidate. Thanks and all the best, Daniele Tantari

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Seminario di Alessandra Caraceni a Roma Tre il 17/10/18
by Pietro Caputo 03 Oct '18

03 Oct '18

Alessandra Caraceni (University of Bath, UK) Titolo: Polynomial mixing time for edge flips on quadrangulations. Mercoledi' 17 Ottobre 2018 ORE 16:00 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Largo San Leonardo Murialdo,1 - Pal.C - Aula 211 Abstract This talk will revolve around recent joint work with Alexandre Stauffer in which we give the first polynomial upper bound for the relaxation time of the edge flip Markov chain on rooted quadrangulations. A quadrangulation of size n is a connected planar graph endowed with a cellular embedding in the sphere such that all of its n faces have degree 4, considered up to orientation-preserving homeomorphisms of the sphere itself; we call it rooted when it is endowed with a distinguished oriented edge. Given a (rooted) quadrangulation of size n, a step of the Markov chain we are interested in a so-called “edge flip” consists in choosing an edge uniformly at random, deleting it and replacing it with one of the three possible edges (two when the original edge is adjacent to only one face) which, if drawn, recreate a quadrangulation. We will see how one can relate the edge flip chain on quadrangulations to a “leaf translation” chain on plane trees (which has a natural interpretation as a chain on the set of Dyck paths, and on other Catalan structures as well). Having discussed how to set up a successful comparison between the two chains which exploits the well-known bijection by Schaeffer and a specific construction of leaf translations as sequences of edge flips, we shall estimate the relaxation time of the leaf translation chain by improving on a result by Movassagh and Shor.

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4 PhD positions in Stochastics in Bochum and Essen (Germany)
by Hutzenthaler, Martin, Prof. Dr. 03 Oct '18

03 Oct '18

Dear Random, The Research Training Group High-Dimensional Phenomena in Probability - Fluctuations and Discontinuity (RTG 2131), funded by the Deutsche Forschungsgemeinschaft (DFG), invites applications for * 4 Ph.D. positions (salary scale TV-L E 13, 75%; including social benefits) for a three-year structured Ph.D. program. Start of the positions will be October 1st, 2018. The RTG is based at the faculties of mathematics at the three universities of Bochum<http://www.ruhr-uni-bochum.de/>, Dortmund<https://www.tu-dortmund.de/uni/Uni/index.html> and Duisburg/Essen<https://www.uni-due.de/>, Germany. Candidates should have obtained (or be about to obtain) a M.Sc. degree (or equivalent) in mathematics or closely related fields with excellent results, and intend to pursue graduate studies in mathematics within the research areas of the RTG. All graduate students will be expected to work towards a Ph.D. degree at one of the universities in Bochum<http://www.ruhr-uni-bochum.de/> and Duisburg/Essen<https://www.uni-due.de/>. No German language skills are required. The topics of the 4 projects are: * Probabilistic Networks * The separation of time-scales in the Buri-experiment * Applications of isomorphism theorems to continuous state Markov chains and their continuum limits * Strong convergence rates for stochastic partial differential equations For a description of the projects go to https://wiki.ruhr-uni-bochum.de/RTG2131/images/4/4b/Promotionsbeschreibunge… Applications should provide the usual documents: * letter of application * curriculum vitae * copies of certificates * Diploma/masters thesis and relevant publications if available * statement of purpose sketching the applicants' research interests The RTG particularly encourages the applications of female candidates. Disabled persons will be given preferential treatment in cases of otherwise equal qualification. Applications and inquiries should be addressed to: Prof. Dr. Peter Eichelsbacher<http://www.ruhr-uni-bochum.de/ffm/Lehrstuehle/stochastik/eichelsbacher.html>, Coordinator, GRK 2131 Faculty of Mathematics, Ruhr University of Bochum NA 3/66, Universitätsstraße 150, 44780 Bochum, Germany preferably via e-mail to peter.eichelsbacher(a)rub.de<mailto:peter.eichelsbacher@rub.de> DEADLINE: Applications are requested before august 19th 2018 Best wishes, Martin Hutzenthaler ————————————— Prof. Dr. Martin Hutzenthaler University of Duisburg Essen Thea-Leymann-Str. 9 45127 Essen, Germany Phone: +49 (0)201 183 6844 Fax: +49 (0)201 183 2381 martin.hutzenthaler(a)uni-due.de<mailto:martin.hutzenthaler@uni-due.de> https://www.uni-due.de/mathematik/ag_stochastische_analysis/

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Avviso di Seminario: Prof Leonenko
by Enrica Pirozzi 02 Oct '18

02 Oct '18

AVVISO di SEMINARIO Title: Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data. Prof. N.N. Leonenko School of Mathematics, Cardiff University, UK Abstract: Heavy tailed distributions are of considerable importance in modelling a wide range of phenomena in finance geology, hydrology, physics, queuing theory and telecommunication. We develop a new method for estimating unknown tail index for independent and dependent data. Our estimator is based on a variant of statistics sometimes called empirical structure function or partition function. Joint work with D. Grahovac (Osijek University, Croatia) and M. Taqqu (Boston University, USA). Il seminario si terrà il giorno 8 Ottobre 2018 ore 15:30 nella Aula C primo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Seminario K. Colaneri - Università di Milano-Bicocca
by elena bandini 02 Oct '18

02 Oct '18

Annuncio di Seminario Speaker: Katia Colaneri (University of Leeds) Titolo: Indifference pricing of life insurance contracts in a market with longevity bounds via BSDEs under partial informations. Giovedì' 04 Ottobre 2018, ore 12:00 Dipartimento di Matematica e Applicazioni Università di Milano-Bicocca Via Cozzi 55, Milano - edificio U5 - Aula 3014 Abstract: We investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. We consider a financial market, where investments in a riskless asset, a risky asset and a longevity bond are allowed. Our modelling framework that takes into account mutual dependence between the financial and the insurance markets via an observable stochastic process, which affects the risky asset and the mortality index dynamics. Computing indifference price amounts to solve a stochastic control problem. Under partial information this methodology requires filtering techniques that can reduce the original control problem to an equivalent problem in complete information. We characterize the value function as well as the indifference price in terms of the solution to a quadratic-exponential backward stochastic differential equation. Tutti gli interessati sono invitati a partecipare. Cordialmente, Elena Bandini

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de Finetti Risk Seminar - October 2018
by Emanuela Rosazza 01 Oct '18

01 Oct '18

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture (Boundary) regularity for solutions of the Plateau problem Guido De Philippis Scuola Internazionale Superiore di Studi Avanzati Abstract: Plateau problem consists in finding the surface of minima area spanning a given boundary. Since the beginning of the 50’s the study of this problem led to the development of fundamental tools in Geometric Analysis and in the Calculus of Variations. Aim of the talk is to give an overview of the problem and of the techniques used to solve it. In the end I will also present some recent results concerning boundary regularity. LOCATION: The seminar will be held on Wednesday, October 3, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) 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. 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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