May 2022 - Random - Mailing list — Dipartimento di Matematica, UniPI

Reminder: call for paper - special issue on Applied Stochastic Models in Business and Industry
by Roy Cerqueti 16 May '22

16 May '22

Dear Colleague, apologies for cross-posting. As Guest Editors for the journal "Applied Stochastic Models in Business and Industry" we would like to remind you that the call-for-paper for the Special Issue on PROBABILISTIC AND STATISTICAL METHODS IN COMMODITY RISK MANAGEMENT is currently open. Feel free to circulate this message to your contacts. We look forward to your submissions. Many thanks for your attention. Yours sincerely, Fabio Antonelli, Roy Cerqueti, Alessandro Ramponi, Sergio Scarlatti

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PhD position in dependence modeling and copulas at TU Eindhoven (NL)
by Elisa Perrone 16 May '22

16 May '22

Dear colleagues, The Statistics group at TU Eindhoven (NL) has a vacancy for a Ph.D. position. We are looking for a motivated candidate with a solid theoretical background in Probability/Statistics to join our group and conduct research in the area of dependence modeling and copulas under my supervision. The starting date is flexible, but, ideally, we would like to fill the position by September 1st. Job description and how to apply: https://jobs.tue.nl/en/vacancy/phd-position-in-the-area-of-dependence-model… <https://jobs.tue.nl/en/vacancy/phd-position-in-the-area-of-dependence-model…> Please forward this email to any potential candidate, and reach out to me at e.perrone(a)tue.nl <mailto:e.perrone@tue.nl> for further information on the position. Thanks, and best wishes, Elisa --- Elisa Perrone, Ph.D. Assistant Professor Department of Mathematics and Computer Science Eindhoven University of Technology <>elisaperrone.info <http://elisaperrone.info/>

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Seminars in Pisa: L. Andreis and G. Carigi
by Francesco Grotto 16 May '22

16 May '22

Dear Colleagues, we would like to invite you to the following seminars by Luisa Andreis (Università di Firenze) and Giulia Carigi (University of Reading) to be held Wednesday, May 18th, at Dipartimento di Matematica in Pisa and online via Google Meets. The organizers, A. Agazzi and F. Grotto -------------------------------------------- Location: Sala Seminari, Dipartimento di Matematica, Pisa Google Meet Link: https://meet.google.com/gji-phwo-vbg Time: May 18th, 2022, 14:00-15:00 CET Speaker: Luisa Andreis (UniFi) Title:Large deviations for coagulation processes: an approach via graphs Abstract: Interacting particle systems where particles interact via coagulation are of great interest for their various behaviours. In particular, interesting phenomena can occur, depending on the structure of the kernel which is giving a rate to each coagulation. Among these phenomena there is the famous phase transition that goes under the name of gelation, i.e. the appearance of one (or multiple) giant particle(s). Although fluid limits are known for the rescaled version of stochastic coagulation processes (convergence to the Smoluchowski coagulation equation and its modification), very few is known about large deviations and rare events in this framework. In this talk we will explore some connections of these processes with random graphs and how to use this connection to attack the problem of studying large deviations. This also allows a comparison with the phase transition in graphs, where a giant component appears. Some remarks about the possible generalization to coagulation kernels that depend on spatial position will be given. This is based on ongoing joint works with Wolfgang K ̈onig (WIAS and TU Berlin), Tejas Iyer (WIAS), Heide Langhammer (WIAS), Elena Magnanini (WIAS) and Robert Patterson (WIAS). Time: May 18th, 2022, 15:00-16:00 CET Speaker: Giulia Carigi (University of Reading) Title: Ergodic properties for a stochastic two-layer model of geophysical fluid dynamics Abstract: A two-layer quasi-geostrophic model for geophysical flows is studied, with the upper layer being perturbed by additive noise. This model is popular in the geosciences, for instance to study the effects of a stochastic wind forcing on the ocean. A rigorous mathematical analysis however meets with the challenge that the noise configuration is spatially degenerate as the stochastic forcing acts only on the top layer. Exponential convergence of solutions laws is established, implying a spectral gap of the associated Markov semigroup on a space of Hölder continuous functions. Moreover, response theory with respect to changes in the average wind forcing is established. Specifically, it is shown that the averages of a class of observables against the invariant measure are differentiable (linear response) and locally Hölder continuous (fractional response) as functions of a deterministic additive forcing. In doing so, a framework suitable to establish (linear and fractional) response for a class of nonlinear stochastic partial differential equations is provided.

