Random April 2023

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42 participants
52 discussions

Workshop: "Junior Researchers in Stochastic Optimal Control" in Berlin, Aug 31/Sep 1, 2023
by Körber, Laura Claudia 25 Apr '23

25 Apr '23

Dear colleagues, Let us draw your attention to the workshop for --- JUNIOR RESEARCHERS IN STOCHASTIC OPTIMAL CONTROL (JRSOC) --- jointly organized and supported by the IRTG 2544 “Stochastic analysis in interaction” (Berlin), the TU Berlin, the WIAS Berlin, and the EPSRC CDT “Mathematics of Random Systems” (University of Oxford). The workshop will take place in presence in Berlin from Thursday, August 31, to Friday, September 1, 2023. The workshop is intended to offer junior researchers in Stochastic Optimal Control a platform to extend their knowledge in the field, to present and discuss their own work, and to possibly initiate future collaborations. With five keynote lectures given by distinguished researchers and a number of contributed talks, the workshop aims at covering the latest developments and classical topics in Stochastic Optimal Control including Machine Learning, Mathematical Finance, Mean Field Models, Infinite Dimensional Problems, Stochastic Games, and many more. The keynote lectures will be given by: -- Roxana Dumitrescu (King’s College London), -- Johannes Muhle-Karbe (Imperial College London), -- David Siska (University of Edinburgh), -- Peter Tankov (ENSAE Paris), -- Gianmario Tessitore (University Milano-Bicocca). We warmly invite junior researchers to apply for <contributed talks> and/or <financial support>. The deadline for both is <May 31, 2023>. Registration to the workshop is free but mandatory, and possible until <June 30, 2023>. More details can be found on the conference website under: --- https://www.wias-berlin.de/workshops/JRSOC23/ --- We are looking forward to welcoming you in Berlin. In case of further questions, please do not hesitate to contact us per e-mail at jrsoc23(a)wias-berlin.de<mailto:jrsoc23@wias-berlin.de>. Best regards, The Organizing Committee Peter Bank, Sebastian Ertel, Sascha Gaudlitz, Yifan Jiang, Hannes Kern, Laura Körber, Alexander Merkel, Shyam Popat, Emanuel Rapsch, Thomas Wagenhofer

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Corso Paul JENKINS (University of Warwick)
by Matteo Ruggiero 24 Apr '23

24 Apr '23

Cari colleghi, nell’ambito del programma di Visiting Professors della Laurea Magistrale in Stochastics and Data Science dell’Università di Torino (programma completo alla pagina https://www.master-sds.unito.it/go/visiting), con piacere annunciamo il seguente corso: -------------------------------------- Paul JENKINS (University of Warwick) SIMULATION AND INFERENCE IN POPULATION GENETICS Population genetics provides a rich source of data. We now have the ability to sequence, cost-efficiently, the genomes of a large number of individuals from a species. Patterns of variation in DNA sequences offer a rich insight into biological and demographic processes: mutation, natural selection, past migration events, admixture, population structure, and so on. But such data are high-dimensional, noisy, and - because of shared ancestry - not independent, giving rise to some challenging statistical problems. In this course we will cover two important models for the analysis of genetic data - the coalescent, and the Wright-Fisher diffusion. We will discuss methods of simulation of data from these models, as well as how to perform inference for key biological and evolutionary parameters, using techniques such as MCMC. -------------------------------------- Il corso si svolgerà esclusivamente in presenza secondo il seguente calendario: - mar 2 Maggio, h.16-18 - mer 3 Maggio, h.16-18 - ven 5 Maggio, h.11.15-13.15 (Aula 3) - mar 9 Maggio, h.14-16 - mer 10 Maggio, h.16-18 - gio 11 Maggio, h.16-18 - mar 16 Maggio, h.14-16 - mer 17 Maggio, h.16-18 Sede dei corsi: Aula 11 (tranne il 5/5), Terzo piano - Corso Unione Sovietica 218/bis, 10134, Torino. Il corso è rivolto agli studenti della Laurea Magistrale ma la partecipazione è aperta a tutti gli interessati. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Seminario A. Stamm presso Politecnico di Milano
by Laura Maria Sangalli 24 Apr '23

