Random October 2019

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31 participants
46 discussions

PhD position in TU Eindhoven
by Chiarini Alberto 21 Oct '19

21 Oct '19

Call for applications for a PhD position in TU Eindhoven (Netherlands) Applications are invited for a PhD position at TU Eindhoven (TU/e), under the supervision of Alberto Chiarini, who will be based at TU/e from January 2020 onwards. Chiarini's appointment at Eindhoven is part of a larger collaboration between the Analysis and Stochastics groups of the Department of Mathematics and Computer Science, and the PhD student will benefit from being embedded in both groups. The subject of the PhD project will be decided together with the student, and will be chosen from a range of topics on the interface between probability theory and analysis, including Gaussian free fields, particle systems, large deviations, and partial differential equations. Ideally, applicants have a sound training in probability theory (including stochastic processes and stochastic differential equations), analysis (including partial differential equations and functional analysis), and measure theory. Students with deficiencies in one of these areas but who are strong in others are nonetheless urged to apply. PhD positions at TU/e are salaried, fixed-term, four-year positions; the salary increases during the four years from approximately 30.000 to 50.000 euros, before tax. In addition, TU/e offers a wide range of secondary benefits. More information can be found by contacting Alberto Chiarini at chiarini(a)math.ucla.edu Applicants are encouraged to send their applications as early as possible; the position will be filled as soon as a suitable candidate is found. Personal webpage: https://www.math.ucla.edu/~chiarini/ Regards, UCLA Mathematics Department MS 6617F 520 Portola Plaza 90095 Los Angeles California, USA

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seminar announcement
by Marco Scarsini 18 Oct '19

18 Oct '19

Panayotis Mertikopoulos, CNRS Grenoble No-Regret Learning in Games Luiss Viale Romania, 32 Room 403 Friday 25 October, h 12:00 ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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seminar announcement
by Marco Scarsini 18 Oct '19

18 Oct '19

Michele Salvi, Université Paris Diderot Scale-Free Percolation as a Model for the Cattle Trading Network in France Luiss Viale Romania, 32 Room 207, Thursday 24 October, h 12:00 ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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First annoucement Energy Finance Italia EFI5: Rome, Februrary 10 - 11, 2020
by Tiziano Vargiolu 18 Oct '19

18 Oct '19

Dear All, we are glad to announce the fifth edition of the Energy Finance Italia Workshop - EFI5, which will be held in Rome, University of Roma Tre, next February 10-11, 2020. We will shortly be publishing the CfP with details on the website of the EFI Association http://energyfinanceitalia.unicam.it/ There you will find the information about the EFI Association and the previous editions of the workshop. Best regards Loretta Mastroeni Tiziano Vargiolu

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Seminar Cadonna @Bocconi
by Giacomo Zanella 18 Oct '19

18 Oct '19

We announce the following DEC Statistics seminar: Thursday, October 24 12:30 Meeting room 3-e4-sr03, Bocconi University, Via Roentgen 1, 3rd floor Annalisa Cadonna (Wirtschaftsuniversität Wien) Title: Hierarchical shrinkage in time-varying parameter models through the Triple Gamma prior Abstract: Time varying parameter (TVP) models are widely used in time series analysis, because of their flexibility and ability to capture gradual changes in the evolution dynamics of the model variables. The popularity of TVP state-space models in macroeconomics and finance is based on the evidence that, in most applications, the influence of certain predictors on the outcome variables varies over time. The risk of overfitting in TVP models is a well know issue, which increases with the dimension of the problem at hand, as only a small subset of the predictors might actually have a dynamic influence on the output variables. Hence, in the last decade, there has been a growing need for models and methods able to discriminate between time varying and static parameters in TVP models or, in other words, perform variance selection. We propose a new global local shrinkage prior for shrinkage of variances in TVP models, referred to as the Triple Gamma prior. The Triple Gamma prior extends to variance selection the Normal-Gamma-Gamma prior introduced in Griffin and Brown (2017) in the context of highly structured regression models. The Triple Gamma prior accommodates, as special or limit cases, the Bayesian Lasso, the Double Gamma prior, and the popular Horseshoe prior. Interesting properties of the triple gamma prior are outlined and an efficient Markov Chain Monte Carlo algorithm is developed. An extended simulation study is conducted and the proposed modeling approach is applied to real data, both in a univariate and a multivariate framework. The predictive performance of different shrinkage priors is compared in terms of log predictive density scores. Kind regards, Giacomo Zanella The DEC statistics seminars schedule is available at http://www.unibocconi.eu/statseminar Please note: if you are a guest and you do not have a Bocconi ID Card to access to the Bocconi Buildings, please communicate your participation by sending an email to arianna.colombo(a)unibocconi.it