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International Conference in Venice - CALL FOR PAPERS - BLANK
by Monica Billio 14 May '22

14 May '22

21st INTERNATIONAL CONFERENCE CREDIT 2022 *Long Run Risks * Venice, Italy 22 –23 September 2022 * * *GRETA Associati* (Venice, Italy), *CRIF* (Bologna, Italy), *European Datawarehouse* (Frankfurt, Germany), *European Investment Bank* (Luxembourg), *European Investment Fund* (Luxembourg) and*Intesa Sanpaolo* (Milan, Italy) are partners in organising a Conference to be held in Venice on September 22-23, 2022. The Conference CREDIT 2022 will bring together academics, practitioners and PhD students working in various areas of financial and credit risk with the aim to create a unique opportunity for participants to discuss research progress and policy and industry-relevant insights as well as directions for future research. CREDIT 2022 is the *twenty-first* in a series of events dedicated to various aspects of credit risk and organised under the auspices of the*Department of Economics *and *VERA - Venice centre in Economic and Risk Analytics for public policies* - of the *Ca’ Foscari University of Venice, ABI - Italian Banking Association, AIAF - Associazione Italiana per l'Analisi Finanziaria*, and *AIFIRM - Associazione Italiana Financial Industry Risk Managers*. The theme of this year’s conference brings the attention on long run risks, whose notion is multifaceted, but whose impact is becoming more and more evident and is receiving attention both at political and regulatory level. The organizers encourage submissions on any topic within the overall theme of the conference and in the following areas in particular: • Long Run Risks: Modelling; Backtesting and Validation; ESG Risks for significantly wider time horizons with respect to the most traditional financial risks (Market, Credit, etc.) • Long Run Investments and Portfolios: Illiquidity premium in the short vs the long run; Investment risk in real assets: Focus on Real Estate risk; Investment policies for Insurance and Pension Funds; Private vs Public Markets in long run portfolios, the role of Private Equity and the contribution to Venture Capital; Fintech for Sustainability • Long Run Business Strategies: Sustainability Plans; Restructuring of Production Processes; Mitigation of Climate Physical and Transition Risks • Long Run Climate Policies: New regulatory actions to reduce emissions of air pollutants and greenhouse gases; New financial regulations to promote the Low-Carbon Transition at public and private level • Socio-economic Stability in the Long Run: Inflation dynamics; Impact of transition costs from an economic and social point of view; New measures to manage migrations due to Climate Change • Long Run Market Information and Disclosure: International Financial Reporting Standards; International Accounting Standards; Long Run Financial Regulation (Banks, Insurers, Funds) The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Robert Engle* (Stern Business School, New York University), *Marcin Kacperczyk *(Imperial College London) and*Lucrezia Reichlin* (London Business School). The Conference will also feature panel discussions on researchers', practitioners' and policy makers’ views of the major issues at stake The SCIENTIFIC COMMITTEE for the Conference consists of: *• Stefano Giglio* (Yale School of Management, Programme Chair)* • Monica Billio* (Ca’ Foscari University of Venice & GRETA)* • Francesca Campolongo* (Joint Research Center, European Commission)* • Helmut Kraemer-Eis* (European Investment Fund)* • Jan Pieter Krahnen* (Leibniz Institute for Financial Research SAFE & Goethe University, Frankfurt)* • Elisa Luciano* (University of Torino & Collegio Carlo Alberto)* • Irene Monasterolo* (EDHEC and EDHEC-Risk Climate Impact Institute (ERCII))* • Steven Ongena* (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR)* • Stephen Schaefer* (London Business School)* • Claudio Tebaldi* (Bocconi University)* * CALL FOR PAPERS Those wishing to present a paper at the Conference should submit by *May 31, 2022 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *June 30, 2022*. The final version of accepted papers must be received by August 31, 2022. Please send papers to: GRETA Associati, San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - e-mail: credit(a)greta.it More detailed information available on the Conference website: https://www.greta.it/index.php/it/credit-2022

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Seminar in Statistics - LARRY GOLDSTEIN
by Pierpaolo De Blasi 13 May '22

