Random March 2023

random@lists.dm.unipi.it

40 participants
62 discussions

Seminario di Lionel Levine, Martedì 4 Aprile, Sapienza Università di Roma
by Silvestri, Vittoria 28 Mar '23

28 Mar '23

Segnalo il seguente seminario, che si terrà Martedì prossimo in Sapienza. *Martedì 4 Aprile, ore 14:00* Sala di Consiglio, Dipartimento di Matematica, Sapienza Università di Roma *Speaker:* Lionel Levine, Cornell University *Title: *Universality Conjectures For Activated Random Walk *Abstract:* Activated Random Walk is a particle system displaying avalanches on all scales. How universal are these avalanches? I’ll narrate five interlocking conjectures aimed at different aspects of this … [View More]

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avviso di seminario Simone Floreani
by epirozzi 28 Mar '23

28 Mar '23

*** AVVISO di SEMINARIO Dott. Simone Floreani Oxford University TITOLO A system of interacting Bouchaud trap models Abstract In this talk I will introduce a new interacting particle system consisting of interacting random walks in a trapping environment, known as Bouchaud trap models. I will show that the hydrodynamic equation emerging from such system is the Fractional Kinetics Equation, a sub-diffusive PDE. If time allows, I will also discuss some properties of the same system in … [View More]

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De Finetti Risk Seminar - April 12, 2023
by Emanuela Rosazza Gianin 28 Mar '23

28 Mar '23

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: Martin Schweizer ETH Zurich Title: Dynamic programming for mean-variance portfolio selection Abstract: We present a dynamic programming approach to solving the mean-variance portfolio selection problem in finite discrete time. This bypasses issues of time-inconsistency and hence … [View More]

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call for an Assistant Professor in Statistics at IMT School
by Irene Crimaldi 28 Mar '23

28 Mar '23

Dear Colleagues, I would like to draw your attention to the following call for an Assistant Professor (RTD-a) in Statistics at the IMT School for Advanced Studies Lucca (Italy): https://www.imtlucca.it/it/jobopportunity/statistics https://www.imtlucca.it/sites/default/files/2023-ap-statistics-rtda-bando.p… Best regards, Irene Crimaldi Associate Professor in Statistics IMT School for Advanced Studies Lucca Italy

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Seminar by S. De Marco in Padova (Probability and Finance)
by Giorgia Callegaro 27 Mar '23

27 Mar '23

Dear all, you're invited to the seminar in Probability and Finance that will take place Friday 28th April, at 2.30 pm, in hybrid mode at the Math Dept of the University of Padova. More details: * *Speaker*: Stefano De Marco (Ecole Polytechnique) * *Date and time*: 28th April 2023, 2.30pm * *Room (Torre Archimede)*: 2BC30 * *Zoom link*: please find it at *https://www.math.unipd.it/~bianchi/seminari/* <https://www.math.unipd.it/~bianchi/seminari/> * *Title*: *Fractional forward variance … [View More]

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Seminario congiunto di Probabilità e Fisica Matematica//5 aprile//Fraydoun Rezakhanlou
by Bertini, Lorenzo 27 Mar '23

27 Mar '23

Seminari di Fisica Matematica Dipartimento di Matematica "G. Castelnuovo" Università di Roma La Sapienza Mercoledì 5 aprile, ore 16:15, sala di Consiglio Fraydoun Rezakhanlou (University of Berkeley) Kinetic Theory for Laguerre Tessellations Abstract. In this talk I will discuss a family of Gibbsian measures on the set of Laguerre tessellations. These measures may be used to provide a systematic approach for constructing Gibbsian solutions to Hamilton-Jacobi PDEs by exploring the Eularian … [View More]

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Webinar UMI-PRISMA 3 aprile Campi-Callegaro
by Claudia Ceci 27 Mar '23

