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Next OWPS on March 29th: Milton Jara and Otávio Menezes
by Alberto Chiarini 22 Mar '23

22 Mar '23

OWPS's next session will be on Wednesday the 29th of March from 15:00 to 17:00 UTC (Coordinated Universal Time). Our next speakers are: Milton Jara (IMPA) and Otávio Menezes (Purdue University) Title, abstract and the zoom link are below the signature and can be found on the website https://www.owprobability.org/one-world-probability-seminar. If you are interested in the project, we kindly ask you to share this announcement within your community. With best wishes, Alberto Chiarini (Padua) and Adrián González Casanova (Berkeley and México) ----------------------------------------------------------------------------------------------------------- Talk : Milton Jara (IMPA) and Otávio Menezes (Purdue University) Title : CLT for NESS Abstract : Non-equilibrium stationary states (NESS) are ubiquitous in nature, but not well understood from a mathematical point of view. The main features of NESS is the presence of non-trivial currents, which generate long-range correlations in the system. Modeling physical systems by Markov chains, one can restate questions about NESS as the description of invariant measures for non-reversible Markov chains. This opens the way to describe NESS by probabilistic methods. However, basic questions for non-reversible Markov chains, like for example mixing times or quantitative CLTs are not been answered in great generality. Our first talk will introduce NESS with some examples, and it will introduce general and fairly elementary methodology for Markov chains that we believe is well suited to the study of non-reversible Markov chains. The second talk will describe some recent results about the description of NESS for driven-diffusive systems. Zoom-link: https://unipd.zoom.us/j/82893164291?pwd=RHZIeXU2b3pVOE1OSU5tdFd2Y2RPUT09 Meeting ID: 828 9316 4291 Passcode: 251936 If you are having trouble with zoom, or if the capacity of the zoom room gets exceeded, you can also access to the Youtube live stream at the channel of the seminar: https://www.youtube.com/channel/UCiLiEQGTp6bZEhuHDM-WNWQ

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Seminar announcement: M. Tarsia on time-inconsistent recursive stochastic control problems – March 29, 2023 – 13:00-14:00
by Mastrogiacomo Elisa 21 Mar '23

21 Mar '23

Dear Colleagues, On March 29, 2023, 13:00-14:00, Dr. Marco Tarsia (University of Insubria) will give a talk on “Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems” (joint work with Elisa Mastrogiacomo). The seminar will be held in person and online via the MS Teams platform. Link: https://teams.microsoft.com/l/meetup-join/19%3ameeting_OWU0MDRiNjctYWNmYS00… Place: Dipartimento di Economia, Via Monte Generoso 71, room TBA. Below you can find an abstract of Marco’s talk. You are all invited. *** Abstract In this talk, we discuss about time-inconsistent recursive stochastic control problems, i.e., for which Bellman’s principle of optimality does not hold. In practice, a restriction of an optimal control for a specific initial pair on a later time interval might not be optimal for that corresponding initial pair; this happens, for instance, in dynamic utility maximization problems for investment- consumption strategies under non-exponential discounting. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and dynamic programming is not easily applicable. Therefore, the notion of optimality is defined through a game-theoretic framework by means of subgame-perfect equilibrium: we interpret our preference changes which, realistically, are inconsistent over time, as players in a game for which we want to find a Nash equilibrium. The approach followed in our work relies on the stochastic (Pontryagin) maximum principle: we adapt the classical spike variation technique to obtain a characterization of equilibrium strategies in terms of a generalized second-order Hamiltonian function defined through pairs of backward stochastic differential equations, even in the multidimensional case. We emphasize that, similarly to the classical case, equilibrium strategies are characterized through both a necessary condition and a sufficient condition involving the generalized Hamiltonian function, whereas, contrary to the classical case, this sufficient condition works even in the absence of extra convexity assumptions. Going further, our analysis is extended to time-inconsistent recursive stochastic control problems under a constraint defined by means of an additional recursive utility, under appropriate boundedness assumptions. That constraint refers to an expected value and so we adapt Ekeland’s variational principle to this trickier situation. Finally, the theoretical results are applied in the financial field to finite horizon investment-consumption policies with non-exponential actualization. Here the existence of non-trivial equilibrium policies is also ascertained. Best regards, Elisa Mastrogiacomo ----------------------------------------- Professore Associato di Metodi matematici dell'economia e delle scienze attuariali e finanziarie DIPARTIMENTO D'ECCELLENZA 2023/2027 Università degli Studi dell'Insubria Dipartimento di Economia Via Monte Generoso, 71 – 21100 Varese tel. +39 0332/395528 web: www.uninsubria.it<http://www.uninsubria.it/> mail: elisa.mastrogiacomo(a)uninsubria.it<mailto:mario.rossi@uninsubria.it> Chiaramente Insubria! [LOGO-ATENEO-FONDO TRASPARENTE]<http://www.uninsubria.it/> [Facebook] <https://www.facebook.com/uninsubria> [Twitter] <https://twitter.com/Uni_Insubria> [Instagram] <https://instagram.com/uninsubria> [YouTube] <https://www.youtube.com/user/LabVAMultimedia>

