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Seminario di Filosofia della Matematica
by Stefania Ugolini 30 Jan '20

30 Jan '20

Segnalo questo interessante seminario di filosofia della matematica tenuto da un filosofo e matematico (probabilista).<signatureafterquotedtext></signatureafterquotedtext> Una Filosofia contemporanea della matematica contemporanea? Frederic Patras Dipartimento di Matematica, Università degli Studi di Milano, Martedì 4 Febbraio 2020, Aula 3, ore 14:30

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RTD-B SECS-S/06 @UNIMI
by Giovanni Puccetti 30 Jan '20

30 Jan '20

[Link funzionante] Alla pagina web https://www.unimi.it/it/node/581/ <https://www.unimi.it/it/node/581/> è consultabile il bando per la selezione pubblica per un posto di ricercatore a tempo determinato ai sensi dell’art. 24, comma 3, lett. b), nel settore 13/D4 (SECS-S/06), presso il Dipartimento di Economia, Management e Metodi Quantitativi dell’Università degli Studi di Milano.

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RTD-B SECS-S/06 @UNIMI
by Giovanni Puccetti 30 Jan '20

30 Jan '20

Alla pagina web https://www.unimi.it/it/ateneo/lavora-con-noi/reclutamento-ricercatori/sele… <https://www.unimi.it/it/ateneo-lavora-con-noi-reclutamento-ricercatori-sele…> è consultabile il bando per la selezione pubblica per un posto di ricercatore a tempo determinato ai sensi dell’art. 24, comma 3, lett. b), nel settore 13/D4 (SECS-S/06), presso il Dipartimento di Economia, Management e Metodi Quantitativi dell’Università degli Studi di Milano.

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PhD lectures by G. Peccati in Pisa
by Dario Trevisan 29 Jan '20

29 Jan '20

Dear all, this is to inform you that the second part of the PhD lectures on Stein-Malliavin Method, given by G. Peccati, will begin next week and are scheduled as follows: *Poisson part *(G. Peccati) February 3: 3-6 PM February 4: 2-5 PM They will take place in Sala Seminari, first floor, Dipartimento di Matematica, Università degli studi di Pisa. Regards, Dario -- Dario Trevisan, Università degli Studi di Pisa, Dipartimento di Matematica, Largo Bruno Pontecorvo 5, 56127 - Pisa (PI) Italy telephone: (+39) 050 2213832 mobile: (+39) 331 2899761 Skype: dario-trevisan e-mail: dario.trevisan AT unipi.it webpage: http://people.dm.unipi.it/trevisan/

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ECSO - CMS 2020 second Call for Papers
by Martina Nardon 28 Jan '20

