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

Concorso da RTDb di MAT/06 a Padova - scadenza 25/8/2016
by Marco Ferrante 25 Jun '24

25 Jun '24

Cari colleghi, vi segnalo che il Dipartimento di Matematica dell'Università di Padova ha bandito un posto di ricercatore di tipo B nel settore MAT/06. Il bando è disponibile alla pagina http://www.math.unipd.it/it/news/?id=1898 La scadenza per la presentazione delle domande è il 25 agosto 2016. Marco Ferrante

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Seminar: Riccardo Maffucci at Tor Vergata
by mic sal 09 Nov '22

09 Nov '22

Dear all, next Thursday, May 5th, Riccardo Maffucci (EPFL) will give a seminar about "Distribution of nodal intersections for random waves". Abstract: This work is in collaboration with Maurizia Rossi. Random waves are Gaussian Laplacian eigenfunctions on the 3D torus. We investigate the length of intersection between the zero (nodal) set, and a fixed surface. Expectation, and variance in a general scenario are prior work. In the generic setting we prove a CLT. We will discuss (smaller order) variance and (non-Gaussian) limiting distribution in the case of ’static’ surfaces (e.g. sphere). Under a certain assumption, there is asymptotic full correlation between intersection length and nodal area. The seminar will take place in Aula De Blasi, Università Tor Vergata, at 16h00. We encourage in-person partecipation, but should you unable to come here is the link to the event on Teams: https://teams.microsoft.com/l/meetup-join/19%3arfsL73KX-fw86y1YnXq2nk5VnZFw… The seminar is part of the Excellence Project Math@TOV. You can find a schedule with the next events at the following link: https://www.mat.uniroma2.it/~rds/events.php .

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LTI@UniTO Seminar F. De Jong (Tilburg University): October 3, 12.00
by Luca Regis 29 Sep '22

29 Sep '22

Dear colleagues, I am happy to forward you the information regarding the following seminar organized by LTI@UniTO. The seminar can also be attended via zoom at the following link: https://us02web.zoom.us/j/86733344211?pwd=UGNoUi9CNFM5bE5SNmNaeFR6bTJsQT09 Best regards, Luca Regis LTI@UniTO and Fondazione Collegio Carlo Alberto are pleased to invite you to the following seminar: October 3, 2022 | 12:00-13:00 “How do Funds Deviate from Benchmarks? Evidence from MSCI’s Inclusion of Chinese A-shares” (joint with Lennart Dekker and Jasmin Gider) Frank de Jong (Tilburg University) Abstract. An increasing amount of assets is managed by benchmark-tracking investment funds. This study investigates how benchmarking changes affect portfolio compositions in the cross-section of different investor types and stock characteristics. To that end, we exploit the phased introduction of Chinese A-shares to the MSCI Emerging Markets index, which was announced in June 2017 and implemented over the period from May 2018 to November 2019. This change presents a rare opportunity to estimate the impact of index changes and to shed light on cross-sectional implications. We document that particularly passive funds systematically deviate from the benchmark. Market capitalization, stock liquidity and stock volatility affect how benchmark changes translate to portfolio adjustments of mutual funds and ETFs. We then study how the changes in benchmark weights affect financial market outcomes, more specifically the comovement of returns. We find that these characteristics moderate the impact of benchmarking changes on financial market outcomes, suggesting that deviations from benchmarks matter. FONDAZIONE COLLEGIO CARLO ALBERTO Piazza Arbarello 8 - 10122 Torino, Italy phone: +39011 15630 800 segreteria(a)carloalberto.org - www.carloalberto.org © 2021 Fondazione Collegio Carlo Alberto ------------ Luca Regis Associate Professor ESOMAS Department University of Torino sites.google.com/view/lucaregis www.carloalberto.org/lti Inviato da Posta per Windows 10

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Winter School in Trento (Italy) 12 - 16 December 2022
by Luigi Amedeo Bianchi 29 Sep '22

29 Sep '22

The second edition of the Stochastic Processes, Analysis and Semigroups School will take place December 12 - 16, 2022 at the University of Trento (Italy). It is a one-week winter school for Master and PhD students and is co-organized by the Universities of Trento and Wuppertal. It will consist of four minicourses: Introduction to Malliavin Calculus (Margherita Zanella, Politecnico di Milano) Ergodic measures and Wasserstein distance (Peter Kuchling, Bergische Universität Wuppertal) Filtering theory (B.P.W. Fernando, University of Sri Jayewardenepura) Regularisation by noise (Michele Coghi, Università di Trento). Talks by some participants and a poster session are also planned. The school is made possible by funding of the University of Trento, within the Department of Excellence project. There are limited resources available to provide accommodation to some of the participating students. Registration is free but compulsory, through a form available on the school's webpage. The deadline for registration is November 6, 2022. For more information, visit the webpage https://sites.google.com/unitn.it/sstw/ or write an email to primer(dot)maths(at)unitn(dot)it Best regards, the organisers: Luigi Amedeo Bianchi (Università di Trento) Stefano Bonaccorsi (Università di Trento) Martin Friesen (Dublin City University) Barbara Rüdiger (Bergische Universität Wuppertal)