24 Apr '23

Si avvisa che in data 26-04-2023, alle ore 14:30 precise presso il Politecnico di Milano, Dipartimento di Matematica (Edificio 14 - La Nave), in Aula Saleri (sesto piano), nell’ambito delle attività del MOX, si svolgerà il seguente seminario: Aymeric Stamm, Laboratoire de Mathématiques Jean Leray - UMR CNRS, Nantes, France Titolo: Clustering for rotation-valued functional data Abstract: This talk is motivated by the strong case study of monitoring gait for early detection of gait impairment in patients diagnosed with gait-affecting disorders. To this effect, we record the rotation of the hip over time. This leads to data with a great complexity that makes any kind of statistical analysis non-trivial. In effect, we collect functional data that evaluates on the Lie group of three-dimensional rotations which is a non-Euclidean space. In this work, we develop sound statistical methods to enable joint clustering and alignment of such functional data by borrowing ideas from the existing 𝑘-means alignment approach. In the process, we will describe in great length the R package fdacluster, which is an extension of the R package fdakma that provides a fast C++ based implementation of the k-mean alignment algorithm from Sangalli et al. (2010) as well as hierarchical clustering for functional data and tools that help choosing the number of clusters. Il link per seguire il seminario online sarà reso disponibile pochi minuti prima dell’avvio del seminario al seguente Link: https://mox.polimi.it/mox-seminars/?id_evento=2272 <https://mox.polimi.it/mox-seminars/?id_evento=2272> Tutti gli interessati sono cordialmente invitati a partecipare, Laura Sangalli —— Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy (+39) 02 2399 4554 laura.sangalli(a)polimi.it https://sangalli.faculty.polimi.it <https://sangalli.faculty.polimi.it/>

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PhD position in probability at RUG
by Szabo, R. 24 Apr '23

24 Apr '23

Dear colleagues, There is a vacancy for a 4-year PhD position in probability theory at the University of Groningen, on the topic of Stability of Interacting Particle Systems. I would be grateful if you could forward this announcement to potential candidates. For more information and application, please go to: https://www.rug.nl/about-ug/work-with-us/job-opportunities/?details=00347-0… The application deadline is 15 May. Kind regards, Réka Szabó

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2yr postdoc position at CEREMADE (Univ. Paris-Dauphine)
by Alessandra IACOBUCCI 24 Apr '23

24 Apr '23

Dear colleagues, A 24-months postdoctoral position is available on stochastic processes for energy transport at CEREMADE<https://www.ceremade.dauphine.fr/>, Université Paris-Dauphine, in collaboration with CERMICS<https://cermics-lab.enpc.fr/>, Ecole des Ponts ParisTech. The post-doc is funded by the French National Agency ANR within the SINEQ<https://sites.google.com/view/aleiac/anr-sineq> project. The application deadline is May 31, 2023. Applicants should hold a PhD in applied mathematics in at least one of the following fields: theory of stochastic processes, functional analysis, probability theory, theory of partial differential equations. A familiarity with associated numerical analysis or an interest in molecular dynamics and computational statistical physics methods is an advantage, but not required. For details, see https://www.ceremade.dauphine.fr/~iacob/PDFs/postdocANR.pdf. I would be grateful if you could spread the information among your colleagues and potential candidates. Best regards, Alessandra Iacobucci

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Seminario di Gérard Letac, Giovedì 27 Aprile, Sapienza Università di Roma
by Silvestri, Vittoria 23 Apr '23