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MAF 2020 - 9th International Conference MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE
by Marco Corazza 18 Oct '19

18 Oct '19

*SECOND CALL FOR CONTRIBUTIONS* *MAF 2020 - 9th International Conference MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE* *April 15-17, 2020 - Geneve (CH)* *https://www.unige.ch/maf2020/ <https://www.unige.ch/maf2020/>* * The Steering Committee is delighted to announce the 9th International Conference *MAF 2020*. * *MAF 2020* promotes interaction between *mathematicians* and *statisticians* in *actuarial sciences* and *finance*. * *MAF 2020* is open to *academicians* and to *professionals*, to encourage cooperation. * *MAF 2020* covers a *wide variety of subjects* in actuarial science and financial fields. * *MAF 2020* will be held at the *Université de Genève*, in *April 15-17*, *2020*. * *We invite submission of original contributions*. * *Important dates*: - Submission of 1-page abstracts: by November 22nd, 2019. - Notification of 1-page abstract acceptance: by December 13th, 2019. - Organized session proposals: by October 25th, 2019. - Notification of organized session acceptance: by November 8th, 2019. - Submission of short papers (facultative): by December 13th, 2019. - Notification of short paper acceptance: by December 30th, 2019. - Early bird registration: by December 20th, 2019. *The accepted short papers, at least 4 pages and at most 6 pages, will be included in a Springer Volume. * *Keynote speakers* - *Michael O'Neill*, Centre for Business Analytics, University College Dublin; - *Jaap Spronk*, Erasmus School of Economics (NEH) & Rotterdam School of Management - *Howell Tong*, London School of Economics and Political Science Apologies for cross-posting. The warmest regards, Marco CORAZZA | Ca'Foscari University of Venice (I) [Behalf of the Steering Committee] Manfred GILLI | University of Geneve (CH) Cira PERNA | University of Salerno (I) Claudio PIZZI | Ca'Foscari University of Venice (I) Marilena SIBILLO | University of Salerno (I) -- Nota automatica aggiunta dal sistema di posta.

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postdoc opportunity in Bern
by Fabio Bellini 16 Oct '19

16 Oct '19

A postdoc search from Johanna Ziegel (University of Bern): The Institute of Mathematical Statistics and Actuarial Sciences invites applications for the following position opening February 1, 2020. POSTDOC (80-100%) Oeschger Centre, University of Bern Compound weather and climate events refer to multiple climate events that potentially cause large societal impacts. The analysis and prediction of compound events pose substantial challenges from a statistical perspective. The prospective PostDoc will work at the interface of the development of statistical methods and their application to current topics of high interest in climate and weather applications. Potential topics include the evaluation of predictions for (joint) extreme events, the evaluation of multivariate or spatial predictions, and the calibration (or ``bias-correction'') of multivariate predictions. The PostDoc will be a part of the group of Prof. Dr. Johanna F. Ziegel (Institute of Mathematical Statistics and Actuarial Science). Close collaboration is planned with the group of Dr. Jakob Zscheischler (Physics Institute), and with the group of Prof. Dr. Olivia Romppainen-Martius (Institute of Geography). The position is ideally suited for a young researcher in statistics to become an expert in statistics for climate science and weather applications. Profile of the candidate The successful candidate holds a PhD in Statistics and has a strong interest in climate and weather applications, or he/she holds a PhD in Climate Science with a solid background in statistics. She/he has excellent programming and data handling skills, and a keen interest in interdisciplinary research. The candidate is proficient in English, both written and spoken. Details - Type of appointment: Full time or part time (80-100%) fixed term appointment for 2 years with the possibility of a 1 year extension after a positive evaluation. - Starting date: February 1, 2020 or upon agreement - Employment conditions and remuneration in accordance with the standards of the University of Bern, Switzerland. For further information please contact Prof. Dr. Johanna F. Ziegel ( johanna.ziegel(a)stat.unibe.ch). Applications All applications received before January 1, 2020 will be reviewed, and further applications will be considered until the position is filled. Please send your application documents including a CV, a motivation letter, and contact information for 3 references by e-mail to office(a)stat.unibe.ch. Homepage http://www.oeschger.unibe.ch/ http://www.stat.unibe.ch