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Procedura selettiva 2022RUB05 - RTDb 13D1
by Alessandra Fabbri Colabich 29 Sep '22

29 Sep '22

Buongiorno, è stato pubblicato il Bando relativo all'indizione di una procedura selettiva per posti da Ricercatore a tempo determinato RTD-B, di cui uno nel settore concorsuale 13D1 presso il Dipartimento di Scienze Statistiche dell’Università degli Studi di Padova. Il bando è disponibile all’indirizzo: https://www.unipd.it/procedura-2022RUB05 La *scadenza* per la presentazione delle domande è il *27 ottobre 2022 alle ore 13*. Si prega di dare la massima diffusione presso tutti gli interessati. Grazie per la collaborazione Alessandra Fabbri Colabich -- Dott.ssa Alessandra Fabbri Colabich Università degli Studi di Padova Dipartimento di Scienze Statistiche [image: Ottocento anni di libertà e futuro]

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Fwd: NetSci-X 2023, Buenos Aires, Argentina, February 7-10, 2023.
by Silvestri, Vittoria 28 Sep '22

28 Sep '22

Ricevo e inoltro volentieri. ******************************** Vittoria Silvestri Assistant Professor Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome ******************************** ---------- Forwarded message --------- Da: Pablo Groisman <pgroisma(a)dm.uba.ar> Date: lun 26 set 2022 alle ore 14:56 Subject: NetSci-X 2023, Buenos Aires, Argentina, February 7-10, 2023. To: Dear colleagues, We kindly ask for your help to spread the word in your institute/university about the call for contributions to NetSci-X 2023 to be held in Buenos Aires (see below). Many thanks in advance, Pablo Groisman. *NetSci-X 2023, Buenos Aires, Argentina, February 7-10, 2023* - https://cnet.fi.uba.ar/netscix23/ [image: Ciudad de Buenos Aires] We kindly invite you to submit your contribution to the International School and Conference on Network Science *NetSci-X 2023*, which will be held onsite at *School of Engineering* of *Universidad de Buenos Aires* (UBA), Argentina on February 7-10, 2023. *The abstract submission deadline is October 28, 2022*. The annual NetSci-X conference is organized by the Network Science Society ( https://netscisociety.net/) to promote research on Network Science, both regarding the fundamentals as its applications in epidemiology, social networks, economy, ecology and finance, among others. The conference will also be an opportunity for exchange between researchers in South America and the rest of the world, hosting distinguished speakers working in different areas of Network Science, and fostering local and international collaboration. More info at: https://cnet.fi.uba.ar/netscix23/ (CfP; abstract format; organizers; invited speakers; registration; venue). We hope to see you in Buenos Aires!

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One World ABC - Till Hoffmann - September 29, 1.30pm UK time
by Massimiliano Tamborrino 26 Sep '22

26 Sep '22

Dear all, Season 4 of the One Word ABC Seminar https://warwick.ac.uk/oneworldabc is starting this week on Thursday the 29th September, 1.30pm UK time. The first speaker of the season will be Till Hoffman, who will talk about "Minimizing the Expected Posterior Entropy Yields Optimal Summary Statistics", with an abstract reported below. The link to join the talk is https://bristol-ac-uk.zoom.us/j/93353511660?pwd=MmFTNUR5QkFBeStlenNVemtZbzJ… Meeting ID: 933 5351 1660 Passcode: 406075 We are looking forward to seeing you there, Best regards, Massimiliano on the behalf of the One World ABC Organisers When: 29th September, 1.30pm UK time Speaker: Till Hoffmann <https://tillahoffmann.github.io/> (Harward T.H. Chan School of Publich Health) Title: Minimizing the Expected Posterior Entropy Yields Optimal Summary Statistics Abstract: Extracting low-dimensional summary statistics from large datasets is essential for efficient (likelihood-free) inference. We propose obtaining summary statistics by minimizing the expected posterior entropy (EPE) under the prior predictive distribution of the model. We show that minimizing the EPE is equivalent to learning a conditional density estimator for the posterior as well as other information-theoretic approaches. Further summary extraction methods (including minimizing the L² Bayes risk, maximizing the Fisher information, and model selection approaches) are special or limiting cases of EPE minimization. We demonstrate that the approach yields high fidelity summary statistics by applying it to both a synthetic benchmark as well as a population genetics problem. We not only offer concrete recommendations for practitioners but also provide a unifying perspective for obtaining informative summary statistics. Reference: T. Hoffmann and J.P. Onnela. Minimizing the Expected Posterior Entropy Yields Optimal Summary Statistics. Preprint at ArXiv:2206.02340, 2022 ------ Dr. Massimiliano Tamborrino Assistant Professor Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino

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Ohio State University - Four Tenure Track Positions in Statistics
by peruggia＠stat.osu.edu 24 Sep '22

24 Sep '22

The Department of Statistics at The Ohio State University seeks to hire four tenure-track Assistant Professors. The detailed description of the positions is provided in the advertisement on our webpage: https://stat.osu.edu/about/open-positions. Applications are currently being accepted via Academic Jobs Online at https://academicjobsonline.org/ajo/jobs/22342. We will begin reviewing applications on October 1 and will continue accepting new applications until the positions are filled. We anticipate interviewing some candidates during Fall semester and others during the early part of Spring semester. Please feel free to reach out to Sebastian Kurtek at kurtek.1(a)osu.edu with any questions you might have. ----------------------------------- Mario Peruggia Professor of Statistics The Ohio State University -----------------------------------

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LUISS Seminar September 29 -- prof Cristensen, link
by Sara 22 Sep '22

22 Sep '22

Dear all, this is a gentle memo of the seminar by Soren Christensen, Uni-Kiel, September 29 at 12:30 e verterà su: *Nonparametric approaches to data-driven stochastic control* Abstract: One of the fundamental assumptions in stochastic control of continuous-time processes is that the dynamics of the underlying process are known. This is, however, usually obviously not fulfilled in practice. On the other hand, a rich theory for nonparametric estimation of the characteristics of continuous-time processes has been developed over the last decades. In this talk, we discuss how to bring together these two areas for developing purely data-driven strategies for stochastic control, which we explore for ergodic impulse and singular control problems. We compare the results with those of deep-Q learning algorithms. Room: 406 a, campus viale Romania, Roma LINK https://luiss.webex.com/luiss-en/j.php?MTID=m3aff761032d19c28c3c1bd004b35f6… *Credentials* *User:* w_guest(a)luiss.it *Password:* iz2BuAvnf5Q Please find a Webex user guide in attachment. -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli https://www.luiss.it/ Address: Viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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Seminar of Dimitris Fouskakis @ UNIMIB
by Federico Camerlenghi 21 Sep '22

21 Sep '22

Dear all, we are glad to announce the next DEMS seminar: Monday the 3rd of October at 10:30 am The seminar will be held in room 4026 (building U7 Civitas, 4th floor, University of Milano Bicocca). The speaker is Dimitris Fouskakis <http://www.math.ntua.gr/~fouskakis/en_index.html> (National Technical University of Athens). The seminar title is "Handling Sparsity using Random Imaginary Data", an abstract is attached. You are all very welcome! Best regards, Federico Camerlenghi -- Federico Camerlenghi Assistant Professor RTDb Department of Economics, Management and Statistics University of Milano Bicocca, Milano, Italy. web-page: https://www.unimib.it/federico-camerlenghi

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EFI8 - Save the date - Call for papers (fwd)
by Tiziano Vargiolu 20 Sep '22

20 Sep '22

---------- Forwarded message ---------- Date: Thu, 15 Sep 2022 13:58:12 +0000 From: Roberto Baviera <roberto.baviera(a)polimi.it> >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> Dear Colleagues, we invite you to submit contributions to the 8th edition of the Energy Finance Italia conference (EFI8) that will be held on 8-10 February 2023 at Politecnico di Milano. The conference puts together researchers and practitioners working in all areas of Energy-Finance & Climate-Change related research in economics, finance, engineering, data science and mathematics. Young researchers and practitioners are especially welcome: the conference best paper will be awarded. Keynote speakers: - Clémence Alasseur (EDF, Paris), - Fred Espen Benth (University of Oslo) - Florian Ziel (University of Duisburg-Essen) IMPORTANT DATES: Paper/abstract submission: November 25, 2022 Notification of acceptance: December 9, 2022 Early registration: December 16, 2022 Please refer to the attached call-for-papers conference leaflet for further details. VENUE: Department of Mathematics, Politecnico di Milano Via Edoardo Bonardi, 9, 20133 Milano, Italy Submission & Conference Secretariat: efi8-dmat(a)polimi.it Looking forward to meet you in Milan, Best Regards Roberto Baviera and Carlo Sgarra Organizing committee chairs __________________________________ Professor of Financial Engineering, Dep. Mathematics, Politecnico di Milano, 32 p.zza Leonardo da Vinci, I-20133 Milan Web: qfinlab.polimi.it/baviera __________________________________