23 Apr '23

Segnalo il seguente seminario, che si terrà Giovedì prossimo in Sapienza. Notare il giorno e l'aula inusuali. *Giovedì 27 Aprile, ore 14:00* Aula L, Dipartimento di Matematica, Sapienza Università di Roma *Speaker:* Gérard Letac (Paul Sabatier University - Toulouse III) *Title: *From the Matsumoto Yor observation to stationary measures for a discrete KdV model *Abstract: *Let F(x,y)=(u,v) from R2 into itself such that F∘F(x,y)=(x,y). The discrete Korteweg-de Vries model associated to F considers two dimensional vectors (x tn,ytn) indexed by (t,n)∈Z2 submitted to (xtn,ytn)=F(xt−1n,ytn−1). In the particular case F(x,y)=(y−1−(x+y)−1,(x+y)−1), by considerations on Brownian motion, Matsumoto-Yor in 1999 have found laws of independent random variables X,Y such that U,V defined by F(X,Y)=(U,V) are independent, obtaining stationary measures on the KdV model. In an extraordinary paper, Croydon and Sasada (2021) have generalized this result to the surprizing F(x ,y)=(yβxy+1αxy+1,xαxy+1βxy+1). The lecture will prove that if X,Y are independent and such that U,V=F(X,Y) are also independent, then the laws of X and Y are indeed the generalized Gaussian distributions discovered by Croydon and Sasada. This is joint work with Jacek Wesolowski (arXiv 2203.05404). *Nota*: Sul sito del dipartimento il seminario è, ad oggi, annunciato per le 17:00 (in Aula II), ma si terrà alle 14:00 (in Aula L), come annunciato in questa email. La pagina è in corso di aggiornamento. ******************************** Vittoria Silvestri Assistant Professor Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome ********************************

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Seminar@UNIBO - ROSANNA GRASSI
by Fabrizio Lillo 22 Apr '23

22 Apr '23

*Tuesday May 2nd, 2023 12:00* *– 13:00* Dipartimento di Matematica, Università di Bologna Aula Seminario II, Piazza di Porta San Donato 5, Bologna Prof. Rosanna Grassi, Università degli Studi di Milano-Bicocca *Title: Higher order assortativity for directed weighted networks and Markov chains* Abstract: Assortativity is a global indicator that provides meaningful insights about the network structure. In the classical definition, the assortativity is a global measure based on the Pearson correlation between the degrees of nodes. This definition can be extended into two different directions. On the one side, one can consider other quantitative attributes of the nodes different from the degree; on the other side, one can move from the adjacency of the nodes – which is the basis of Newman’s degree-degree assortativity – and propose more general ways to connect them. We provide a generalized concept of the assortativity measure for directed and weighted networks, moving beyond the adjacency relations in both directions. The proposed concept is formulated on a node attribute that is not necessarily the degree or strength, and nodes are connected through walks or paths. In this way, we totally extend the assortativity definitions provided in the literature until now. We provide an empirical application of these measures for the paradigmatic case of the trade network. Interestingly, this interpretation of the higher-order assortativity measure allows stating a natural bridge between complex networks and stochastic processes. In so doing, we are able to move from the information content of the higher order assortativity of a network to the dynamical properties of the underlying Markov chain. Specifically, the temporal dimension of the network and the regularities captured by the autocorrelation – which are hidden in the network structure – become clear in moving to the Markov chain theory. ---------------------------------------- Fabrizio Lillo Dipartimento di Matematica, Università di Bologna Scuola Normale Superiore, Pisa ITALY Personal website: fabriziolillo.wordpress.com University website: www.unibo.it/sitoweb/fabrizio.lillo <http://fabriziolillo.wordpress.com/> phone: +39 050509159

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Postdoc positions
by Franco Flandoli 21 Apr '23

21 Apr '23

Dear colleagues, I am currently advertising two two-year Postdoc positions under the ERC advanced grant NoisyFluid, at Scuola Normale Superiore, in Pisa. Deadline for application: May 15 2023. The call is published at the link: https://amministrazionetrasparente.sns.it/bando/modelli-stocastici-della-tu… Information about the local research group on stochastic fluids and the ERC project can be found at the page https://sites.google.com/sns.it/franco-flandoli/home-page Please contact me for any additional information concerning the project and the call, and please transfer the announcement to other potential candidates. Thanks a lot! Best wishes, Franco Flandoli

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OWABC- Emtiyaz Khan - The Bayesian Learning Rule - April 27, 9.30am UK time
by Massimiliano Tamborrino 21 Apr '23