28 Jan '20

* Apologies for cross-posting Second Announcement and Call for Papers Joint EUROPEAN CONFERENCE ON STOCHASTIC OPTIMIZATION and COMPUTATIONAL MANAGEMENT SCIENCE Conference Venice 1-3 July 2020 We invite you to participate and submit your contribution to the joint conference ECSO - CMS 2020. Venue: Department of Economics, Ca’ Foscari University of Venice San Giobbe Campus – Cannaregio 873, 30121 Venice, Italy Webpage: www.unive.it/ecsocms2020 IMPORTANT DATES Abstract submission: March 1, 2020 Notification of acceptance: April 1, 2020 Early registration: April 15, 2020 ECSO - CMS 2020 is jointly organized by the Department of Economics of Ca’ Foscari University of Venice, the CMS Journal and the EURO Working Group on Stochastic Optimization. ECSO 2020 is the 3rd edition of a stream of conferences organized by the EURO Working Group on Stochastic Optimization (EWGSO). The previous editions were held in Paris (2014) and Rome (2017). The scope of the conference is to bring together researchers and professionals in Stochastic Optimization and its applications in different fields spacing from economics and finance to supply chain, logistics, etc. CMS 2020 is the 17th edition of an annual meeting associated with the journal of Computational Management Science published by Springer. The aim of the conference is to provide a forum for theoreticians and practitioners from academia and industry to exchange knowledge, ideas and results in a broad range of topics relevant to the theory and practice of computational methods in management science. This joint event will provide a forum for fruitful discussions and interactions among researchers and professionals from industry and institutional sectors on decision making under uncertainty in a complex world. The conference will be within the scopes of both CMS and EWGSO and, in particular, it will focus on models, methods and computational tools in stochastic, robust and distributionally robust optimization and on computational aspects of management science with emphasis on risk management, valuation problems, measurement applications. Traditional fields of application, such as finance, energy, water management, logistics, supply chain management, and emerging ones, such as healthcare, climate risk and sustainable development, will be included. A Best Student Paper Prize of 600 euro will be awarded. Papers should be nominated via e-mail by the students’ supervisors (ecsocms2020(a)unive.it). Deadline for the submissions to the prize is May 15. The program will include a devoted session for presenting the best papers to compete for the prize, such that the jury could make the final choice. The paper does not have to be published. The papers should be principally authored by the student, but co-authors are permitted as long as their contributions are clarified. Only registered participants’ papers will be considered for the prize. Jury for the Student Best Paper Prize: Stein-Erik Fleten (NTNU Norwegian University of Science and Technology), Milos Kopa (Charles University of Prague), Francesca Maggioni (University of Bergamo), Ruediger Schultz (University Duisburg-Essen). PLENARY SPEAKERS DARINKA DENTCHEVA, Stevens Institute of Technology (USA) DAVID MORTON, Northwestern University (USA) GAH-YI BAN, London Business School (UK) DANIEL KUHN, École polytechnique fédérale de Lausanne (CH) GIORGIO CONSIGLI, Università di Bergamo (I) WARREN POWELL, Princeton University (USA) Conference Secretariat: ecsocms2020(a)unive.it Conference hashtag: #ecsocms2020 Best Regards, Diana Barro, Stein-Erik Fleten and Martina Nardon Organizing and Program Committee Chairs -------------------------------------- Dr. Martina Nardon Dipartimento di Economia Università Ca' Foscari Venezia San Giobbe - Cannaregio, 873 30121 Venezia, Italy tel. +39 041 234 7413 --------------------------------------

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corso di B. Zegarlinski a Pavia - Disuguaglianze funzionali
by Carbone Raffaella 28 Jan '20

28 Jan '20

Cari colleghi, vi annuncio che il prof. Boguslaw Zegarlinski (Imperial College, London) terrà un corso di Dottorato dal titolo ''Introduction to coercive inequalities with applications in analysis and probability theory'' presso il Dipartimento di Matematica dell'Università di Pavia. Il corso si svolgerà nel periodo 22 marzo - 24 aprile 2020, si prevedono 6 ore settimanali tenute (orario provvisorio) il martedì, mercoledì e giovedì mattina. Il corso è finanziato dal Progetto Dipartimenti di Eccellenza del MIUR (2018–2022) - Dipartimento di Matematica “F. Casorati", Università di Pavia. Informazioni più dettagliate seguiranno a breve. Il corso è aperto a tutti ma chiederò di segnalare l'iscrizione tramite mail per motivi organizzativi. Cordiali saluti, Raffaella Carbone -- Raffaella Carbone, PhD Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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Polimi Finance Seminars Paolo Di Tella (TU-Dresden)
by Carlo Sgarra 27 Jan '20

27 Jan '20

On Tuesday, February 11, at 10:30 in the Seminar Room at the third floor of the Department of Mathematics (Politecnico di Milano), in the framework of the quantitative finance seminars, Paolo Di Tella (TU-Dresden) will give a talk with title: * Semistatic and sparse variance-optimal hedging. ABSTRACT We consider the problem of hedging a contingent claim with a “semistatic” strategy composed of a dynamic position in one asset and static (buy‐and‐hold) positions in other assets. We give general representations of the optimal strategy and the hedging error under the criterion of variance optimality and provide tractable formulas using Fourier integration in case of the Heston model. We also consider the problem of optimally selecting a sparse semistatic hedging strategy, i.e., a strategy that only uses a small subset of available hedging assets and discuss parallels to the variable‐selection problem in linear regression. The methods developed are illustrated in an extended numerical example where we compute a sparse semistatic hedge for a variance swap using European options as static hedging assets. (joint work with M. Haubold, M. Keller-Ressel). All people interested are kindly invited to attend the talk. Carlo Sgarra