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Seminar of Prof. Eckhard Platen, on Friday 23 september, at 3pm (fwd)
by Tiziano Vargiolu 20 Sep '22

20 Sep '22

Dear all, on Friday 23 september, at 3pm , we will have the pleasure to host the seminar of Prof. Eckhard Platen from University of Sydney, who is visiting our math department during this week. The seminar will be in presence at the Department of Mathematics, University of Padova, room 702 (stair B, 7th floor at via Trieste 63, Padova) and available on Zoom at the following address: https://unipd.zoom.us/j/86350461357 Title and abstract of the presentation are here below. Modeling Long-Term Stock Market Dynamics via Entropy Maximization Eckhard Platen University of Technology Sydney Abstract: By assuming the existence of the growth optimal portfolio (GP) and maximizing the entropy for a hierarchically structured stock market, the paper derives the GP dynamics as those of time-transformed squared Bessel processes of dimension four. The average of each of their squared volatility components is shown to converge toward a common level. The initial values of basis security accounts turn out to be gamma-distributed. The risk-adjusted return of the GP is not depending on a savings account and can be significantly higher than classical assumptions allow to explain. Best regards Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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Fwd: Postdoc positions available at Bath
by Elisabetta Candellero 20 Sep '22

20 Sep '22

Ricevo ed inoltro. Elisabetta ---------- Forwarded message --------- From: Alex Cox <00004bb135c53845-dmarc-request(a)jiscmail.ac.uk> Date: Tue, Sep 20, 2022 at 2:51 PM Subject: Postdoc positions available at Bath To: <APPLIEDPROB(a)jiscmail.ac.uk> We are looking to recruit up to 5 adventurous and talented researchers to fill postdoctoral positions as part of the recently awarded EPSRC programme grant, MaThRad (Mathematical Theory of Radiation Transport). This five-year interdisciplinary programme of research will use modern mathematical methods from probability theory, advanced Monte Carlo methods and inverse problems to develop novel approaches to the theory and application of radiation transport. We are particularly keen to recruit researchers with experience in any of: - Interacting particle systems for Monte Carlo methods and rare event simulation - Statistical physics for transport modelling - Branching structures and/or stochastic modelling - Mathematical applications to medical physics - Applied numerical analysis and inverse problems Please visit the link below for more details: https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=CC9825 Feel free to contact me if you have any questions about the roles. Alex Cox *I work flexible hours and may contact you outside of a standard working day. Please be assured I do not expect a reply outside of your normal working hours.* __________________________________________________________________________ Dr Alexander Cox tel: 01225 386187 Dept of Mathematical Sciences email: a.m.g.cox(a)bath.ac.uk University of Bath, UK web: http://www.maths.bath.ac.uk/~mapamgc/ __________________________________________________________________________ ------------------------------ To unsubscribe from the APPLIEDPROB list, click the following link: https://www.jiscmail.ac.uk/cgi-bin/WA-JISC.exe?SUBED1=APPLIEDPROB&A=1

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Seminar Toulis @Bocconi - 22nd Sept at 12:00
by Giacomo Zanella 19 Sep '22

19 Sep '22

We are glad to announce the following hybrid seminar (more details at link <https://bidsa.unibocconi.eu/bidsa-hybrid-seminar-randomization-inference-tr…> ): Thursday, 22nd September 2022 12:00, Room AS01 + Zoom Bocconi University, Via Roentgen 1, floor -1 *Speaker**: Panos Toulis (University of Chicago, Booth School of Business, * https://www.ptoulis.com/) *Title:* Randomization Inference of Treatment Spillover Effects *Abstract:*In causal inference, interference exists when a unit’s outcome depends on the treatment assignments of other units. For example, intensive policing on one street could have a spillover effect on neighboring streets. Analyzing such effects with a model-based approach (e.g., regression) can be misleading because it requires strong, untestable assumptions on how spillovers behave asymptotically. A more robust approach is to use the randomization method, which resamples the treatment according to the experiment design in order to accurately quantify uncertainty. However, the classical method breaks down under spillovers because many null hypotheses of interest are not "sharp", i.e., they offer no information for some units in the sample. In this talk, I will propose valid, powerful, and easy-to-implement randomization tests for a general class of non-sharp null hypotheses that allow for arbitrary spillovers between units. The key idea is to represent the hypothesis of interest as a bipartite graph between units and assignments, and to find a clique of this graph. Importantly, the null hypothesis is sharp in this clique, enabling randomization-based inference conditional on the clique. I will illustrate this approach in three applications: (i) settings with clustered interference, (ii) a large-scale policing experiment in Medellín (Colombia), and (iii) an experiment designed to increase business firm performance by cultivating interfirm relationships. *Zoom information:*Join Zoom Meeting: https://unibocconi-it.zoom.us/j/93778273056 Meeting ID: 937 7827 3056 Best regards, Giacomo Zanella