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Seminario di Marta Leocata, Martedì 21 Marzo, Sapienza Università di Roma
by Silvestri, Vittoria 21 Mar '23

21 Mar '23

Ricordo il seminario di oggi, e segnalo che sarà trasmesso su zoom al seguente link: *Zoom link: * https://uniroma1.zoom.us/j/98462690288?pwd=SnYrNmpTQXQxZEI2UmN3VW1ucVNBdz09 Meeting ID: 984 6269 0288 Passcode: 683135 *Martedì 21 Marzo, ore 14:00* Sala di Consiglio, Dipartimento di Matematica, Sapienza Università di Roma *Speaker:* Marta Leocata, SNS *Title: *Modeling an example of green transition *Abstract:* The work presented is part of a collaboration between mathematicians and philosophers of ethics, politics, and society aiming to understand mechanisms of green energy transition where some kind of interaction between many subjects and collective behaviors seem to play a role. We have identified as a first example the case of solar photovoltaic, with the purpose of explaining the time series of Italy and of different regions. We use tools from continuous-time Markov chains, mean field limits, optimal control, and mean field games. Then, we specify our analysis on the case of domestic installations. In order to explain them we propose a Markovian model of interacting particle systems to describe the decision of a significant proportion of the general public in Italy on the installation of solar photovoltaics (PVs) and compare our models to real data. We assume that the adoption decision follows a well precise pattern. First, the general public develops a certain level of sensitivity to climate change and environmental issues. Then it plans to install the PVs because she/he has a sufficient amount of information on the benefits of PVs. Finally, it installs PVs because the economic benefits out-weights the costs. In conclusion, we propose some original policies, not based not on financial incentives. This work is in collaboration with Franco Flandoli (SNS), Giulia Livieri (SNS), Silvia Morlacchi (SNS), Fausto Corvino (University of Gothenburg) and Alberto Pirni (SSSA). ******************************** Vittoria Silvestri Assistant Professor Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome ********************************

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Padova Seminars in Probability and Finance - Nicola Turchi (Università Milano Bicocca)
by alessandra bianchi 20 Mar '23

