- Random - Mailing list — Dipartimento di Matematica, UniPI

42nd Finnish Summer School on Probability and Statistics in Lammi, Finland 27-31.5.2024
by Gasbarra, Dario 29 Feb '24

29 Feb '24

Dear friends of Stochastics and Statistics, the registration for the 42nd Finnish Summer School on Probability and Statistics in Lammi, Finland 27-31.5.2024 is open ! Please check the website https://fdnss.fi/42nd-finnish-summer-school-on-probability-and-statistics/ Minicourses: * Jüri Lember<https://www.etis.ee/CV/J%C3%BCri_Lember> (University of Tartu) Pairwise Markov Models (abstract<https://fdnss.fi/pairwise-markov-models/>) * Kostiantyn Ralchenko<https://probability.knu.ua/index.php?page=userinfo&person=ralchenko&lan=en> (Taras Shevchenko National University of Kyiv) Fractional Vasicek model: Asymptotic properties and statistical inference * Roland Speicher<https://www.uni-saarland.de/lehrstuhl/speicher/roland-speicher.html> (Universität des Saarlandes) Free Probability and Random Matrices (abstract<https://fdnss.fi/free-probability-and-random-matrices/>) * Josep Vives<https://webgrec.ub.edu/webpages/000006/ang/josep.vives.ub.edu.html> (Universitat de Barcelona) Malliavin-Skorohod calculus for additive processes with applications to Finance and Insurance See you in Lammi ! Dario Gasbarra, Department of Mathematics and Statistics University of Helsinki

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Recall: 1 Year Post-Doc position in Verona
by Alessandro Gnoatto 29 Feb '24

29 Feb '24

alessandro.gnoatto(a)univr.it would like to recall the message, "1 Year Post-Doc position in Verona".

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1 Year Post-Doc position in Verona
by Alessandro Gnoatto 29 Feb '24

29 Feb '24

1 Year Post-Doc position in Verona I am looking for a post-doc to join my group. The topic of the research project is "Machine learning and stochastic control for financial risk management" The aim of this project is to study new methods, models, and numerical techniques for the treatment of financial risk management problems, in particular counterparty credit risk (xVA) or the pricing of financial and insurance claims. Many problems in finance involve the minimization of a cost functional subject to controlled stochastic state variables. Controls or related quantities in high dimension can be conveniently approximated by means of artificial neural networks. The aim of the project is to study control problems and partial (integro) differential equations under general dynamics together with the development of new models for the evolution of risk factors, with a special focus on interest rates. The candidate should have a solid background in probability, stochastic calculus and computational finance. Experience with the Java and/or Python programming languages and Machine Learning frameworks such as Tensorflow, Deep Java Library or Deeplearning4J is a plus. Candidates will be evaluated based on their scientific quality and their potential in developing research. There are no teaching obligations and knowledge of Italian is not required. The deadline for applications is the 19 March 2024 (h. 13.00). The link to the call is here https://docs.univr.it/documenti/Concorso/bando/bando371360.pdf The call is in Italian. Non-Italian speakers needing help with the form can contact me at alessandro [dot] gnoatto [at] univr [dot] it I am happy to help. The Economics Department of the University of Verona has been recognized as "Department of Excellence" ("Dipartimento di Eccellenza") in the latest Italian Government Research Quality Evaluation Procedure. The research group in quantitative and mathematical finance of the University of Verona offers a vibrant and young working environment. Members of the group: - Alessandro Gnoatto (full professor) - Cecilia Mancini (full professor) - Cosimo-Andrea Munari (associate professor) - Athena Picarelli (associate professor and local coordinator of the project) - Andrea Mazzon (tenure-track assistant professor) - Sara Svaluto-Ferro (tenure-track assistant professor) - Jonathan Tam (post-doc) We also run a dedicated PhD program on quantitative methods for economics and finance. — Prof. Alessandro Gnoatto Presidente del CdLM "Banca e Finanza" 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<http://www.alessandrognoatto.com/> E-mail: alessandro.gnoatto(a)univr.it<mailto:alessandro.gnoatto@univr.it> -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

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RTT 13/D4 (SECS-S/06) @UNIMI
by Giovanni Puccetti 27 Feb '24