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de Finetti Risk Seminar - settembre 2022
by Emanuela Rosazza Gianin 16 Sep '22

16 Sep '22

On behalf of the Scientific Committee of the "B. de Finetti Risk Seminars, Milano Lectures on the Mathematical Theory of Economics and Finance”, we are glad to invite you to participate at the following Lecture: Felix Liebrich Hannover University, Germany Title: A tale of one (or many) probabilities. Abstract: A crucial condition that allows to establish that two probability charges lambda-system agree is Marinacci’s Uniqueness Theorem (MUT). A countably additive probability charge Q and a convex-ranged probability charge P agree if there is a nontrivial event such that Q is constant on the generated P-equilikelihood class. Special cases of the MUT can be derived from Lyapunov’s Convexity Theorem and the sharp version of the Fréchet-Hoeffding bounds. A further alternative formulation of the assumption of the MUT is that the Q-expectation functional on simple random variables is locally P-invariant. It is this overlap between invariance and uniqueness that is the focus of the talk. We look at functionals defined on random variables that are globally invariant with respect to a reference probability P. Fixing a functional we ask the uniqueness question: Can there be more than one such such reference probability? For wide classes of functionals, we see that this is not the case unless they are (i) constant, or (ii) more generally depend only on the essential supremum and essential infimum of the argument. In the second part of the talk we return to the MUT and the recent, but significant extension provided by Svistula that dispenses with the countable additivity of Q. We expand and clarify the nature of the Svistula-MUT and uncover several equivalent conditions that enhance the applicability of said result. As a consequence, we present several applications. LOCATION: The seminar will be held on *September 28, *2022 at *18.00,* Conference hall 3-E4-SR03, Dept. of Decision Sciences, Bocconi University, Via G. Roentgen 1, Milan. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Marco Maggis (Univ. degli Studi di Milano) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) ****************************************** 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 e-mail: emanuela.rosazza1(a)unimib.it ******************************************

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Summer school in Leipzig, May 2023
by Francesco Mattesini 16 Sep '22

16 Sep '22

Dear all, Rishabh Gvalani, Felix Otto, Markus Tempelmayr, and I are organising a two week-long summer school at the Max Planck Institute for Mathematics in the Sciences in Leipzig from the 10th to the 24th of May, 2023 on the general theme of "PDEs and randomness". The confirmed invited speakers include Roland Bauerschmidt (Cambridge), Bjoern Bringmann (IAS), Mitia Duerinkcx (FNRS/CNRS), Eva Kopfer (Bonn), and Nicolas Perkowski (FU Berlin). The talks will span a wide range of topics including, but not necessarily limited to, statistical mechanics, optimal transport, singular SPDEs, dispersive equations, and stochastic homogenisation. Each of the speakers will give 4 lectures of about 90 minutes each, spread out over 4 days. Additionally, we are planning on having reading groups/tutorial sessions in the afternoon, (self-)organized by the junior participants with support from the locals/organisers. We would be very grateful if you could keep this summer school in mind and also advertise it to the junior members of your respective research groups. You can find more information and the registration form on the website: https://www.mis.mpg.de/calendar/conferences/2023/randompde.html <https://www.mis.mpg.de/calendar/conferences/2023/randompde.html> Travel and accommodation support is available for junior participants. The deadline for funding applications is January 31, 2023. Best wishes, Rishabh Gvalani, Francesco Mattesini, Felix Otto, and Markus Tempelmayr

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Reminder: Workshop in Torino - 19 September 2022
by Giuseppe D'Onofrio 12 Sep '22