20 Mar '23

Dear Colleagues, We would like to invite you to the following seminar that will take place on March 31 at 14.30 at the Math Department of Padova. The seminar will be held in person and online via the Zoom platform. The organizers, Alessandra Bianchi, Giorgia Callegaro, Marco Formentin _____________________________________________________ *Speaker*: Nicola Turchi (Università Milano Bicocca) *Title*: High-dimensional random polytopes of the Beta kind *Date and time*: Friday, MARCH 31 at 14.30 *Place*: room 1BC45 at the Department of Mathematics, University of Padova *Zoom link*: https://unipd.zoom.us/j/82935460505 (Meeting ID 829 3546 0505) available also on the webpage https://www.math.unipd.it/~bianchi/seminari/ *Abstract*: Beta polytopes are a class of random polytopes, which arise as convex hulls of independent random points distributed according to a certain radially-symmetric probability distribution supported on the Euclidean ball, called the beta distribution. A prominent reason for the interest surrounding them is that the beta distribution exhibits peculiar properties that make exact computations possible to achieve, contrarily to most other models of randomness with non-independent coordinates. As the space dimension grows, the expected fraction of the volume that these polytopes fill within their supporting balls can be asymptotically negligible or not, depending on the number of points which are picked in each dimension. In this talk we give an overview on how to quantify this statement, first showing a rough threshold for the aforementioned growth and secondly a more precise one, namely how many points are needed to get any fraction in average. Lastly, we show how we can handle more precise asymptotics for the approach towards zero in the lower regimes of points, based on a work in progress with G. Bonnet and Z. Kabluchko. -- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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Concorso ricercatore/rice a tempo determinato di tipo b) SSD SECS-S/06 - Dip. di Scienze Economiche - Verona
by Cecilia Mancini 20 Mar '23

20 Mar '23

Nella Gazzetta Ufficiale - IV Serie Speciale n. 21 del 17/03/2023 è stato pubblicato l'avviso relativo all'indizione della procedura selettiva per il Dipartimento di Scienze Economiche: RTDB - SSD SECS-S/06 Metodi matematici dell'economia e delle scienze attuariali e finanziarie - Cod. 2023rtdb003 Bando disponibile all'Albo Ufficiale e alla pagina concorsi del sito web di Ateneo all’indirizzo: https://www.univr.it/it/concorsi/personale-docente La scadenza per la presentazione delle domande è il 17 APRILE 2023 alle ore 20.00.

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Re: PhD in theoretical probability/statistical mechanics at UU
by Vanessa Jacquier 20 Mar '23

20 Mar '23

Inoltro per conoscenza. Vanessa Jacquier > > *From: *"Ruszel, W.M. (Wioletta)" <w.m.ruszel(a)uu.nl> > *Date: *Sunday, 19 March 2023 at 22:46 > *To: *stoch-ned-l <stoch-ned-l-bounces(a)lists.science.uu.nl> > *Subject: *PhD in theoretical probability/statistical mechanics at UU > > > > Dear colleagues, > > > > There is a vacancy for a PhD position in theoretical > probability/statistical mechanics at UU. I would appreciate if you > forwarded it to potentially interested students. > > > > *Description of the project:* > > Lattice models from statistical mechanics have been successfully used in > various areas to describe macroscopic properties of interacting systems by > specifying their microscopic interactions. Key objects are Gibbs measures, > which describe macroscopic equilibrium states of large systems of many > interacting objects. In case the interaction is of finite range, the > geometry of Gibbs measures and most of its properties are well understood. > Many interesting physical systems have interactions which decay > polynomially or are of Coulomb type. In this context, many natural > questions are still open. In the PhD project we will investigate the > geometry of the simplex of Gibbs measures with nonlocal interactions, > effective interface models and their scaling limits. The research work lies > in the intersection of theoretical probability, analysis and mathematical > physics. > > > > We are looking for a student with a master’s degree in mathematics and > some affinity to theoretical physics. > > > > For more information and application please go to: > > > https://www.uu.nl/en/organisation/working-at-utrecht-university/jobs/phd-po… > > > > *Deadline for the application*: 29.04.2023. > > > > Kind regards > > Wioletta Ruszel > > >

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Special Issue Applied Stochastic Models in Business and Industry
by Carlo Sgarra 20 Mar '23