13 May '22

SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.carloalberto.org/events/category/seminars/seminars-in-statistic…> Mercoledi 18 Maggio 2022, alle ore 12.00, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Speaker: *Larry Goldstein* (University of Southern California) Title: *Relaxing Gaussian assumptions in high dimensional statistical procedures* Abstract: The assumption that high dimensional data is Gaussian is pervasive in many statistical procedures, due not only to its tail decay, but also to the level of analytic tractability this special distribution provides. We explore the relaxation of the Gaussian assumption in Single Index models and Shrinkage estimation using two tools that originate in Stein’s method: Stein kernels, and the zero bias transform. Taking this approach leads to measures of discrepancy from the Gaussian that arise naturally from the nature of the procedures considered, and result in performance bounds in contexts not restricted to the Gaussian. The resulting bounds are tight in the sense that they include an additional term that reﬂects the cost of deviation from the Gaussian, and vanish for the Gaussian, thus recovering this particular special case. Joint work with: Xiaohan Wei, Max Fathi, Gesine Reinert, and Adrien Samaurd ------------------------------------------------ In ottemperanza alle norme anti Covid, per partecipare in presenza è necessario prenotarsi tramite il seguente form online: https://forms.gle/1t3aC3D1Q6Pr9J5y8 Sarà possibile seguire il seminario anche in streaming: Join Zoom Meeting <https://us02web.zoom.us/j/83134413513?pwd=ZjZ3TkJub0VZYm0wR213OXR0SmhnUT09> Meeting ID: 831 3441 3513 Passcode: 653689 Il seminario è organizzato dalla "de Castro" Statistics Initiative www.carloalberto.org/stats -- Pierpaolo De Blasi University of Torino & Collegio Carlo Alberto carloalberto.org/pdeblasi <https://sites.google.com/a/carloalberto.org/pdeblasi/>

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Fwd: probability opening
by Faggionato, Alessandra 13 May '22

13 May '22

Ricevo ed inoltro. Saluti Alessandra ---------- Forwarded message --------- From: Christian Maes <christian.maes(a)kuleuven.be> Date: Mon, 9 May 2022 at 10:04 Subject: probability opening To: Christian Maes <christian.maes(a)kuleuven.be> Dear Colleagues i hope this finds you well. Here is an announcement for a job vacancy <https://www.kuleuven.be/personeel/jobsite/jobs/60115431?hl=en&lang=en> at the KU Leuven, *Research professor in Mathematical Analysis, Probability Theory and Random Matrices * https://www.kuleuven.be/personeel/jobsite/jobs/60115431?hl=en&lang=en I would much appreciate you consider forwarding it to interested people, especially to mathematicians who like to be inspired by physics as well. thanks, chr -- ************************************************* 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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Lecturer\Senior Lecturer and PhD positions at Imperial College
by Passeggeri, Riccardo 13 May '22

13 May '22

Dear all, my name is Riccardo Passeggeri and I am a Lecturer (Assistant Professor) in the Department of Mathematics at Imperial College London. There is an open position for Lecturer/Senior Lecturer in Statistics (broadly defined), see the post for details https://www.imperial.ac.uk/jobs/description/NAT01133/lecturersenior-lecture… Moreover, there is an open PhD position in my group, see my website for details https://sites.google.com/site/riccardopasseggeri If you have any questions, please do not hesitate to contact me. Thank you. Best Regards, Riccardo

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Seminario di Michele Aleandri alla Sapienza
by Faggionato, Alessandra 12 May '22

12 May '22

Buongiorno sotto l'annuncio del seminario di Michele Aleandri alla Sapienza. Grazie Saluti Alessandra %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Mercoledì 18 Maggio, ore 16, Sala di Consiglio, Sapienza Università di Roma SPEAKER: Michele Aleandri (Sapienza Università di Roma) TITOLO: Opinion dynamics: conformist and nonconformist interacting agents ABSTRACT: We study two models of binary decisions in a connected network of interacting agents. Individual decisions are determined by social influence, coming from direct interactions with neighbours, and a group level pressure that accounts for social environment. We study the convergence of the mean field variables associated to the processes as the number of agents goes to infinity and we show that propagation of chaos occurs. In the first model, [2], we have a family of conformist or nonconformist agents that interact with each other. When the number of agents is large but fixed, we study the amount of time spent by the mean field variables associated with the process around the stable points of the macroscopic dynamics. In a nonconformist environment, there is a persistent disordered phase where no majority is formed: We show how in this case the introduction of a delay mechanism in the agent’s detection of the global average choice may drastically change this scenario, giving rise to a coordinated self sustained periodic behavior. In the second model, [1], the population is divided into two social groups, each one characterized by its attitude with respect to the other. Agents of the same group interact with each other, while the other group exerts on them a social influence, that may also be null or even negative. We focus in particular on models with Lotka-Volterra type interactions, i.e., models with conformist vs. nonconformist groups. For these models, although the microscopic system is driven a.s. to consensus within each group, a periodic behaviour arises in the macroscopic scale. In order to describe fluctuations between the limiting periodic orbits, we identify a slow variable in the microscopic system and, through an averaging principle, we find a diffusion which describes the macroscopic dynamics of such variable on a larger time scale. [1] Aleandri, M., Minelli, I.G. Opinion dynamics with Lotka-Volterra type of interactions. Electronic Journal of Probability, 24(2019), no.122, 1-31. [2] Aleandri, M., Minelli, I.G. Delay-Induced Periodic Behaviour in Competitive Populations. Journal of Statistical Physics (2021) 186:6 -- ************************************************* 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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Seminar by Luca Sitzia (UniCredit) in Padova
by Giorgia Callegaro 11 May '22