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Spring School COMPLEX NETWORKS: THEORY, METHODS, AND APPLICATIONS (6th edition)
by Irene Crimaldi 16 Oct '19

16 Oct '19

Spring School COMPLEX NETWORKS: THEORY, METHODS, AND APPLICATIONS (6th edition) Lake Como School of Advanced Studies Villa del Grumello, Como, Italy, 18-21 May 2020 https://ntmf.lakecomoschool.org/ *** DEADLINE FOR APPLICATION: February 23, 2020 *** Many real systems can be modeled as networks, where the elements of the system are nodes and interactions between elements are edges. An even larger set of systems can be modeled using dynamical processes on networks, which are in turn affected by the dynamics. Networks thus represent the backbone of many complex systems, and their theoretical and computational analysis makes it possible to gain insights into numerous applications. Networks permeate almost every conceivable discipline---including sociology, transportation, economics and finance, biology, and myriad others---and the study of "network science" has thus become a crucial component of modern scientific education. The school "Complex Networks: Theory, Methods, and Applications" offers a succinct education in network science. It is open to all aspiring scholars in any area of science or engineering who wish to study networks of any kind (whether theoretical or applied), and it is especially addressed to doctoral students and young postdoctoral scholars. The aim of the school is to deepen into both theoretical developments and applications in targeted fields. LECTURERS --- REKA ALBERT, Pennsylvania State University --- GUIDO CALDARELLI, IMT Lucca --- MARTON KARSAI, Central European University --- JOSE FERNANDO MENDES, University of Aveiro --- NATASA PRZULJ, Barcelona Supercomputing Center ORGANIZING COMMITTEE STEFANO BATTISTON, University of Zurich --- GINESTRA BIANCONI, Queen Mary University of London --- VITTORIA COLIZZA, INSERM and Sorbonne Université, Paris --- JAMES GLEESON, University of Limerick --- PETTER HOLME, Tokio Institute of Technology --- YAMIR MORENO, University of Zaragoza --- CARLO PICCARDI, Politecnico di Milano --- MASON A. PORTER, UCLA PROGRAM Monday, 18 May, morning - Introduction to Complex Networks (Mendes) Monday, 18 May, afternoon - Statistical Physics of Networks (Caldarelli) Tuesday, 19 May, morning - Critical Phenomena in Networks (Mendes) Tuesday, 19 May, afternoon - short talks by students Wednesday, 20 May, morning - Computational Human Dynamics (Karsai) Wednesday, 20 May, afternoon - Analyzing the structure of biological networks (Albert) Thursday, 21 May, morning - Biological Networks (II) (Przulj) Thursday, 21 May, afternoon - Analyzing the dynamics and attractors of biological networks (Albert) For more information and application: https://ntmf.lakecomoschool.org/ Sponsored by SICC - Italian Society for Chaos and Complexity http://www.sicc-it.org -------------------------------------------- SICC - Societa' Italiana Caos e Complessita' e-mail info(a)sicc-it.org Web http://www.sicc-it.org -------------------------------------------- Click here <http://www.sicc-it.org/lists/lt.php?id=Lk4AGgNTHwsDVA0E> to opt-out from all future mailings. [image: powered by phpList 3.2.7, © phpList ltd] <http://www.sicc-it.org/lists/lt.php?id=Lk4DGgNTHwsDVA0E>

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Colloquium di Lorenzo Zambotti a Milano-Bicocca (lunedì 28 ottobre)
by Francesco Caravenna 15 Oct '19

15 Oct '19

Ho il piacere di annunciare il seguente Colloquium del Dipartimento di Matematica e Applicazioni, Università di Milano-Bicocca, congiuntamente con il Seminario Matematico e Fisico di Milano. Il giorno lunedì 28 ottobre 2019, alle ore 16:00, Lorenzo Zambotti (Sorbonne Université, Paris) terrà un colloquium dal titolo "Regularity structures: from physics to probability, from analysis to algebra, from combinatorics to geometry" Il seminario si terrà nell'aula 3014 (edificio U5, terzo piano, via Cozzi 55, Milano) e sarà seguito da un rinfresco. Segue l'abstract. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%%%%%%%%%%%% Abstract: In this talk I wish to present some of the ideas at the heart of the theory of regularity structures (RS), introduced by Martin Hairer in 2014. RS are perhaps best described as a theory of Taylor expansions in a fractal (random) setting. I plan to show how this theory is based on a fascinating interplay between several different disciplines, as announced by my title. %%%%%%%%%%%%%%%%%%%%%%%%%%%% _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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Workshop “Half day in Stochastic Analysis and applications”
by Paolo Dai Pra 15 Oct '19