12 Sep '22

Dear all, A gentle reminder of the workshop on stochastic analysis and applications titled “*Noise: benefits and drawbacks in theory and applications*”, which will take place in *Torino* on *September 19, 2022*. The workshop will cover a wide range of topics including: stochastic analysis, SDEs and applications, stochastic models and processes with jumps. Speakers: - *Lucia Caramellino* (Università di Roma "Tor Vergata", Italy) - *Nikolaos Limnios* (Universite de Technologie de Compiègne, France) - *Barbara R**ü**diger *(Bergische Universität Wuppertal, Germany) - *Francesco Russo* (ENSTA Paris | Institut Polytechnique de Paris, France) - *Radomyra Shevchenko* (Max Planck Institute, Germany) The workshop is planned as an *in-person* event. Registration is free but mandatory. For more information, please visit the webpage https://sites.google.com/view/noisetorino/home-page I'm looking forward to seeing you in Turin! Best regards, Giuseppe D'Onofrio -- Giuseppe D'Onofrio Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: g <federico.polito(a)unito.it>iuseppe.donofrio(a)unito.it Tel: +39 011 6702809 Web: https://sites.google.com/site/giuseppedonofriomath/home

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LUISS Math Seminar
by Sara 12 Sep '22

12 Sep '22

Dear colleagues, we are glad to announce the following seminar, within the list of LUISS Math Seminars for this Academic Year. On 29th September - in Room 407, at 12:30, LUISS University, viale Romania 32, Roma, Prof Soren Christensen, Kiel University, will talk about: *Nonparametric approaches to data-driven stochastic control* Abstract: One of the fundamental assumptions in stochastic control of continuous-time processes is that the dynamics of the underlying process are known. This is, however, usually obviously not fulfilled in practice. On the other hand, a rich theory for nonparametric estimation of the characteristics of continuous-time processes has been developed over the last decades. In this talk, we discuss how to bring together these two areas for developing purely data-driven strategies for stochastic control, which we explore for ergodic impulse and singular control problems. We compare the results with those of deep-Q learning algorithms. -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli https://www.luiss.it/ Address: Viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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Fwd: Lectureships in Probability or Actuarial/Financial Mathematics
by Faggionato, Alessandra 10 Sep '22

10 Sep '22

Buongiorno ricevo e con piacere inoltro. Saluti Alessandra ---------- Forwarded message --------- From: Amanda Turner <A.Turner5(a)leeds.ac.uk> Date: Fri, 9 Sept 2022 at 17:00 Subject: Lectureships in Probability or Actuarial/Financial Mathematics To: Amanda Turner <A.Turner5(a)leeds.ac.uk> Dear All (with apologies for cross-posting) The University of Leeds is currently advertising two Lectureships in Probability or Actuarial/Financial Mathematics, with an application deadline of 25th September. For details see https://jobs.leeds.ac.uk/Vacancy.aspx?ref=EPSMA1069. Please share this opportunity with anyone who might be interested. Amanda -- ************************************************* 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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REMIND: MLDYN2022 - Scuola Normale Superiore, Nov 9-10 2022, Call for papers
by Giulia Livieri 09 Sep '22

09 Sep '22

Dear colleagues, We are pleased to announce the *2nd Edition of the** School* in *"Machine Learning of Dynamic Processes and Time Series Analysis” * that will be held at Scuola Normale Superiore in Pisa (Italy) on *November 9-10, 2022*. The School aims to present recent mathematical and data-driven approaches to Machine Learning for time series. In particular, this year, the School will focus on the mathematical and computational aspects of *Signatures, Reinforcement Learning, GAN, and Continual Learning*. The School includes four mini-courses held by as many keynote speakers and a limited number of contributed talks. *Keynote speakers*: 1. *Davide Bacciu <http://pages.di.unipi.it/bacciu/>*, University of Pisa 2. *Xin Guo <https://xinguo.ieor.berkeley.edu/>*, UC Berkeley 3. *Sebastian Jaimungal <https://sebastian.statistics.utoronto.ca/>*, University of Toronto 4. *Terry Lyons <https://www.maths.ox.ac.uk/people/terry.lyons>*, Oxford Man Institute of Quantitative Finance Detailed information on the School and instructions for registration can be found at: https://mldyn2022.wordpress.com (The number of participants in presence is limited to *40* - preference will be given to PhD students and young researchers) The call for abstract/paper submission to be selected for a contributed talk is now open at the following easy-chair link: https://easychair.org/conferences/?conf=mldyn2022 Both registration and submission deadlines are *September 15, 2022.* To contact the Organizer Committee, please send an email to: mldyn2022(a)gmail.com The organisers, Fabrizio Lillo Giulia Livieri Stefano Marmi Piero Mazzarisi

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Seminario Prof. Domenico Marinucci
by Enrica Pirozzi 08 Sep '22