11 May '22

Dear all, we are happy to announce the following seminar of the cycle "Probability and Finance Seminars" of the Mathematics Department in Padova, which will be given in presence (Torre Archimede, Padova, see below) and online (Via Zoom, see below): * *Speaker*: Luca Sitzia (UniCredit) * *Title*: *A neural network approach for the estimation of mortgage prepayment rates * * *Where: *sala riunioni 701 Torre Archimede, Padova ** When*: 27th May 2022, 4.30 pm. For more details and to get the Zoom link please visit the webpage: https://www.math.unipd.it/~bianchi/seminari/ Hope to see you there, best, Giorgia Callegaro, Marco Formentin and Alessandra Bianchi -- Giorgia Callegaro Associate Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Fwd: Workshop "Junior Female Researchers in Probability", Berlin, Oct 5-7
by Luisa Andreis 11 May '22

11 May '22

Care colleghe e cari colleghi, Vi inoltro l’annuncio per del workshop "Junior Female Researchers in Probability", che si terrà a Berlino ad ottobre e vi prego di diffonderlo con chiunque crediate possa essere interessata. Cordiali saluti, Luisa Andreis —————————————————— Dear colleagues, we would like to draw your attention to the fourth workshop for "Junior female researchers in probability”, 5-7 October 2022. The aim of this workshop is to promote young female researchers by giving them an opportunity to present their own work, build a network and hear distinguished mathematicians who can inspire them to pursue a fulfilling career in probability. Keynote speakers: Sylvie Méléard (École Polytechnique) Silke Rolles (TU Munich) Invited speakers: Alessandra Bianchi (Padova) Lisa Hartung (Mainz) Alexandra Neamtu (Konstanz) Kim Weston (Rutgers) The workshop is planned as an in-person event in Berlin. We warmly invite those who identify as female to submit abstracts for contributed talks, and apply for financial support for traveling to Berlin in case we can have a hybrid event. However, please be aware that being unable to travel should not restrain from submitting an abstract. There are special travel grants for female master students interested in gaining some insight into research and getting in touch with researchers. Of course everybody is very welcome to participate, but presentations and financial support are reserved for female participants. Deadline for submission of abstracts and funding requests: June 30, 2021. Please pass this information on to interested master students, PhD students and postdocs as well as your colleagues! More details can be found on our website: https://www.google.com/url?q=https://www.wias-berlin.de/workshops/JFRP22/&s… <https://www.google.com/url?q=https://www.wias-berlin.de/workshops/JFRP22/&s…> Best regards, Peter Bank, Dörte Kreher, Laura Körber, Helena Kremp, Alexandra Quitmann, Isabell Vorkastner, Weile Weng, and Maite Wilke-Berenguer

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Seminario Martin Friesen, domani ore 16:00
by Michele Coghi 11 May '22

11 May '22

Cari colleghi, vi annunciamo il prossimo talk nel ciclo "Trento Probability Seminars" *Asymptotics of stochastic Volterra equations* *Luogo:* l'evento si terrà in presenza in Aula Seminari "-1" a Povo0 e per via telematica attraverso collegamento alla piattaforma Zoom. Per partecipare sarà necessario collegarsi al link seguente ed inserire i codici di accesso (da condividere solo con contatti fidati): https://unitn.zoom.us/j/86014416487 Meeting ID: 860 1441 6487 Passcode: 809071 *Data:* Giovedì 12 maggio *Ore:* 16:00 *Relatore:* - *Martin Friesen* (Dublin City University) *Abstract: *In this talk, we review recent results on the long-time behavior, that is limiting distributions and stationary processes, for stochastic Volterra equations in finite and infinite dimensions. These include the Volterra Ornstein-Uhlenbeck process, affine processes, and Volterra stochastic partial differential equations. Saluti, Michele