15 Oct '19

Dear Colleagues, it is with pleasure that we announce the *workshop* *** Half day in Stochastic Analysis and applications *** WHEN: Wednesday 30 October 2019, starting at 10:30 WHERE: Aula 1C150, Torre Archimede, via Trieste 61, Padova *** SCHEDULE: *** 10.30: Therry Lyons (Oxford) 11.05: Franco Flandoli (SNS Pisa) 11.40: Francesco Caravenna (Milano Bicocca) 12.15: Franco Rampazzo (Padova) Please find more details below and the poster in attachment. Looking forward to your participation, Fabio Ancona, Paolo Dai Pra, Franco Rampazzo ---------------------------------------------------------------- *** Half day in Stochastic Analysis and applications *** Wed. 30 Oct. 2019, Aula 1C150 Maths Department, Padova ---------------- *** Special Guest: THERRY LYONS (Oxford) *** *** Opening the workshop at 10:30*** ---------------- *** Speaker: FRANCO FLANDOLI (SNS Pisa)*** *** Seminar at 11:05*** *** Title: Effect of transport noise on PDEs *** *** Abstract *** Linear PDEs of transport type are regularized by the addition of an extra transport term of stochastic type; this is a phenomenon discovered around 2010 and consolidated by different techniques and on different examples. However, the effect on nonlinear PDEs is much less clear. Two results for point vortex solutions and point charge solutions of 2D Euler equations and 1D Vlasov-Poisson equations respectively, indicate that a rich noise has to be considered, opposite to the linear case where a simple space-independent noise suffices to regularize. Some confirmations that such rich noise may have regularizing properties on nonlinear models came for Leray alpha model and dyadic models of turbulence. We now have new insight in the case of 2D Euler equations and 3D Navier-Stokes equations, that will be explained in the talk. The results mentioned above, the classical and the new ones, have been obtained by several authors including Gubinelli, Priola, Barbato, Galeati, Luo and myself. ---------------- *** Speaker: FRANCESCO CARAVENNA (Milano Bicocca) *** *** Seminar at 11:40 *** *** Title: On the two-dimensional KPZ equation *** *** Abstract: *** We consider the Kardar-Parisi-Zhang (KPZ) equation in two space dimensions, driven by space-time white noise. This is a singular PDE which lacks a solution theory, so it is standard to consider a regularized version of the equation and then to investigate the behavior of the solution when the regularization is removed. We first show that the regularized solution undergoes a phase transition, as the noise strength is varied on a logarithmic scale. Then, in the sub-critical regime, we prove convergence (after centering and rescaling) to an explicit well-posed random PDE, the additive Stochastic Heat Equation, with a non-trivial constant on the noise. Based on joint works with Rongfeng Sun and Nikos Zygouras. ---------------- *** Speaker: FRANCO RAMPAZZO (Padova) *** *** Seminar at 12:15 *** *** Title: Limit solutions for control-affine nonlinear systems of ode's *** *** Abstract: *** The aim of this talk, which is fully devoted to deterministic input-output systems, is to present the extremely weak notion of 'limit solution', that might be (or might be not) of interest also for whom is more interested in Stochastic Analysis. For a nonlinear (deterministic) control system with a given initial condition and with a dynamics which is affine in the control variable, a 'limit solution' verifies the following properties: i) it is pointwise defined for an input which is (formally) the derivative of a Lebesgue integrable function; ii) in the commutative case (i.e. when all Lie brackets of the involved vector field vanish identically) the limit solution coincides with the solution one can obtain via a (existing) change of coordinates which makes all vector fields constant; iii) the notion of limit solution subsumes former concepts of solution valid for the generic, non-commutative case. In particular, when the control is the derivative of a bounded variation path, a quite clear relation is established between limit solutions and so-called 'graph completion' solutions. Paolo Dai Pra Dipartimento di Informatica Università degli Studi di Verona Strada Le Grazie 15, 37134 Verona, Italy Tel. +390458027093

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