27 Mar '23

Buongiorno a tutt*, ho il piacere di annunciare il prossimo webinar del ciclo di seminari online promosso dal Gruppo UMI PRISMA (http://www.umi-prisma.polito.it/index.html) *Lunedì 3 aprile 2023* ore 16-17 LUCIANO CAMPI Title: Correlated equilibria and mean field games Abstract: In the context of mean field games (MFGs), we introduce a generalization of mean field game solution, called correlated solution, which can be seen as the mean field game analogue of a correlated … [View More]equilibrium. The latter is a generalization of Nash equilibrium for stochastic games. Our notion of solution can be justified in two ways for MFGs in discrete time and finite state space: correlated solutions arise as limits of exchangeable correlated equilibria in restricted (Markov open-loop) strategies for the underlying $N$-player games, and approximate $N$-player correlated equilibria can be constructed starting from a correlated solution to the mean field game. Moreover, those results can be extended to progressive deviations, possibly depending on the whole history of the state and the flow of measures. In this talk we will focus especially on a further extension to continuous time MFGs through the notion of coarse correlated equilibrium. This talk is based on joint works with O. Bonesini, F. Cannerozzi and M. Fischer. ore 17-18 GIORGIA CALLEGARO Title: McKean–Vlasov Game of Commodity Production, Consumption and Trading Abstract: We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short position in a forward contract on λ units of the underlying at a fixed price F, while the consumer has the corresponding long position. Moreover, both players are risk-averse with respect to their financial position and their risk aversions are modelled through an integrated-variance penalization. We study the impact of risk aversion on the interaction between the producer and the consumer as well as on the derivative price. In mathematical terms, we are dealing with a two-player linear-quadratic McKean–Vlasov stochastic differential game. Using methods based on the martingale optimality principle and BSDEs, we find a Nash equilibrium and characterize the corresponding strategies and payoffs in semi-explicit form. Furthermore, we compute the two indifference prices (one for the producer and one for the consumer) induced by that equilibrium and we determine the quantity λ such that the players agree on the price. Finally, we illustrate our results with some numerics. In particular, we focus on how the risk aversions and the volatility control costs of the players affect the derivative price. Joint work with R. Aid, O. Bonesini and L. Campi. Il link per partecipare è il seguente https://teams.microsoft.com/l/channel/19%3ad685b25ed15f4821ac5168e63cf98ea4… Microsoft Teams meeting *Join on your computer, mobile app or room device* Click here to join the meeting <https://teams.microsoft.com/l/meetup-join/19%3ad685b25ed15f4821ac5168e63cf9…> Meeting ID: 375 963 625 218 Passcode: tjrYrN Cari saluti, Claudia Ceci Claudia Ceci Dipartimento di Metodi e Modelli per l’Economia, il Territorio e la Finanza (MEMOTEF) Università di Roma La Sapienza Via Del Castro Laurenziano 9 Roma 00161 Italy Email: claudia.ceci(a)uniroma1.it [View Less]

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Call for expressions of interest in a position of Full Professor
by Giovanni Puccetti 27 Mar '23

27 Mar '23

The Department of Economics, Management and Quantitative Methods (DEMM) of the University of Milan is seeking expressions of interest for a Full Professor (permanent position) in - Statistics - Mathematical Methods for Economics, Finance and Actuarial Science The successful candidate is expected to contribute to the development of the department under the programme “Dipartimento di Eccellenza” (https://www.miur.gov.it/dipartimenti-di-eccellenza) and also to the department’s … [View More]

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Stochastic geometry conference in Dijon, June 2023
by Pierre-Yves Louis 24 Mar '23

24 Mar '23

ricevo ed inoltro. Pierre-Yves LOUIS From: Arnaud Rousselle<Arnaud.Rousselle(a)u-bourgogne.fr> ----- Dear all, The Annual RT GeoSto conference will take place in Dijon (France), June 12-16, 2023. * Link to the website of the conference:https://geosto23.sciencesconf.org/ * Speakers of the mini-courses (June 12-13): Thomas Opitz (INRAE Avignon) Christoph Thäle (Ruhr-Universität Bochum * Invited speakers of the conference (June 14-16): François Bienvenu (ETH Zürich) Frédé… [View More]

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LTI@UniTO seminars | Peter Tankov March 27th @12.00
by Luca Regis 24 Mar '23

24 Mar '23

Dear Colleagues, it is my pleasure to invite you to the following seminar in Quantitative Finance, organised by LTI@UniTO (www.carloalberto.org/lti) and Collegio Carlo Alberto (CCA), that will take place at CCA in Torino and can be followed via zoom. At the event page link you can find the paper, the zoom link to attend online and a button to add the event to your calendars. ------------------------------------------------------------------------------------------- March 22nd @ 12.00 … [View More]

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