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Deadline approaching: A day on random graphs
by mic sal 11 May '22

11 May '22

Dear all, this is to remind you that the deadline for the (free but compulsory) registration to the workshop "A day on Random Graphs" is on the 15th of May. Should you miss the deadline, you can write to salvi(a)mat.uniroma2.it to check if there is still place available. The workshop will take place at Università di Tor Vergata on the 30th of May (see poster in attachment) and is part of the Excellence Program Math@TOV. The invited speakers are Luca Avena (Leiden University) Afonso Bandeira (ETH Zürich) Luca Becchetti (La Sapienza) Julia Komjathy (TU Delft) Luca Trevisan (Bocconi) For more information see http://www.mat.uniroma2.it/~rds/graphs.php . The organizers, Andrea Clementi, Domenico Marinucci, Michele Salvi, Stefano Vigogna

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Seminar in Pisa: Darrick Lee
by Francesco Grotto 10 May '22

10 May '22

Dear Colleagues, we would like to invite you to the following seminar by Darrick Lee (EPFL) to be held tomorrow (May 10th) at Dipartimento di Matematica in Pisa and online via Google Meets. The organizers, A. Agazzi and F. Grotto -------------------------------------------- Location: Sala Seminari, Dipartimento di Matematica, Pisa Google Meet Link: https://meet.google.com/gji-phwo-vbg Time: May 10th, 2022, 14:00-15:00 CET Speaker: Darrick Lee (EPFL) Title: Mapping Space Signatures Abstract: The path signature is a foundational tool in the theory of rough paths. In this talk, we introduce the mapping space signature, a generalization of the path signature to maps from higher dimensional cubical domains, which is motivated by the topological perspective of K. T. Chen. We show that the mapping space signature shares many of the analytic and algebraic properties of the path signature; in particular it is universal and characteristic with respect to a certain equivalence relation on cubical maps. This is joint work with Chad Giusti, Vidit Nanda, and Harald Oberhauser.

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Workshop on Chemical Reaction Networks at Politecnico
by Daniele Cappelletti 09 May '22

09 May '22

Dear all, As announced in a previous email, Politecnico di Torino is organizing the second edition of the *Workshop on Chemical Reaction Networks*, 6-8 July, 2022, Torino, Italy. We are writing to inform you that *the deadline for* *the registration is extended to May 22nd*. You can find more info on the topics covered and on the logistics of the workshop at https://areeweb.polito.it/disma-excellence/events_2022/CRNs_workshop <https://areeweb.polito.it/disma-excellence/events_2022/CRNs_workshop/index.…> Sorry for cross-posting and please forward this info to all potentially interested people you may know, especially to the youngest. With kindest regards, the organizers Daniele Cappelletti Enrico Bibbona Paola Siri

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Seminar by M. Burzoni in Verona (hybrid)
by Alessandro Gnoatto 09 May '22

09 May '22

Matteo Burzoni (University of Milan) will give a talk at the Department of Economics – University of Verona. Date: 11/05/2022 @ 12:00 (Rome Time) Title: On adjusted risk measures Abstract: We introduce different ways of adjusting classical risk measures in different contexts. We mainly discuss the properties of a new class of convex risk measures that robustifies Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The key element is a benchmark risk profile g which allows, at the same time, to tailor the risk assessment to the specific application of interest. The resulting risk measure is intimately connected with second-order stochastic dominance. A second way of adjusting and robustifying risk measures is presented in a systemic risk framework which is not based on any probabilistic assumption. If you would like to attend via Zoom, please register at the following link, we will send you the login details: https://docs.google.com/forms/d/e/1FAIpQLSeE2_EoaT3z70C7nUzokfeg5PTb5dyDXxZ… <https://docs.google.com/forms/d/e/1FAIpQLSeE2_EoaT3z70C7nUzokfeg5PTb5dyDXxZ…> -- Alessandro Gnoatto Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com E-mail: alessandro.gnoatto(a)univr.it -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

