Salve,
ricevo ed inoltro p.c..
Cordialmente,
m.gianfelice
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Michele Gianfelice, PhD
Dipartimento di Matematica e Informatica
Università della Calabria Telephone : +39 0984 496412
Campus di Arcavacata Fax : +39 0984 496410
Ponte P. Bucci - cubo 30B email: gianfelice(a)mat.unical.it
I-87036 Arcavacata di Rende (CS) www.mat.unical.it/~gianfelice/
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---------- Forwarded message ----------
Date: Thu, 23 Sep 2021 20:43:34 +0200
From: One World Probability <ow.probability(a)gmail.com>
To: owps(a)lists.bath.ac.uk
Subject: [owps] OWPS,
October 7th: P. Diaconis and L. Miclo on "THE random graph"
Dear probabilists,
We are pleased to inform you that the OWPS will resume on October 7th, from 14:00 to 15:45 UTC.
Persi Diaconis and Laurent Miclo will talk about THE random graph and random walk on it. Titles, abstracts and the Zoom
link are below the signature, and can be found on the website
https://www.owprobability.org/one-world-probability-seminar.
We also inform you that, in accordance with the wishes expressed in the pooling, sessions will take place every other
week (i.e. ~2 per month). Each session will consist of two talks of 45 minutes each. These two talks will be
thematically unified.
Please feel free to circulate this email.
Probabilistically yours,
Bastien Mallein and Sébastien Martineau
--------
Persi Diaconis -- Probability theory for THE random graph
Pick two Erdös-Renyi (n,1/2) graphs uniformly at random. What's the chance they are the same (isomorphic)? Small. How
small? Well, at most n!/ 2^(n choose 2). When n= 100, that's less than 10^-1300. OK, now let n=infinity. The chance that
the two graphs are isomorphic is one (!). This is THE random graph (the Rado graph R). I will review its many non-random
models and many strange properties. ? It is a natural limit of the set of all finite graphs (a first order property is
true for almost all finite graphs if and only if it holds with probability one in R) and this discontinuity is
surprising.
In joint work with with Sourav Chatterjee we tried to find finite manifestations: For finite n, the largest isomorphic
induced subgraph of a pair has size 4log (n) -2loglog(n)-2log(4/e) +1 (within 1, all logs base 2 in probability when n
is large). This matches data amazingly well (e.g. for n more than 30) and illuminates problems in constraint
satisfaction.
Laurent Mico -- A random walk on THE random graph R
Let q(j) be a probability on N={0,1,2,...}. Let R be a model of THE random graph. A Markov chain on N starts at i and
moves to one of its neighbor j in R with probability proportional to q(j). This Markov chain has a stationary
distribution and we inquire about rates of convergence. Since each vertex is connected to half of the others and the
diameter of R is 2, it seems likely that convergence is fast. In some models we show that log* (i) steps are necessary
and sufficient for convergence. The proof uses a novel variant of Hardy's inequalities for trees. This is joint work
with Sourav Chatterjee and Persi Diaconis.
Zoom-link: https://us02web.zoom.us/j/81721277245?pwd=VjhadGFZcTVZamsvRkhZUExVbHAyZz09
Meeting ID 817 2127 7245
Passcode: 759491
If you are having trouble with zoom, or if the capacity of the zoom room gets exceeded, you can also access to the
Youtube live stream at the channel of the seminar: https://www.youtube.com/channel/UCiLiEQGTp6bZEhuHDM-WNWQ
Care colleghe e cari colleghi,
nell'ambito del programma "Fractional Differential Equations" (
https://www.newton.ac.uk/event/fde2/) che si terrà all'Isaac Newton
Institute a Cambridge, organizzo una settimana di studi su
"Deterministic and stochastic fractional differential equations and jump
processes" (https://www.newton.ac.uk/event/fd2w01/) insieme a Jozsef
Lorinczi e Vassili Kolokoltsov.