21 Apr '23

Dear all, The One World ABC Seminar series www.warwick.ac.uk/oneworldabc<http://www.warwick.ac.uk/oneworldabc> is about to resume. Our next speaker will be Emtiyaz Khan<https://emtiyaz.github.io/> (RIKEN), who will talk about "The Bayesian Learning Rule" on Thursday, April 27, 9.30am UK time, with an abstract reported below. The talk will be hosted on MS Teams here<https://teams.microsoft.com/l/meetup-join/19%3ameeting_Yjk5MDQyYWMtZmI3Yy00…>. Title: The Bayesian Learning Rule. Abstract Humans and animals have a natural ability to autonomously learn and quickly adapt to their surroundings. How can we design machines that do the same? In this talk, I will present Bayesian principles to bridge such gaps between humans and machines. I will show that a wide-variety of machine-learning algorithms are instances of a single learning-rule derived from Bayesian principles. I will also briefly discuss the dual perspective yielding new mechanisms for knowledge transfer in learning machines. My hope is to convince the audience that Bayesian principles are indispensable for an AI that learns as efficiently as we do. References * The Bayesian Learning Rule, (Preprint) M.E. Khan, H. Rue [ arXiv<https://arxiv.org/abs/2107.04562> ] [ Tweet<https://twitter.com/EmtiyazKhan/status/1414498922584711171?s=20> ] * Practical Deep Learning with Bayesian Principles, (NeurIPS 2019<https://nips.cc/Conferences/2019>) K. Osawa, S. Swaroop, A. Jain, R. Eschenhagen, R.E. Turner, R. Yokota, M.E. Khan. [ arXiv<https://arxiv.org/abs/1906.02506> ] [ Code<https://github.com/team-approx-bayes/dl-with-bayes> ] * Conjugate-Computation Variational Inference : Converting Variational Inference in Non-Conjugate Models to Inferences in Conjugate Models, (AIstats 2017<http://www.aistats.org/>) M.E. Khan and W. Lin [ Paper<https://arxiv.org/abs/1703.04265> ] Bio: Emtiyaz Khan (also known as Emti) is a team leader at the RIKEN center for Advanced Intelligence Project (AIP) in Tokyo where he leads the Approximate Bayesian Inference Team. He is also an external professor at the Okinawa Institute of Science and Technology (OIST). Previously, he was a postdoc and then a scientist at Ecole Polytechnique Fédérale de Lausanne (EPFL), where he also taught two large machine learning courses and received a teaching award. He finished his PhD in machine learning from University of British Columbia in 2012. The main goal of Emti’s research is to understand the principles of learning from data and use them to develop algorithms that can learn like living beings. For more than 10 years, his work has focused on developing Bayesian methods that could lead to such fundamental principles. The approximate Bayesian inference team now continues to use these principles, as well as derive new ones, to solve real-world problems. We are looking forward to seeing you next Thursday, best, Massimiliano on the behalf of the One World ABC Organisers ------ Dr. Massimiliano Tamborrino Associate Professor Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino ------

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One Day Workshop on Risk Management - from Theory to Practice
by Stefano Bonaccorsi 21 Apr '23

21 Apr '23

Dear Colleagues, We are pleased to announce the workshop "Risk Management - From Theory to Practice" that will take place on Tuesday, May 2nd, at Cassa Centrale Banca, Via Giovanni Segantini, 23, 38122 Trento TN Program: 10:00 Giorgia Callegaro (Padova). Option Pricing: from Monte Carlo to Quantization 11:15 Emanuela Rosazza Gianin (Milano Bicocca): Risk measures beyond coherence 12:30 Lunch break 14:00 Fabio Bellini (Milano Bicocca): On the axiomatizations of Value at Risk, Expected Shortfall and expectiles 15:15 Elisa Mastrogiacomo (Insubria): Dynamic risk measures: dual representation, time-consistency and connections with Backward Stochastic Differential Equations} Organized by: Carlo Acerbi (Larix Risk Consulting) Stefano Bonaccorsi (Università di Trento) Sponsorship: Cassa Centrale Banca Participation is free of charge, but registration is mandatory. The registration deadline is April 28th 2023 (Friday) at 12:00. Please register via email at primer.maths(a)unitn.it Live streaming available on request, please contact the organizers at \ texttt{primer.maths(a)unitn.it} Risk Management – From theory to practice

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