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PhD position and professor position
by Enrico Priola 06 May '22

06 May '22

Segnalo un messaggio di Markus Riedle (King's College London) Cari saluti Enrico Priola %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Dear Enrico, I'm writing you to let you know that I am currently looking for a new PhD student. It is a joint position with TU Dresden in Germany: https://www.verw.tu-dresden.de/StellAus/download.asp?file=05-2022\Behme_WIM… If you know a good candidate for this position, please encourage them to apply. On the other side of the career spectrum, our department is currently hiring a professor in probability theory. If you know somebody appropriate, please forward the advert or ask them to get in contact with me for any further questions: https://jobs.kcl.ac.uk/gb/en/job/044648/Professor-Reader-in-Probability Many thanks, Markus %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% -- Enrico Priola Dipartimento di Matematica, Università di Pavia Via Adolfo Ferrata 5, 27100 Pavia tel +39 0382 985639

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Summer School Causal Inference - Trento, 11-15 July 2022
by Claudio Agostinelli 06 May '22

06 May '22

Registration is open for a summer school in *Causal inference* at the university of Trento this 11-15 July! More info at: http://datascience.maths.unitn.it/events/ci2022/ Deadline for registration: 15 June Hope to see you there! Veronica and Claudio

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Seminario di Probabilità - Roma La Sapienza
by Faggionato, Alessandra 05 May '22

05 May '22

Buongiorno, il Prof. Sebastian Andres terrà un seminario in Sala di Consiglio al Dipartimento di Matematica dell' Università La Sapienza , Lunedì 9 Maggio alle ore 16:00 (sotto i dettagli). Grazie dell'attenzione Saluti Alessandra %%%%%%%%%%%%%%%%%%%%%%%%%% Time: Monday 9 May 2022, at 16:00 Rome: Sala di Consiglio, Department of Mathematics, Sapienza University of Rome Speaker: Sebastian Andres (Manchester University) Title: First passage percolation with long-range correlations Abstract: In this talk we consider first passage percolation (FPP) with passage times generated by a general class of models with long-range correlations, including discrete Gaussian free fields as a prominent example. We will discuss conditions under which the associated time constant is positive and the FPP distance is comparable to the Euclidean distance. We will also present two applications to random conductance models (RCM) with possibly unbounded and strongly correlated conductances, namely a Gaussian heat kernel upper bound for RCMs with a general class of speed measures, and an exponential decay estimate for the Green function of RCMs with random killing measures. This talk is based on a joined work with Alexis Prévost (Cambridge). -- ************************************************* 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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seminario G.Ascione - Sapienza 11 maggio
by Luisa Beghin 05 May '22

05 May '22

Buongiorno, vorrei segnalare il seguente seminario: *Mercoledì 11 maggio 2022* Ore 14:30, Aula 34 (quarto piano), Dipartimento di Scienze Statistiche, Sapienza Università di Roma e online al seguente link meet.google.com/dwz-gvib-uoj *Titolo:* A sojourn-based approach to discrete-time semi-Markov decision processes *Speaker*: Giacomo Ascione (Scuola Superiore Meridionale) *Abstract:* Up to now, there is an extensive literature on stepped continuous-time semi-Markov decision processes. Such models generalize the classical continuous-time Markov chain decision processes by allowing for different distributions of interevent times. However, in such models, the decision is always taken in a change of state, so that it influences a priori the distribution of the inter-event times. For such a reason, these models do not allow for decision depending on intermediate observations of the system. In this talk we address the problem of intermediate observations by modelling the system as a finite horizon discrete-time semi-Markov process, thus assuming discrete observations of the system, and allowing possible decisions at each time step. To do this, we first provide an alternative characterization of discrete-time semi-Markov processes in terms of a bivariate Markov chain, involving both the state and the sojourn time of the process. Once this is done, one can use the dynamic programming principle to exploit optimal policies for the discrete-time semi-Markov decision process by resorting to the bivariate Markov formulation. With this approach we are able to exhibit the Bellman’s equation for both the value and the quality function. The latter is then used to develop a model-free reinforcement learning algorithm based on Watkins and Dayan’s Qlearning algorithm, together with a first naive attempt towards a deep reinforcement learning one. Two exploratory toy examples are provided. This is based on a joint work with Salvatore Cuomo from Università degli Studi di Napoli Federico II. Cordiali saluti. Luisa *************************************************************** Luisa Beghin Dipartimento di Scienze Statistiche Fac. Ingegneria dell'Informazione, Informatica e Statistica "SAPIENZA" Università di Roma Piazzale Aldo Moro 5, 00185 Roma T (+39) 06 49910543 F (+39) 06 4959241 https://sites.google.com/site/luisabeghin/ *****************************************************************