L'evento avrà luogo tra il 21 febbraio e il 25 febbraio 2022 (ed è ora
possibile registrarsi fino al 21 novembre 2021) e si terrà in
modalità ibrida (online e con persone presenti, se possibile). La
partecipazione online è gratuita. Per i dettagli potete consultare il sito
seguente:
https://www.newton.ac.uk/event/fd2w01/
Cordiali saluti,
Enrico Scalas
Dear colleagues,
we are happy to announce the following online talk:
Speaker: Hakima Bessaih (Florida International University)
Title: Numerical schemes for the 2d Stochastic Navier-Stokes equations.
Abstract: We consider a time discretization scheme of Euler type for the 2d stochastic Navier-Stokes equations on the torus.
We prove a mean square rate of convergence. This refines previous results established with a rate of convergence in probability only.
Using exponential moment estimates of the solution of the Navier-Stokes equations and a convergence of a localized scheme, we can prove strong convergence of fully implicit and semi-implicit time Euler discretization and also a splitting scheme. The speed of convergence depends on the diffusion coefficient and the viscosity parameter.
When the noise is additive, we are able to get strong convergence without localization.
Date and time: Monday September 27, 17:30-18:30 (Rome time zone)
Zoom link: https://us02web.zoom.us/j/5772228296
This is a talk of the (PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale. For more information see the dedicated webpage:
https://paviamilanoseminars.wordpress.com/<http://paviamilanoseminars.wordpress.com/>
Participation is free and welcome! (though limited to 100 participants for technical reasons).
Best regards
The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella)
Dear all,
Prof. Jim Gatheral is visiting the Department of Mathematics in Bologna for the next two months. On September 29 and October 13 he will deliver two seminars in presence in Bologna in Aula Cremona, main building of the Math Department. You are all kindly invited. It will be possible to follow the seminars online via Zoom too (please find below the links to connect).
Sincerely,
Giacomo Bormetti and Fabrizio Lillo
29-Sep-2021 16:00 (CET time) Aula Cremona, Department of Mathematics
or Zoom https://unibo.zoom.us/j/99763851456?pwd=YzVBMTNxUXpRWngrNExaRWtMRjRkdz09
Title: Diamond trees and the forest expansion
Abstract: I will present a “broken exponential martingale” G-expansion that generalizes and unifies our earlier exponentiation result (Alòs, Gatheral, and Radoičić) and the cumulant recursion formula of Lacoin, Rhodes, and Vargas. As one application, I show how to compute all terms in an expansion of the Lévy area. By reordering the trees in the G-expansion according to the number of leaves, our earlier exponentiation theorem can be recovered. As further applications, I will give model-free expressions for various quantities of interest under stochastic volatility. Finally, I will exhibit explicit computations of diamond trees under rough Heston.
13-Oct-2021 16:00 (CET time) Aula Cremona, Department of Mathematics
or Zoom https://unibo.zoom.us/j/91206042957?pwd=d21ybkJQTEtkZHRWd25RLzJOQWV0QT09
Title: Pricing in affine forward variance models
Abstract: The class of affine forward variance (AFV) models was defined in Gatheral and Keller-Ressel (2019); this class includes both the conventional Heston model and its celebrated extension, the rough Heston model of El Euch and Rosenbaum. The AFV characteristic function may be expressed in terms of the solution of a Volterra integral equation. I will present a rational approximation to the solution of this integral equation in the special case of the rough Heston model. Until now, simulation of AFV models using the Markovian approximation of Abi Jaber and El Euch has proved relatively complicated and time-consuming, I will present a new efficient and easy-to-implement method for simulating AFV models for general kernels. I will present numerical results using the rational approximation as a benchmark.
Dear all,
On *September 30 at 17:00, Giulia Di Nunno* (University of Oslo) will give
a virtual seminar “in Insubria & Bicocca”, to which you are all invited.
You can find the title and abstract below.