08 Sep '22

AVVISO di SEMINARIO Title: The Geometry of Time-Dependent Spherical Random Fields Prof. Domenico Marinucci Università di Roma Tor Vergata Abstract: The investigation of the behaviour for geometric functionals of random fields on manifolds has drawn recently considerable attention. In this talk, we consider fluctuations over time for the excursion area and the length of level curves of time-dependent Gaussian spherical random fields. We focus on both long and short memory assumptions; in the former case, we show that the fluctuations are dominated by a single component, corresponding to a second-order chaos evaluated on a subset of the multipole components for the random field. We prove the existence of cancellation points where the variance is asymptotically of smaller order; these points may not include the nodal case u=0, in marked contrast with recent results on the high-frequency behaviour of nodal lines for random eigenfunctions with no temporal dependence. In the short memory case, we show that all chaoses contribute in the limit, no cancellation occurs and a Central Limit Theorem can be established by Fourth-Moment Theorems and a Breuer-Major argument. The talk is based on joint works with Maurizia Rossi and Anna Vidotto. Il seminario si terrà il giorno 13 Settembre 2022 ore 12:00 nella Aula E terzo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. Link al seminario su Teams: https://teams.microsoft.com/l/meetup-join/19%3aMQ4RZDBo_0G-K_PHxKtktVYAczOG… *** -- 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 Prof. Luisa Beghin
by Enrica Pirozzi 08 Sep '22

08 Sep '22

AVVISO di SEMINARIO Title: Non-gaussian processes linked to H-functions Prof.ssa Luisa Beghin Università di Roma La Sapienza Abstract. In the context of non-Gaussian analysis, Schneider [1] introduced grey noise measures, built upon Mittag-Leffler functions; analogously, grey Brownian motion and its generalizations were constructed (see, for example, [2], [3], [4], [5]). In [6], we construct and study a new non-Gaussian measure, by means of the incomplete-gamma function (exploiting its complete monotonicity).The related generalized processes, in the infinite dimensional setting, are also defined and, through the use of the Riemann-Liouville fractional operators, the (possibly tempered) Gamma-grey Brownian motion is consequently introduced. All the above mentioned processes allow modeling anomalous diffusions, mimicking the procedures of classical stochastic calculus. Finally, we present the extensions of the previous results obtained by means of the Fox H-functions, which generalize both the Mittag-Leffler and the incomplete-gamma functions (under appropriate assumptions). (This is a joint work with L. Cristofaro) [1] W.R. Schneider, Grey noise, in Ideas and Methods in Mathematical Analysis, Stochastics and Applications, vol. I, S. Albeverio, J.E. Fenstad, H. Holden, T. Lindstrom, eds., Cambridge University Press, Cambridge, 1990, 261-282. [2] A. Mura, G. Pagnini, Characterizations and simulations of a class of stochastic processes to model anomalous diffusion, Journal of Physics A: Math. Theor., 41, 2008, 285003, 22 p. [3] W. Bock, S. Desmettre, J.L. da Silva, Integral representation of generalized grey Brownian motion, Stochastics, 92 (4), 2020, 552-565. [4] J.L. da Silva, M. Erraoui, Generalized grey Brownian motion local time: existence and weak approximation, Stochastics, 87 (2), 2015, 347-361. [5] J.L. da Silva, M. Erraoui, Singularity of generalized grey Brownian motion and time-changed Brownian motion, AIP Conference Proceedings, vol. 2286, (1), 2020, article id.020002. [6] L. Beghin, L. Cristofaro, J. Gajda, Non-gaussian measures in infinite dimensional spaces: the gamma-grey noise, 2022, arXiv 2207.13609, submitted. Il seminario si terrà il giorno 13 Settembre 2022 ore 11:00 nella Aula E terzo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. Link al seminario su Teams: https://teams.microsoft.com/l/meetup-join/19%3aMQ4RZDBo_0G-K_PHxKtktVYAczOG… *** -- 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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avviso di seminario: Mathematical AI for molecular data analysis
by Alessandra Micheletti 08 Sep '22