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PhD in Statistics & Computer Science, Università Bocconi
by Antonio Lijoi 26 Jan '20

26 Jan '20

Cari tutti, ricordo la scadenza del *3 febbraio* per la presentazione delle domande di ammissione al dottorato di ricerca in Statistics and Computer Science presso l'Università Bocconi (a.a. 2020-2021). Vi sarei grato se voleste portare all'attenzione dei vostri studenti interessati la "call for applications", riportata di seguito. Saluti, AL **************************************************** PhD in Statistics and Computer Science Call for applications for PhD student positions **************************************************** The Bocconi PhD School provides 7 scholarships for the PhD in Statistics and Computer Science, and a position with tuition waiver. * Scholarship amount * 20.280 euro per annum in the 1st and 2nd year 15.343 euro per annum in the 3rd and 4th year Further funding is available through teaching and research assistantship. Visit www.unibocconi.eu/admissionphd<http://www.unibocconi.eu/admissionphd> for detailed information. ** Applications are due by 3 February, 2020 ** Within the PhD School at Bocconi University, the four-year PhD program in Statistics and Computer Science is a high profile and rigorous doctoral program that develops strong mathematical, statistical, computational and programming backgrounds. The curriculum is structured into two tracks: Statistics and Computer science. The first year includes courses that are compulsory for all enrolled PhD students. The second-year features track-specific and elective courses that provide students with a more specialized competence and focus on topics that may be the object of the doctoral dissertation. Dedicated mentorship is offered to students throughout their time at Bocconi. Multidisciplinary interchange with other graduate programs in Bocconi’s PhD School, as well as research experience abroad, are also encouraged. The Faculty includes internationally acknowledged top researchers in Statistics, Computer Science, Decision Theory, Statistical Physics and Machine Learning. The program also benefits from contributions of authoritative visiting professors who deliver short monographic courses. Highly qualified and motivated students with M.Sc. degrees in in Statistics, Mathematics, Computer Science, Economics, Physics, Engineering and related areas, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold or be on their way to hold a graduate degree or equivalent. For further information about the PhD program in Statistics and Computer Science at Bocconi, visit www.unibocconi.eu/phdstatscompscience<http://www.unibocconi.eu/phdstatscompscience> and feel free to contact: Antonio Lijoi, PhD program director (antonio.lijoi(a)unibocconi.it<mailto:antonio.lijoi@unibocconi.it>) Angela Baldassarre, PhD administrative assistant (angela.baldassarre(a)unibocconi.it<mailto:angela.baldassarre@unibocconi.it>) Antonio Lijoi Director, PhD program in Statistics and Computer Science Bocconi University http://mypage.unibocconi.it/antoniolijoi

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2020 Bocconi Summer School in Advanced Statistics and Probability
by Giacomo Zanella 23 Jan '20

23 Jan '20

Dear all, we are happy to announce the 2020 edition of the Bocconi Summer School in Advanced Statistics and Probability on the topic of "Reproducibility in Data Science". The main instructor of the course will be Chiara Sabatti, more information below. Please feel free to forward to any potentially interested student. Best regards, Giacomo Zanella ------------------------------------------- The Bocconi Summer School in Advanced Statistics and Probability, on "Reproducibility in Data Science", will take place on July 6-17, 2020, at Villa del Grumello, Lake of Como, Italy. The 2020 Edition of the school is organized by Bocconi University, Milan, in collaboration with the University of Oxford and Imperial College London. Instructors: Chiara Sabatti (Stanford University, USA) Tutorials Stephen Bates (Stanford University, USA) Matteo Sesia (Stanford University, USA) The 2-weeks summer school is open to all interested researchers, but is especially designed for PhD students and possibly briliant master graduates/final year students interested in doctoral studies. The deadline for applications is April 7, 2020. For more information: http://bocconi2020.lakecomoschool.org or contact BBS.statistics(a)unibocconi.it, or sonia.petrone(a)unibocconi.it --------------