27 Feb '24

Si prega di dare massima diffusione. Sulla Gazzetta Ufficiale – IV serie speciale – Concorsi ed Esami n. 16 del 23/02/2024 è stato pubblicato l’avviso d'indizione di selezioni pubbliche, per titoli e discussione pubblica, per la copertura di un posto di ricercatore a tempo determinato in tenure track (RTT), mediante stipula di contratto di lavoro subordinato della durata di 6 anni, ai sensi dell’art. 24 della Legge 30 dicembre 2010 n. 240 come modificato dall’art.14 comma 6-decies del decreto legge 30 aprile 2022, n. 36 convertito con modificazioni, dalla Legge 29 giugno 2022, n. 79, per lo svolgimento di attività di ricerca e di didattica, di didattica integrativa e di servizio agli studenti, presso il Dipartimento di Economia, Management e Metodi Quantitativi dell’Università di Milano; Settore Concorsuale 13/D4, SSD SECS-S/06. La procedura di compilazione ed invio della domanda di partecipazione alle suddette selezioni pubbliche è interamente ed esclusivamente telematica e prevede l’utilizzazione dell’applicazione informatica SICON. Il testo integrale del bando, con allegato il facsimile della domanda e con l’indicazione dei requisiti e delle modalità di partecipazione alle sopracitate selezioni pubbliche, è disponibile alla pagina Web https://www.unimi.it/it/node/581/ scegliendo il codice della procedura (5498) attraverso il motore di ricerca a inizio pagina. Il termine ultimo per la presentazione delle domande è fissato per le ore 12:00 del 25 marzo 2024. https://www.unimi.it/it/ateneo/lavora-con-noi/reclutamento-ricercatori/sele… (se il suddetto link non funziona inserire il codice 5498 alla pagina Web https://www.unimi.it/it/node/581/ ) — Giovanni Puccetti https://sites.google.com/site/giovannipuccetti/ — Department of Economics, Management and Quantitative Methods University of Milano Via Conservatorio 7, 20122 Milano (MI) ITALY — Editor-in-Chief Dependence Modeling (De Gruyter) http://www.degruyter.com/view/j/demo

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Seminario Ilya Losev - Lunedì 4 Marzo - Sapienza Università di Roma
by Silvestri, Vittoria 26 Feb '24

26 Feb '24

Si segnala il seguente seminario: Lunedì 4 Marzo 2024, ore 16:00, Sala di Consiglio, Dipartimento di Matematica "Guido Castelnuovo", Sapienza Università di Roma. *Speaker: *Ilya Losev (University of Cambridge, UK) *Title: *How long are the arms in Dielectric-Breakdown Model? *Abstract: *In this talk we will discuss the recent progress on such random growth models as Diffusion Limited Aggregation (DLA) and Dielectric-Breakdown Model (DBM) in 2 and 3 dimensions. These models are believed to exhibit non-equilibrium growth, producing irregular fractal patterns. The main questions about these processes include finding their scaling limits and fractal dimensions. However, almost nothing is known rigorously. The main result about these models is due to Kesten, who gave a non-trivial lower bound on the fractal dimension of DLA clusters. The main tool in his proof was the famous Beurling’s estimate. We generalize this result to DBM and give a new proof of Kesten’s Theorem. Our proof does not rely on Beurling’s estimate. Instead, we exploit the connection between DBM growth properties and multifractal spectrum of the harmonic measure. ******************************** Vittoria Silvestri Assistant Professor Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome ********************************

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INdAM Workshop: Analysis and Geometry of Random Fields
by Francesco Grotto 26 Feb '24

26 Feb '24

Dear colleagues, We are glad to announce the I*NdAM Workshop: Analysis and Geometry of Random Fields* that will be held at the INdAM F. Severi, first floor, Dipartimento di Matematica G. Castelnuovo, Piazzale Aldo Moro 5, *Roma*, on *September 4-5-6, 2024*. We are proud to host many international experts on the subject, for more information please visit the website <https://events.dm.unipi.it/e/randomfields> of the event or contact the organizers at *indamrandomfields2024(a)gmail.com <indamrandomfields2024(a)gmail.com>* Participation is free and welcome, but registration is mandatory and the number of participants is limited due to the venue size. *Register here <https://events.dm.unipi.it/event/207/registrations/>. *The* deadline *for registration is* May 31, 2024.* Best wishes, The organizers (Francesco Grotto and Anna Paola Todino)