Title: Infinite dimensional Heston model and sensitivity analysis
Abstract:
We consider the infinite dimensional Heston stochastic volatility model for
the price of a forward contract on a non-storable commodity. We give a
representation formula for the forward price and then we consider options
written on this. We analyse the sensitivity of the option price to the
different parameters in the model with the aim at providing representation
formulae for the so-called Greeks. However, being the parameter infinite
dimensional, we need to reinterpret the meaning of the Greeks. In our work
we use infinite dimensional Malliavin/Skorokhod calculus and a
randomisation technique. The presentation is based on joint work with Fred
Espen Benth and Iben Simonsen.
The seminar will be on *Zoom*. You can find the information to join below.
Speaker: Giulia Di Nunno (Univ. Oslo)
Topic:
Time: September 30, 2021 05:00 PM Rome
Where: Zoom
Link:
https://us02web.zoom.us/j/86037568156?pwd=cHhvdmdiWUpVYXFjMEo2RWZxM09Rdz09
ID riunione: 860 3756 8156
Passcode: 086446
After the talk, you are all invited to remain in the meeting for an
informal aperitif and chat.
Please forward to anyone interested.
Kind regards,
Elisa Mastrogiacomo and Emanuela Rosazza Gianin
******************************************
Emanuela Rosazza Gianin
Department of Statistics and quantitative methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi, 8
20126 Milano - Italy
Phone (0039) 02 64483208
e-mail: emanuela.rosazza1(a)unimib.it
******************************************
Scusandomi per il breve preavviso inoltro il link relativo al bando in oggetto.
>
> https://web.uniroma1.it/trasparenza/sites/default/files/DR%202267_2021%20de… <https://web.uniroma1.it/trasparenza/sites/default/files/DR%202267_2021%20de…>
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Gustavo Posta
Dipartimento di Matematica
Università di Roma "la Sapienza"
P.le A. Moro 2, 00185 Roma
Italy
web: http://www1.mat.uniroma1.it/~posta
e-mail: gustavo.posta(a)uniroma1.it
phone: +39-06-4991-4969
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The information contained
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--
Fai crescere i nostri giovani ricercatori
dona il 5 per mille alla
Sapienza
*codice fiscale 80209930587*
Dear Colleague,
we are writing for informing you that the *10th Conference on Mathematical
and Statistical Methods for Actuarial Sciences and Finance - MAF2022* will
take place at the University of Salerno (Italy), on April, 20-22, 2022, in
a blended form.
The main aim of the Conference is to present new theoretical and
methodological results and significant applications in Insurance and
Finance by means of the capabilities of the interdisciplinary
mathematical-statistical approach.
The web site of the Conference is
*https://sites.google.com/unisa.it/maf2022/home-page
<https://sites.google.com/unisa.it/maf2022/home-page>*.
The Steering Committee of the Conference would appreciate very much if you
could collaborate in the success of the conference by participating in some
activities such as the organization of sessions and/or the presentation of
contributions (also through a co-author).
We hope to meet you at the conference.
Best regards,
Marco Corazza - Ca' Foscari University of Venice (Italy)
Cira Perna - University of Salerno (Italy)
Claudio Pizzi - Ca' Foscari University of Venice (Italy)
Marilena Sibillo - University of Salerno (Italy)
--
Marco Corazza, Ph.D.
Department of Economics - Ca' Foscari University of Venice
San Giobbe, Cannaregio 873 - 30121 Venezia, Italy
Mobile: (+39) 366 602-9134
Phone: (+39) 041 234-6921
Fax: (+39) 041 234-7444
E-mail: corazza(a)unive.it
Editor-in-Chief: Mathematical Methods in Economics and Finance -
www.unive.it/m2ef
dear all,
we cordially invite you to submit a manuscript to the following special
issue
Special Issue: Methods and Applications for Anomaly Detection
Journal of Computational Mathematics and Data Science (Elsevier)
https://www.journals.elsevier.com/journal-of-computational-mathematics-and-…
Submission Deadline: 31 July 2022
Manuscripts can be submitted continuously until the deadline. Once a
paper is submitted, the review process will start immediately.