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Topics in Game Theory_Prof. Renault (TSE) at PhD EF Tor Vergata
by Davide Erminio Pirino 23 Jan '20

23 Jan '20

Dear all, on behalf of Professor Attar I am pleased to inform you that the PhD program in Economics and Finance <https://economia.uniroma2.it/phd/ef/> of the University of Rome Tor Vergata will host a course in “Topics in Game Theory”, taught by Professor Jérôme <https://www.tse-fr.eu/people/jerome-renault> <https://www.tse-fr.eu/people/jerome-renault>Renault <https://www.tse-fr.eu/people/jerome-renault> (Toulouse School of Economics). The course will be held next February. Professor Jérôme Renault is one of the best renowned mathematician of Game Theory of his generation. Lectures are scheduled in room A (1st floor, Bldg B) of the School of Economics <http://en.uniroma2.it/academics/schools-and-departments/school-of-economics/> as follows: - Mon. February 3, at 2.00 – 5.00 pm; - Tue. February 4, 2.00 – 4.00 pm; - Wed. February 5, 2.00-4.00pm; - Thu. February 6, 10.00 am – 1.00 pm; - Fri. February 7, 9.00 -11.00 am. Please find the Syllabus enclosed. Everybody is welcome to attend. Feel free to spread this information to potentially interested students and researchers. Best regards DP

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Workshop on Stochastic Analysis
by Stefania Ugolini 23 Jan '20

23 Jan '20

Geometry and Algebra in Stochastic Dynamics Department of Mathematics, Milano, 27-29 January 2020 http://users.mat.unimi.it/users/ugolini/workshop2020/ <signaturebeforequotedtext></signaturebeforequotedtext><signatureafterquotedtext></signatureafterquotedtext>

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Probability Seminar: Alessandra Cipriani (TU Delft) [Padova 31/01, 11.30]
by alessandra bianchi 21 Jan '20

21 Jan '20

Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics of Padova, on January 31. ________________________________________________________ Speaker: Alessandra Cipriani (TU Delft) Title: Dynamical fitness models: evidence of universality classes for preferential attachment 31 JANUARY (Friday), 11:30; ROOM 1BC45, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova Abstract: In this talk we study different variations of a particular class of random graphs called preferential attachment models with fitness. These are dynamic graphs in which, at every time step, a new node attaches itself to an older one with probability proportional to the degree and a random factor associated to the node, called the fitness. Motivated by learning mechanisms of real-life networks, we assume the fitness to be a Moving Average process MA(q) with positive increments. We study different properties of such models, for example the degree distribution, the attachment probability and the phenomenon of Bose-Einstein condensation. Finally we provide evidence that, tuning the parameters of the fitness process, we fall into two universality classes represented by the well-known Albert-Barabàsi model and Bianconi-Barabàsi model. This implies the robustness of heavy tails in the degree distribution under random perturbations of the attachment rule. All of you are very welcome. Best regards, Alessandra Bianchi -- 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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BFS World Congress in Hong Kong 2020: Special Issue of Mathematical Finance and Reconfirmation of Lectures (fwd)
by Tiziano Vargiolu 21 Jan '20