20 Mar '23

Dear members of the Random list, As already anticipated, the journal of ISBIS (International Society for Business and Industrial Statistics), Applied Stochastic Models in Business and Industry (ASMBI), is inviting contributions for a special issue devoted to: “Energy Finance & Climate Change” Deadline: 30 June 2023 As it is mentioned in the call for papers, this special issue aims at collecting high-quality contributions on a wide range of theoretical and applied topics in energy finance and climate change, such as (but not limited to): Energy and climate data science, Energy forecasting, Energy innovations, Energy markets, Energy analytics, Energy mix and carbon emission trading, ESG, Green finance & financing energy infrastructure, Climate policy and risk, Climate change & market efficiency, Climate change & pricing uncertainty, Regulation and regulatory risk, Renewable sources, Risk measurement and management, Storage devices, Sustainable finance. Contributions from multiple areas are welcome, and they might range from more exquisitely technical aspects of modeling to the practical implications of the actual uncertainties on the energy market recent developments, highlighting their innovative applications in an ever evolving complex environment. The displayed models, the computational techniques and the data methodologies can rely on stochastic processes, statistical analysis, time series forecasting, derivative pricing and hedging, machine learning, Monte Carlo simulations, data mining, risk estimation and management, and related tools. Papers should present innovative methodologies and/or forceful applications of existing methods. All submissions will go through the standard, selective review process of ASMBI via https://wiley.atyponrex.com/journal/ASMB<https://wiley.atyponrex.com/journal/ASMB%20is%2030%20June%202023>. Please follow the ASMBI author submission guidelines given on the ASMBI website and click on the box about submissions for special issues, selecting "Energy Finance” when prompted. The Guest Editors of the special issue are: - Roberto Baviera (roberto.baviera(a)polimi.it), - Carlo Sgarra (carlo.sgarra(a)polimi.it), - Tiziano Vargiolu (vargiolu(a)math.unipd.it), - Rituparna Sen (rsen(a)isichennai.res.in). For any information about ASMBI, please contact its Editor-in-Chief, Fabrizio Ruggeri (fabrizio(a)mi.imati.cnr.it). Waiting for your contribution The Guest Editors: Roberto Baviera, Rituparna Sen, Carlo Sgarra, Tiziano Vargiolu

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LTI@Unito Seminars| Dimitri Vayanos (March 7) and Johan Hombert (March 8) @ 12.00
by Luca Regis 17 Mar '23

17 Mar '23

Dear Colleagues, it is my pleasure to invite you to the following two seminars in Quantitative Finance, organised by LTI@UniTO (www.carloalberto.org/lti) and Collegio Carlo Alberto (CCA): ------------------------------------------------------------------------------------------- March 7th @ 12.00 (webinar) Speaker: Dimitri Vayanos (LSE) Title: Passive Investing and the Rise of Mega-Firms Abstract: We study how passive investing affects asset prices. Flows into passive funds raise dispropor-tionately the stock prices of the economy’s largest firms—even when the indices tracked by the funds include all firms. Passive flows also raise the largest firms’ return volatility the most, andraise the aggregate stock market even when they are entirely due to investors switching from active to passive. These effects arise because of the re-pricing of systematic and large firms’idiosyncratic risk. We estimate that passive investing caused the 50 largest US firms to rise 30%more than the US stock market over 1996–2020. Zoom link: https://us02web.zoom.us/j/85025027662?pwd=ajU0NjU3MGZRMitQTkZRT0ZjR0F5UT09 Event webpage link: https://www.carloalberto.org/event/dimitri-vayanos-london-school-of-economi… ----------------------------------------------- March 8th @ 12.00 (hybrid seminar) Speaker: Johan Hombert (HEC Paris) Title: Innovation Booms, Easy Financing, and Human Capital Accumulation Abstract: Innovation booms occur frequently and are often fueled by easy financing that allows new technology firms to pay high wages that attracts skilled labor. Using the late 1990s Information and Communication Technology (ICT) boom as a laboratory, we show that skilled labor joining this new sector experienced sizeable long-term earnings losses. We trace these losses to skill obsolescence, that cannot be explained by either selection or the subsequent ICT sector bust. During the boom, capital flowed more to firms whose workers would ultimately experience a larger productivity decline. This suggests that financial capital can amplify the negative effects of labor reallocation into booming sectors on aggregate labor productivity. Zoom link: https://us02web.zoom.us/j/89743168691?pwd=bU1qMDZSVStBTjJtcU9nZXNWZS8zdz09 Event webpage link: https://www.carloalberto.org/event/johan-hombert-hec-paris/ Best regards, Luca Regis -- Luca Regis Associate Professor ESOMAS Department, University of Torino Collegio Carlo Alberto sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti

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BioInference2023 - 2nd announcement
by Massimiliano Tamborrino 17 Mar '23

17 Mar '23

Dear all, We are delighted to announce the 2nd BioInference conference (https://bioinference.github.io/2023), taking place at the Doctoral Training Centre at the University of Oxford on the 8th-9th June 2023. It is our pleasure to confirm that this year's invited speakers are * Ritabrata Dutta<https://warwick.ac.uk/fac/sci/statistics/staff/academic-research/dutta/>, University of Warwick * Marina Evangelou<https://www.imperial.ac.uk/people/m.evangelou>, Imperial College London * Robin Thompson<https://www.robin-thompson.co.uk/>, University of Warwick * Juliette Unwin<https://www.imperial.ac.uk/people/h.unwin>, Imperial College London * Darren Wilkinson<https://darrenjw.github.io/>, Durham University The registration fee for in-person attendance (including lunch and refreshments for the two days) is £70. Moreover, the deadline for abstract submissions for the conference has been extended to 31st March. Abstracts for contributed talks or posters on work either relating to statistical methods development (so long as those methods are applicable to biological systems) or on the application of statistical methods to solve biological problems can be submitted via a Google form (shorturl.at/dfo68<http://shorturl.at/dfo68>). The conference organising committee is committed to ensuring fair participation of individuals across all career stages, genders, races and ethnicities, ages, geographic locations, and universities. Kind regards, The BioInference Organisers Ioana Bouros (Oxford); Fergus Cooper (Oxford); Richard Creswell (Oxford); Aden Forrow (Maine); Ben Lambert (Exeter); Chon Lok Lei (Macau); Massimiliano Tamborrino (Warwick); Tom Thorne (Surrey)

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40th Linz Seminar on Fuzzy Set Theory: Copulas – Theory and Applications
by Fabrizio, Antonio DURANTE 17 Mar '23

17 Mar '23

Dear Colleague, it is our pleasure to invite you to participate in the 40th Linz Seminar on Fuzzy Set Theory <https://www.flll.jku.at/linz2023> Copulas – Theory and Applications Bildungshaus St. Magdalena, Linz, Austria June 6-9, 2023 Since their inception in 1979 the Linz Seminars on Fuzzy Sets have emphasized the development of mathematical aspects in the context of fuzzy sets by bringing together researchers in fuzzy sets and established mathematicians whose work outside the fuzzy setting can provide direction for further research. The philosophy of the seminar has always been to keep it deliberately small and intimate so that informal critical discussions remain central. LINZ 2023 will be the 40th seminar carrying on this tradition and is devoted to the theme "Copulas — Theory and Applications". The goal of the seminar is to present and to discuss recent advances of copulas and related functions and their applications in pure and applied fields. Accordingly, the topics of the Seminar will include but not be limited to: · Copula theory o From bivariate to multivariate copulas o Dependence measures and association o Approximation and convergence of copulas o Measure theoretic aspects of copulas o Copulas in the discrete setting · Copula applications o Applications in pure and applied fields o Estimation in the context of copulas o Copula methods in Data Science o Feature selection · Relationship to other aggregation functions o Triangular (co)norms, implications o Uninorms, nullnorms o Quasi-copulas, semicopulas o Distribution functions The "Linz" tradition has these key features: the number of participants of the Linz Seminars is usually bounded above by 40 with broad international representation and an enjoyable mix of pure and applied interests; there are no parallel sessions so that all participants focus on each presentation and fully engage in each topic; and there is time for discussion of each presentation, with follow up round table(s) for discussion of open problems and issues raised in the talks. In particular, young researchers (PhD students, junior post-docs) are encouraged to submit their latest results. Please submit your extended abstract (up to 4 pages) by March 29th, 2023 following the guidelines provided at the webpage of the seminar. Further Information about the seminar(s) is available at: https://www.flll.jku.at/linz2023 and https://www.flll.jku.at/linzseminars We look forward to your contributions and to welcoming you in Linz, Best regards, Fabrizio Durante, Susanne Saminger-Platz, Wolfgang Trutschnig (Program 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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