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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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