21 Jan '20

---------- Forwarded message ---------- Date: Tue, 21 Jan 2020 12:27:19 +0000 From: Office Bachelier Finance Society <office(a)bachelierfinance.org> Subject: BFS World Congress in Hong Kong 2020: Special Issue of Mathematical Finance and Reconfirmation of Lectures 12th World Congress of the Bachelier Finance Society SPECIAL ISSUE OF MATHEMATICAL FINANCE AND RECONFIRMATION OF LECTURES Dear Tiziano Vargiolu We are pleased to announce that a special issue of Mathematical Finance has been arranged for papers presented at the BFS World Congress in Hong Kong. Details will be available through the website soon. We are also delighted to report that Robert Merton has reconfirmed his delivery of the Louis Bachelier Lecture and all the 9 plenary speakers have reconfirmed their participation at the Congress. The deadline, January 31, 2020, for submitting abstracts to the 2020 Bachelier World Congress is approaching fast (http://www1.se.cuhk.edu.hk/~bfs2020/). Finally, the reservation of the Conference Hotel at discounted rates is open (http://www1.se.cuhk.edu.hk/~bfs2020/accommodation/accommodation.html). We are looking forward to seeing you at this unique event in Hong Kong. Nan Chen, Duan Li, Xunyu Zhou Organizers of the 2020 BFS World Congress Hong Kong Copyright ? 2020 Bachelier Finance Society, All rights reserved. You are receiving this email because you opted in via our website. Our mailing address is: Bachelier Finance SocietyRaemistrasse 101 Z?rich 8092 Switzerland Add us to your address book Want to change how you receive these emails? You can update your preferences or unsubscribe from this list.

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Seminario all'IAC
by torrisi＠iac.rm.cnr.it 21 Jan '20

21 Jan '20

Si comunica che il 30 gennaio 2020 alle ore 14.00 presso l'Aula Riunioni dell'Istituto per le Applicazioni del Calcolo (sede di Roma) si terrà il seguente seminario: Relatore: Professor Alberto Lanconelli (Universita' di Bologna) Titolo: Absolute continuity and Fokker-Planck equation for the law of Wong-Zakai approximations of Ito SDEs Abstract: We investigate the regularity of the law of Wong-Zakai-type approximations for Ito stochastic differential equations. These approximations solve random differential equations where the diffusion coefficient is Wick-multiplied by the smoothed white noise. Using a criterion based on the Malliavin calculus we establish absolute continuity and a Fokker-Planck-type equation solved in the distributional sense by the density. The parabolic smoothing effect typical of the solutions of Ito equations is lacking in this approximated framework; therefore, in order to prove absolute continuity, the initial condition of the random differential equation needs to possess a density itself. -- *Giovanni Luca Torrisi Consiglio Nazionale delle Ricerche, Rome, Italy Homepage: http://www.iac.rm.cnr.it/~torrisi/* * *

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Seminario di Francesco Caravenna a Roma 1
by Faggionato, Alessandra 21 Jan '20

21 Jan '20

Buongiorno Lunedì 27.01 alle 16:00 Francesco Caravenna (Università di Milano-Bicocca) terrà il seguente seminario in Sala di Consiglio del Dipartimento di Matematica La Sapienza. Title: On the two-dimensional KPZ and Stochastic Heat Equation Abstract: We consider the Kardar-Parisi-Zhang equation (KPZ) and the multiplicative Stochastic Heat Equation (SHE) in two space dimensions, driven by with space-time white noise. These singular PDEs are "critical" and lack a solution theory, so it is standard to consider regularized versions of these equations - e.g. convolving the noise with a smooth mollifier - and to investigate the behavior of the regularized solutions when the regularization is removed. Based on joint works with Rongfeng Sun and Nikos Zygouras, we show that these regularized solutions undergo a phase transition as the noise strength is varied on a logarithmic scale, with an explicit critical point. In the sub-critical regime, the regularized solutions of both KPZ and SHE exhibit so-called Edwards-Wilkinson fluctuations, i.e. they converge to the solution of the *additive* Stochastic Heat Equation (after centering and rescaling), with a non-trivial constant on the noise. We finally discuss the critical regime, where many questions are open. Grazie Saluti Alessandra -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Complexity72h Call for Tutors
by Mateusz Wilinski 19 Jan '20