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Call for Papers International Fintech Research Conference [Politecnico di Milano 27-28 October 2022]
by Luca Di Persio 05 May '22

05 May '22

Dear all. we are glad to announce the following: Call for Papers International Fintech Research Conference Finance, technology, methodologies Fintech Research Network Politecnico di Milano 27-28 October 2022 The Conference aims to put together researchers working in all areas of Fintech (banking, asset management, insurance, payments, capital markets, internet of things) providing a multidisciplinary venue. Contributed papers are welcome in all Fintech research fields such as (but not limited to): theoretical analysis of the fintech domain (finance and economic analysis), machine learning applications to finance, cryptocurrencies, digital currency, cybersecurity, neural networks approaches in FinTech, smart contracts, peer to peer finance, big data analysis, nowcasting, text analysis in finance, blockchain technologies, network analysis in finance, behavioral finance. Keynote speakers: * Petros Dellaportas, UCL-London Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data * Leonardo Gambacorta, Bank of International Settlements, TBD * Mario Wuethrich, ETH-Zurich Discrimination-Free Insurance Pricing * David Yermack, Stern Business School, New York University, TBD The Conference is intended to be the first edition of an annual initiative that will be hosted by the building blocks of a large researchers/universities network. Scientific committee: Emilio Barucci (chair), Andrea Consiglio, Stefania Corsaro, Luca Di Persio, Massimiliano Ferrara, Gianna Figà Talamanca, Paolo Giudici, Daniele Marazzina, Silvia Muzzioli. Deadline for submitting an extended abstract/paper: August 31st, 2022. Please note that, except for the social dinner, no fee is required to conference participation. https://www.fintechlab.it/fintech_conference2022/ The initiative is promoted by: Fintech Research Network https://www.fintechlab.it/network/ The Fintech Research Network is steered by a group of researchers working in all areas of Fintech, whose main aim is to develop proactive research initiatives such as conferences, summer schools, workshops, seminars, research projects within the FinTech framework broadly intended. On behalf of the scientific committee, LuCa __ Luca Di Persio - PhD College of Mathematics Dept. of Computer Science University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Official UniVr spinoff: www.hpa.ai <http://www.hpa8.com>

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(PMS)^2 online talk: Michele Salvi - May 9, 17:30
by Maurizia Rossi 04 May '22

04 May '22

Dear colleagues, We are happy to announce the following online talk: Speaker: *Michele Salvi* (Università di Roma "Tor Vergata") Title: *Scale-free percolation mixing time.* Abstract: Scale-free percolation is a spatial inhomogeneous random graph model which features three fundamental properties that are often present in real-world networks: (1) Scale-free: the degree of the nodes follows a power law; (2) Small-world: two far-away nodes have typically a small graph distance; (3) Positive clustering coefficient: two nodes with a common neighbour have a good chance to be linked. We study the mixing time of the simple random walk on this structure in one dimension and depict a rich phase diagram in the parameters of the model. In particular, we prove that the presence of hubs can speed up the mixing of the chain. Joint work with Alessandra Cipriani (UCL). *Date and time:* Monday May 9, 17:30-18:30 (Rome time zone) *Zoom link:* https://us02web.zoom.us/j/6815552946 This talk is part 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. Participation is free and welcome! Best regards The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella) -- Maurizia Rossi Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca https://mauriziarossi.wordpress.com

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[Reminder] A Spring Day in Probability and Statistical Mechanics - 6 Maggio
by Gianmarco Bet 03 May '22