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Call for Papers | COPA 2024 @ Politecnico di Milano
by Simone Vantini 26 Feb '24

26 Feb '24

A TUTTI GLI INTERESSATI CON PREGHIERA DI DIFFUSIONE Gentilissimi, Si comunica che il 13° Simposio Conformal Prediction and Probabilistic Prediction with Applications (COPA2024) si terrà presso il Politecnico di Milano, dal 9 all'11 settembre 2024. Il simposio rappresenta un'opportunità unica per condividere e discutere ricerche originali e inedite nel campo della Conformal Prediction, e in generale in ambito predizione probabilistica. Gli articoli accettati saranno pubblicati nei Proceedings of Machine Learning Research, conferendo un riconoscimento internazionale ai contributi presentati. Sito web del Simposio: https://copa-conference.com/ Dettagli dell'Evento: Data: 9-11 settembre 2024 Luogo: Politecnico di Milano, Piazza Leonardo da Vinci 32, 20133, Milano, Italia Call for Papers: Siamo alla ricerca di contributi in lingua inglese, originali e non pubblicati, che riguardino tutti gli aspetti della predizione conforme e probabilistica. I contributi dovranno essere redatti secondo le linee guida di formattazione del Journal of Machine Learning Research (JMLR). Lista dei topic: https://easychair.org/cfp/COPA2024 Link per la sottomissione: https://easychair.org/conferences/?conf=copa20240 Deadline per la sottomissione: 1 aprile 2024. Cordiali saluti, Prof. Simone Vantini Associate Professor of Statistics MOX Laboratory for Modeling and Scientific Computing Department of Mathematics Politecnico di Milano simone.vantini(a)polimi.it<mailto:simone.vantini@polimi.it> Dr. Matteo Fontana Lecturer in Data Science Department of Computer Science School of Engineering, Physical and Mathematical Sciences Royal Holloway, University of London matteo.fontana(a)rhul.ac.uk<mailto:matteo.fontana@rhul.ac.uk>

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ABS24 school "Bayesian Phylogenetics and Infectious Diseases" in Como, Italy (August 26-30, 2024) - Registration are open
by Elisa Varini 26 Feb '24

26 Feb '24

Dear all, We are glad to inform you that the next Applied Bayesian Statistics school - ABS24 will be held in the city of Como, along the Lake Como shoreline, on August 26-30, 2024. The school is organised by CNR IMATI (Institute of Applied Mathematics and Information Technologies at the National Research Council of Italy in Milano), in cooperation with Fondazione Alessandro Volta. The topic will be BAYESIAN PHYLOGENETICS AND INFECTIOUS DISEASES. The lecturer will be Prof. MARC SUCHARD (Department of Biostatistics, UCLA Fielding School of Public Health, USA), with the support of Filippo Monti (PhD student in Biostatistics, UCLA, USA). If interested, you can register on the school website: https://abs24.imati.cnr.it/ If you are interested in the school but unwilling to register for the moment, please send an email to abs24(a)mi.imati.cnr.it and we will send you updates and reminders. As in the past (since 2004), there will be a combination of theoretical and practical sessions, along with presentations by participants about their work (past, current and future) related to the topic of the school. OUTLINE: The aim of this course is to explore the core challenges of Bayesian inference of stochastic processes in modern biology in terms of data-scale, model-dimensionality and compute-complexity. Challenging and emerging statistical solutions will be illustrated through the analysis of biological sequences, such as genes and genomes. Molecular phylogenetics has become an essential analytical tool for understanding the complex patterns in which rapidly evolving pathogens propagate across and between countries, owing to the complex travel and transportation patterns evinced by modern economies, along with growing political factors such as increased global population and urbanisation. As an accessible course for all, a brief introduction of the underlying biology (for statistical researchers) and of modern Bayesian inference (for practicing biologists) will be also provided. Topics will cover probabilistic modeling techniques using both discrete- and continuous-valued stochastic processes including continuous-time Markov chains and Gaussian processes; large-scale data-integration approaches incorporating factors like human mobility and climate measurements; recursive computing and other mathematical tricks to evaluate seemingly intractable likelihoods; state-of-the-art sampling methods for high-dimensional models including Hamiltonian Monte Carlo and its more recent non-reversible extensions; delivering timely inference on advancing computing hardware like graphics processing units and (maybe even) quantum devices. We hope you will be interested in the school and we would like to meet you in Como next year. We invite you also to share the information with people potentially interested. Best regards Elisa Varini and Fabrizio Ruggeri Executive Director and Director of ABS24

