Random March 2019

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Seminario di Elena Bandini a Bologna
by Alberto Lanconelli 05 Mar '19

05 Mar '19

Statistics Seminars 2019 Martedì 12 marzo 2019 ore 16 Aula seminari, Dipartimento di Scienze Statistiche, I piano "BSDEs driven by a general random measure and optimal control for piecewise deterministic Markov processes" Dott.ssa Elena Bandini, Università degli Studi di Milano-Bicocca Abstract: We consider an optimal control problem for piecewise deterministic Markov processes (PDMP) on a bounded state space. Here a pair of controls acts continuously on the deterministic flow and on the transition measure describing the jump dynamics of the process. For this class of control problems, the value function can be characterized as the unique viscosity solution to the corresponding integro-differential Hamilton-Jacobi-Bellman equation with a non-local type boundary condition. We are able to provide a probabilistic representation for the value function in terms of a suitable backward stochastic differential equation, known as nonlinear Feynman-Kac formula. The jump mechanism from the boundary entails the presence of predictable jumps in the PDMP dynamics, so that the associated BSDE turns out to be driven by a random measure with predictable jumps. Existence and uniqueness results for such a class of equations are non-trivial and are related to recent works on well-posedness for BSDEs driven by non quasi-left-continuous random measures" Tutti gli interessati sono invitati a partecipare Alberto Lanconelli Dipartimento di Scienze Statistiche "Paolo Fortunati" Alma Mater Studiorum - Università di Bologna

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Funded PhD opportunities in Ireland
by Eberhard.Mayerhofer 04 Mar '19

04 Mar '19

Dear Colleagues, dear Students, a PhD training initiative of the Universities Limerick, Maynooth and University College Dublin accepts applications for intake in fall 2019. This is "data science" from a mathematical modeller's point of view, and with industry involvement. Please read more about the training initiative and the application process on www.data-science.ie Supervisors are typically chosen by the end of year 1, but if you are interested to write a PhD thesis in Stochastic Analysis or Financial Mathematics, you are invited to give a preference in your cover letter. Dipl.-Ing. Dr. Eberhard Mayerhofer, Privatdozent Senior Lecturer in Financial Mathematics University of Limerick

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Research Fellowship in Econometrics in memory of Carlo Giannini
by Monica Billio 03 Mar '19

03 Mar '19

Ca’ Foscari University of Venice, Associazione Carlo Giannini, Centro Interuniversitario di Econometria (CIdE), Unicredit Foundation and Bank of Italy award a Research Fellowship in Econometrics in memory of Carlo Giannini. The Fellowship is aimed to young researchers of all nationalities who wish to undertake advanced research in econometrics in an Italian university. The competition is based on candidates curriculum, research papers and publications and a research project. The deadline for application will be March 31, 2019. The award committee will reach a decision by April 30, 2019. The Fellowship will start on October 1, 2019 and will entitle the winner to the payment of a yearly sum of Euro 46,000, exempt of Italian taxes and social security contribution. The duration of the Fellowship will be two years. A summary of the call may be found here (https://www.unicreditfoundation.org/en/proposals/CarloGianniniFellowship.ht…), while the official call may be found here (https://www.unive.it/data/28824/). -- -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mail billio(a)unive.it http://www.unive.it/persone/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 http://scholar.google.it/citations?user=ll83_twAAAAJ&hl=en CREDIT 2019 http://www.greta.it/credit/credit2018/credit2019.htm

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