Accepted papers will be published continuously in the journal. There
are no publication fees until March 2022.
*********
This Special Issue is focused on recent advances in Anomaly Detection
(AD). AD is an important problem in many applications and it consists
of establishing whether a given data deviates from nominal shape or
form. The AD problem depends on the nature of input data (points,
sequences, functions, graphs, images, objects of different nature), on
the type of anomaly (point anomalies, contextual or behavioral
anomalies or their combination), on the availability of labeled data
for training/validation of the AD techniques (leading to unsupervised
AD and supervised AD), and on the type of output of the AD (scores or
label). Some of the topics of interest include (but are not limited
to):
Classification techniques
Robust regression
Robust PCA
Robust signal processing
Robust image processing
Clustering techniques
Information theory techniques
Artificial Intelligence
AD Application to any field
*********
Manuscript submission information:
Guest Editors:
Annalisa Pascarella (IAC-CNR, Italy)
Daniela De Canditiis (IAC-CNR, Italy)
The submission website for this journal is located at:
https://www.editorialmanager.com/jcmds/default.aspx
To ensure that all manuscripts are correctly identified for inclusion
into the special issue, it is important that authors
select VSI: Anomaly Detection (Special Issue) when they reach the
“Article Type” step in the submission process.
We look forward to hearing from you.
All the best,
Annalisa Pascarella
Daniela De Canditiis
--
Daniela De Canditiis, PhD
Istituto per le Applicazioni del Calcolo "M.Picone" (CNR)
via dei Taurini, 19 -- 00185 Roma, Italy
tel: +39 06 49937342
fax: +39 06 4404306
http://www.iac.rm.cnr.it/~danielad/
Buongiorno
sotto trovate le informazioni sul seminario di Lorenzo dello Schiavo a
Roma 1.
Grazie dell'attenzione
Saluti
Alessandra
Quando: Martedì 21 Settembre 2021, ore 10.30
Dove: Sala di Consiglio, Dipartimento di Matematica, Università La Sapienza
Speaker: Lorenzo Dello Schiavo (IST Austria)
Title: *Conformally invariant random fields, quantum Liouville measures,
and random Paneitz operators on Riemannian manifolds of even dimension*
Abstract: On large classes of closed even-dimensional Riemannian manifolds
M, we construct and study the *Copolyharmonic Gaussian Field*, i.e. a
conformally invariant log-correlated Gaussian field of distributions on M.
This random field is defined as the unique centered Gaussian field with
covariance kernel given as the resolvent kernel of
Graham—Jenne—Mason—Sparling (GJMS) operators of maximal order. The
corresponding Gaussian Multiplicative Chaos is a generalization to the
2m-dimensional case of the celebrated Liouville Quantum Gravity measure in
dimension two. We study the associated Liouville Brownian motion and random
GJMS operator, the higher-dimensional analogues of the 2d Liouville
Brownian Motion and of the random Laplacian. Finally, we study the
Polyakov–Liouville on the space of distributions on M induced by the
copolyharmonic Gaussian field, providing explicit conditions for its
finiteness and computing the conformal anomaly.
(arXiv:2105.13925 <https://arxiv.org/abs/2105.13925>, joint work with Ronan
Herry, Eva Kopfer, Karl-Theodor Sturm)
*************************************************
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
*************************************************
Dear All,
It is with great pleasure that we announce the September-December schedule
of the
“One World Optimal Stopping and Related Topics” seminars (online).
Detailed information and instructions for registration are available at
https://sites.google.com/view/optimalstopping/home
Please register again, even if you had already registered in the past
academic year.
Our first speaker on Wednesday 22 September at 5pm (London time) is:
Damien Lamberton, Université Gustave Eiffel
Title of the talk: On the American put in the Heston model
Best wishes
Tiziano De Angelis, Roxana Dumitrescu, Yerkin Kitapbayev, Mikhail Zhitlukhin