19 Jan '20

Dear colleagues, We are glad to announce the *third edition of the Complexity72h workshop*, which will take place at LUISS, Rome, Italy, on *July 1-4 2020*, as pre-event of the *NetSci 2020* Conference. Complexity72h is an interdisciplinary workshop whose aim is to bring together young researchers from different fields of complex systems and complex networks. Participants form teams and carry out projects in a three days' time, i.e. 72 hours. The goal of each team is to upload on the arXiv a report of their work by the end of the event. The previous two editions have been a success: 11 out of 11 projects have become arXiv preprints and new collaborations have been born. Each team will have a tutor that: 1. designs and proposes the project; 2. supervises its execution; 3. provides the necessary knowledge and data. *Do you want to become a Complexity72h tutor?* We are opening a *call for tutors* targeting researchers in complex systems and networks. We are looking for people who wish to propose a stimulating project to a team of highly motivated students and postdocs, and have the stamina to carry it out in 72 hours. But is it really possible to do it in just 72 hours? To succeed, we need: 1. A motivated and multidisciplinary team of resilient researchers; 2. A comfortable research environment and supportive staff; 3. A solid and feasible research project and a tutor who can make it happen. We provide the first two. It is up to you to provide the last point. *Send your project proposal (title and abstract) and short CV to: complexity72h [at] gmail [dot] com* , or get in touch with us as soon as possible if you have any questions. *The call for tutors deadline is February 7th, 2020.* Looking forward to your ideas. Complexity72h Organizers

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7th Workshop on Stochastic Methods in Game Theory
by Marco Scarsini 17 Jan '20

17 Jan '20

The 7th Workshop on Stochastic Methods in Game Theory will take place in Erice July 1-8, 2020. https://sites.google.com/view/erice-smgt2020/the-workshop The workshop will include some tutorials that could be particularly useful to graduate students and young researchers. Some slots are still available for contributors who want to present a poster. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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avviso di due seminari a Napoli
by Enrica Pirozzi 17 Jan '20

17 Jan '20

-- AVVISO DI SEMINARI DI PROBABILITÀ E STATISTICA MATEMATICA Title: The risk model with stochastic premiums and a multi-layer dividend strategy by Olena Ragulina Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv Abstract: The lecture is devoted to a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber-Shiu function and the expected discounted dividend payments until ruin. Next, we concentrate on the detailed investigation of the model in the case of exponentially distributed claim and premium sizes and find explicit formulas for the ruin probability as well as for the expected discounted dividend payments. Moreover, we obtain an exponential bound for the ruin probability under certain conditions and study these conditions for some special distributions of claim and premium sizes. Lastly, numerical illustrations for some multi-layer dividend strategies are presented. -- Title: The first-passage time properties of the Jacobi process and applications to neuronal modeling by Giuseppe D'Onofrio Dipartimento di Matematica "Giuseppe Peano", Università di Torino Abstract: Nonlinear dynamical systems are often affected by different sources of noise and the usual belief is that the presence of noise can hinder or deteriorate the signal transmission in the system. However it has been observed, both in theoretical models and experiments, that random fluctuations can sometimes improve information processing. Mathematical models in neuroscience are one of the most prominent examples of phenomena for which the noise is of primary importance or even a part of the signal itself rather than a source of inefficiency and unpredictability. Our aim is to contribute to the discussion on the role of noise, studying the effects of a multiplicative noise on the performance of single neuron models using an analytical approach on the related first-passage-time problem. We consider a model where the evolution of the neuronal membrane depolarization between two consecutive spikes is described by a Jacobi process. We analyze the spiking activity of the neuron under study through the firing rate and the variability of the output related to the first two moments of the random variable first-passage time and we describe the occurrence of a phenomenon of coherence resonance. In particular we present counterintuitive effects due to the presence of the multiplicative noise and its dependence on the input parameters. Based on joint work with Petr Lansky (Czech Academy of Sciences) and Massimiliano Tamborrino (University of Warwick). I seminari si terranno il 23 Gennaio 2020 ore 15:00 e ore 15:45, rispettivamente, in Aula G terzo livello del Dipartimento di Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Seminario at Scuola Normale Superiore, Tiziano De Angelis, School of Mathematics, The University of Leeds (January 22, 2020, 11:30)
by Giulia Livieri 17 Jan '20