08 Sep '22

Con preghiera di diffusione *Annuncio di seminario* Il giorno 26 Settembre 2022 ore 15.00 nella Sala di Rappresentanza del Dipartimento di Matematica, Università degli Studi di Milano Via Saldini 50, Milano il* Dr. Kelin Xia,* *Nanyang Technological University, Singapore* terrà il seguente seminario *Mathematical AI for molecular data analysis* *Abstract:* Artificial intelligence (AI) based molecular data analysis has begun to gain momentum due to the great advancement in experimental data, computational power and learning models. However, a major issue that remains for all AI-based learning models is the efficient molecular representations and featurization. Here we propose advanced mathematics-based molecular representations and featurization (or feature engineering). Molecular structures and their interactions are represented as various simplicial complexes (Rips complex, Neighborhood complex, Dowker complex, and Hom-complex), hypergraphs, and Tor-algebra-based models. Molecular descriptors are systematically generated from various persistent invariants, including persistent homology, persistent Ricci curvature, persistent spectral, and persistent Tor-algebra. These features are combined with machine learning and deep learning models, including random forest, CNN, RNN, Transformer, BERT, and others. They have demonstrated great advantage over traditional models in drug design and material informatics. *Short Bio:* Dr. Kelin Xia obtained his Ph.D. degree from the Chinese Academy of Sciences in Jan 2013. He was a visiting scholar in the department of Mathematics, Michigan State University from Dec 2009-Dec 2012. From Jan 2013 to May 2016, he worked as a visiting assistant professor at Michigan State University. He joined Nanyang Technological University at Jun 2016. His research focused on Mathematical AI for molecular sciences. He has published >60 papers and has been PI and Co-PI for 15 grants (>3.0M SGD). Tutti gli interessati sono invitati a partecipare. Per informazioni contattare alessandra.micheletti(a)unimi.it -- ------------------------------------ Alessandra Micheletti Associate Professor - Probability and Mathematical Statistics ECMI <https://ecmiindmath.org/> Vice President Dept. of Environmental Science and Policy - ESP Università degli Studi di Milano via Saldini 50, 20133 Milano, Italy phone: +39-02503-16130 fax: +39-02503-16090 https://alessandramichelettiwebpage.wordpress.com/

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Seminario di Rongfeng Sun a Milano-Bicocca (9 set 2022)
by Francesco Caravenna 07 Sep '22

07 Sep '22

Ho il piacere di annunciare il seminario di Rongfeng Sun (National University of Singapore): "A new correlation inequality for Ising models with external fields" che si terrà venerdì 9 settembre 2022 alle ore 14:00 in aula U5-3014 (Dipartimento di Matematica e Applicazioni, Università di Milano-Bicocca). Trovate l'abstract di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%% Abstract. We study ferromagnetic Ising models on finite graphs with an inhomogeneous external field. We show that the influence of boundary conditions on any given spin is maximised when the external field is identically 0. One corollary is that spin-spin correlation is maximised when the external field vanishes. In particular, the random field Ising model on Z^d, d ≥ 3, exhibits exponential decay of correlations in the entire high temperature regime of the pure Ising model. Another corollary is that the pure Ising model on Z^d, d ≥ 3, satisfies the conjectured strong spatial mixing property in the entire high temperature regime. Based on joint work with Jian Ding and Jian Song. %%%%%%%%%%%%%%%% -- _________________________________________ 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 Matematica per l'Intelligenza Artificiale e il Machine Learning: Giovani ricercatori
by Ernesto De Vito 05 Sep '22

05 Sep '22

Carissime e carissimi, vi segnalo che il 24 e 25 novembre 2022 presso Aula Magna Lingotto del Politecnico di Torino si svolgerà il workshop Matematica per l'Intelligenza Artificiale e il Machine Learning: Giovani ricercatori organizzato in collaborazione tra il Dipartimento di Scienze Matematiche "G. L. Lagrange" - Politecnico di Torino, Progetto MIUR Dipartimenti di Eccellenza 2018 - 2022 ed il Gruppo UMI "Matematica per l'Intelligenza Artificiale ed il Machine Learning". Il workshop è finalizzato alla presentazione dei recenti sviluppi della ricerca italiana legati alla mutua interazione tra matematica, intelligenza artificiale e Machine Learning ed è rivolto ai giovani ricercatori, anche non iscritti al gruppo UMI "Matematica per l'Intelligenza Artificiale ed il Machine Learning". È auspicata la presenza anche di ricercatori senior, ma le presentazioni orali saranno riservate ai giovani. La registrazione è obbligatoria per tutti i partecipanti compilando il modulo https://www.polito.it/survey3/index.php/831212?lang=en Chi volesse sottoporre un contributo ha tempo fino al 16 ottobre 2022. Maggiori informazioni sono disponibili sul sito dell'evento https://areeweb.polito.it/disma-excellence/events_2022/GiornateUMI/index.ht…. Vi chiedo gentilmente di diffondere l'iniziativa a tutti i giovani interessati. Mi scuso con coloro che hanno già ricevuto l'annuncio. Grazie. Un caro saluto. Ernesto De Vito

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