03 May '22

Care colleghe e colleghi, Vi ricordiamo che questo Venerdì 6 Maggio si terrà la decima giornata di seminari: A SPRING DAY IN PROBABILITY AND STATISTICAL PHYSICS University of Florence Friday 6 May 2022 Lecturers: Nina Gantert (Munich) and Senya Shlosman (Marseille) Location: Anfiteatro (piano terra), Viale Morgagni 65, Firenze Informazioni su come arrivare: https://www.dimai.unifi.it/vp-285-come-arrivare-how-to-get.html <https://www.google.com/url?q=https://www.dimai.unifi.it/vp-285-come-arrivar…> Note pratiche: stiamo prenotando un catering con cibi vegerariani e non, percio` abbiamo bisogno del numero di persone che vogliono partecipare al pranzo. A coloro che fossero interessati (per una migliore organizzazione) chiediamo di compilare il seguente Google Form per indicare l'intenzione di partecipare al pranzo. https://docs.google.com/forms/d/e/1FAIpQLSeOv78KC4hNE_g-Z_hMSctDsxqh0435SUn… <https://docs.google.com/forms/d/e/1FAIpQLSeOv78KC4hNE_g-Z_hMSctDsxqh0435SUn…> PROGRAMMA Prof. Nina Gantert (Technical University of Munich) Title: Mixing times for exclusion processes Prof. Senya Shlosman (CPT Luminy, Marseille) Title: Random surfaces in statistical mechanics Program: 11.00-11.45 Introductory lecture: Gantert 11.45-12.00 Break 12.00-12.45 Seminar: Gantert 13.00-14.30 Lunch 14.30-15.15 Introductory lecture: Shlosman 15.15-15.30 Break 15.30-16.30 Seminar: Shlosman Local Organizers: G. Bet, L. Andreis Scientific advisory committee: F. Caravenna, N. Cancrini, E.N.M. Cirillo, F. Colomo, P. Dai Pra, A. De Masi, D. Fanelli, F. Flandoli, C. Giardina`, R. Livi, F. Martinelli, I.G. Minelli, E. Presutti, B. Scoppola, E. Scoppola. Ricordiamo che ciascun oratore fara` una lezione introduttiva e divulgativa di 45 minuti pensata proprio per i non esperti, seguita da altri 45 minuti di tipo seminario (vedi programma). Maggiori informazioni e aggiornamenti sono reperibili alle pagine web https://sites.google.com/unifi.it/florence-probability-group/home/days-in-p… <https://sites.google.com/unifi.it/florence-probability-group/home/days-in-p…> Vi aspettiamo numerosi Gianmarco Bet e Luisa Andreis Dipartimento di Matematica e Informatica Università degli Studi di Firenze Viale Morgagni 67, Firenze, Italy ---------------------------------------------------------------------- Gianmarco Bet (he/him) Junior researcher https://gianmarco.bet Phone: (+39) 055 2751491 Department of Mathematics and Informatics "U. Dini" University of Florence Viale Morgagni, 65 50134 Firenze, Italy Office 64 ----------------------------------------------------------------------

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Assegno di ricerca a Parma
by Davide Addona 03 May '22

03 May '22

Cari tutti, Vi segnalo che al link https://www.unipr.it/node/32439 <https://www.unipr.it/node/32439> È pubblicato il bando per un assegno di ricerca presso il Dipartimento di Scienze matematiche, fisiche e informatiche dell’Università di Parma. Gli argomenti di ricerca sono: - Analisi in dimensione infinita; - Calcolo di Malliavin; - Equazioni differenziali stocastiche. Vi chiedo di diffondere la notizia vai possibili interessati. Grazie Davide Addona

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Course Dmitri Koroliouk: Introduction into Neural Networks and Deep Learning
by mic sal 03 May '22

03 May '22

Dear all, from May 11th until June 30th, Dmitri Koroliouk (Kiev university) will give a course at Tor Vergata university with title Introduction into Neural Networks and Deep Learning The schedule of the course, the venue and the topics treated in each lecture can be found in the file in attachment. This course is part of the Excellence Project Math@TOV. You can find a summary of this and the other events organized by the newly established RoMaDS center at the following link: https://www.mat.uniroma2.it/~rds/events.php .

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Manifestazioni di interesse RTD-B MAT/06 a Parma
by Francesco Morandin 03 May '22

03 May '22

Salve a tutti, vorrei raccogliere manifestazioni di interesse qualificate per una posizione RTD B in probabilità (MAT/06) che potrebbe essere bandita nel prossimo futuro presso il Dipartimento di Scienze Matematiche, Fisiche e Informatiche di Parma. Gli interessati sono incoraggiati a contattarmi, anche per informazioni e chiarimenti. -- Francesco Morandin -- frmor.net Department of Mathematical, Physical and Computer Sciences Parma University -- sfmi.unipr.it To call in the statistician after the experiment is done may be no more than asking him to perform a post-mortem examination: he may be able to say what the experiment died of. (R.A. Fisher)

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