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SMPS 2024 in Salzburg, Austria: extended deadline
by Fabrizio, Antonio DURANTE 23 Feb '24

23 Feb '24

[please distribute - apologies for multiple postings] Dear Colleagues, the SMPS 2024 conference (Soft Methods in Probability and Statistics) will take place on September 03-06, 2024, in Salzburg, Austria. We expect 80-120 participants and - apart from an interesting scientific event - also plan to integrate in the conference what Salzburg is most famous for: classical music and beautiful landscapes. Our objective is to keep the fees including lunches, conference dinner, social events and Springer book of proceedings low (300-400€ regular price, reduced amount of 150-180€ for PhD students; precise numbers to be determined in spring after knowing the exact number of participants). Confirmed plenary spearkers are: Siegfried Hörmann (Graz University of Technology, AT) Susanne Saminger-Platz (Johannes Kepler University Linz, AT) Steven Vanduffel (Vrije Universiteit Brussel, BE) Ingrid Van Keilegom (KU Leuven, BE) Christian Wagner (University of Nottingham, UK) The SMPS conference series has the tradition to collect short papers of 6-8 pages of all participants giving a talk - these papers will undergo a quick peer-review and should either contain novel results or provide a survey over recently established material. All accepted contributions will be published in a Springer conference proceedings book with the title "Combining, modelling and analyzing imprecision, randomness and dependence". Elsevier will sponsor SMPS 2024 with a best paper award of 1000€, additionally there will be a special issue related to the conference in the International Journal of Approximate Reasoning. Submission of short papers will be possible as of January 1st, 2024, and ends on March 17th, 2024. Required LaTex style etc., a link to the submission platform, and additional information can be found on the conference homepage http://www.smps2024.com <https://eur05.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.smps20…>. Hotels with slightly reduced room prices for SMPS participants will be available on the webpage as of mid March. Looking forward to welcoming you in Salzburg Wolfgang Trutschnig, Jonathan Ansari, Sebastian Fuchs (SMPS 2024 chairs) --------------------------------------------------------- Fabrizio Durante Dipartimento di Scienze dell'Economia Centro Ecotekne Pal. C S.P. 6, Lecce - Monteroni LECCE (ITALY) Phone: +39 0832 29 8672 https://sites.google.com/site/fbdurante/ --

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Sapienza seminar in Probability and Statistics - Refik Soyer
by Luisa Beghin 23 Feb '24

23 Feb '24

Dear all, We would like to invite you to the following talk: *Thursday 29th February at 1**5:00* Room 24 (fourth floor), Dipartimento di Scienze Statistiche (Ed. CU002), Sapienza University *Speaker: Refik Soyer* (George Washington University (US)) *Title: Latent Factor Multivariate Integer-Valued AR Processes* Abstract: We introduce a new class of multivariate integer-valued autoregressive (INAR) models based on the notion of a common random environment. Dependence among the components of the multivariate time series is induced via the common environment that follows a Markovian evolution. The proposed framework provides us with a dynamic multivariate generalization of the univariate INAR processes. We develop a Markov chain Monte Carlo method as well as a particle learning algorithm for Bayesian inference. We consider an extension of the model to handle zero inflated time-series data and illustrate the proposed class of models using actual multivariate count data and discuss their predictive performance. (Joint work with Di Zhang, Expedia, US and Hedibert Lopes, INSPER, Brazil) Best regards. Luisa Beghin and Fabio Spizzichino *************************************************************** 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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