17 Jan '20

Dear all, On Wednesday, 22 January 2020 — at 11:30 — at the Scuola Normale Superiore (Room: Aula Fermi) Dr Tiziano De Angelis (University of Leeds) will hold the following Seminar: Title Probabilistic results concerning smoothness of the value function and of the free boundary in optimal stopping Abstract I will present probabilistic proofs of some regularity properties for the value function of general optimal stopping problems and for the associated optimal boundaries. In particular this talk focuses on C^1 regularity of the value function and Lipschitz continuity of the optimal boundary. Most of our arguments rely on fundamental concepts from the theory of Markov processes and bridge the probabilistic and the analytical strands of the literature on free boundary problems. I will also illustrate situations in which our work improves or complements known facts from PDE theory. (based on https://epubs.siam.org/doi/pdf/10.1137/17M1113709 <https://epubs.siam.org/doi/pdf/10.1137/17M1113709> and https://arxiv.org/abs/1812.04564 <https://arxiv.org/abs/1812.04564>) Feel free to forward this announcement to your colleagues. Best Giulia Livieri

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Seminar Cuturi @Bocconi
by Giacomo Zanella 16 Jan '20

16 Jan '20

We kindly invite you to the following BIDSA seminar: “Differentiable Ranking and Sorting using Optimal Transport” Marco Cuturi (Google Brain / ENSAE) Friday, January 17, 2020 | 12:30 | Room 3-e4-sr03 (third floor) Bocconi University, Via Roentgen 1, Milan Abstract: We propose in this paper proxy operators for ranking and sorting that are differentiable. To do so, we leverage the fact that sorting can be seen as a particular instance of the optimal transport (OT) problem between two univariate uniform probability measures, the first measure being supported on the family of input values of interest, the second supported on a family of increasing target values (e.g. 1,2,...,n if the input array has n elements). Building upon this link, we propose generalized rank and sort operators by considering arbitrary target measures supported on m values, where m can be smaller than n. We recover differentiable algorithms by adding to this generic OT problem an entropic regularization, and approximate its outputs using Sinkhorn iterations. To illustrate the versatility of these operators, we use the soft-rank operator to propose a new classification training loss that is a differentiable proxy of the 0/1 loss. Using the soft-sort operator, we propose a new differentiable loss for trimmed regression. Speaker: Marco Cuturi joined Google Brain, in Paris, in October 2018. He graduated from ENSAE (2001), ENS Cachan (Master MVA, 2002) and holds a PhD in applied maths obtained in 2005 at Ecole des Mines de Paris. He worked as a post-doctoral researcher at the Institute of Statistical Mathematics, Tokyo, between 11/2005 and 3/2007. He worked in the financial industry between 4/2007 and 9/2008. After working at the ORFE department of Princeton University between 02/2009 and 08/2010 as a lecturer, he was at the Graduate School of Informatics of Kyoto University between 9/2010 and 9/2016 as a tenured associate professor from 10/2013. He then joined ENSAE, the french national school for statistics and economics, in 9/2016, where he still teaches. His recent proposal to solve optimal transport using an entropic regularization has re-ignited interest in optimal transport and Wasserstein distances in the machine learning community. His work has recently focused on applying that loss function to problems involving probability distributions, e.g. topic models / dictionary learning for text and images, parametric inference for generative models, regression with a Wasserstein loss and probabilistic embeddings for words. Best regards, Giacomo Zanella Please note: if you are a guest and you do not have a Bocconi ID Card to access to the Bocconi Buildings, please communicate your participation by sending an email to c.monetti(a)unibocconi.it

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Ernesto De Vito @ Roma Tor Vergata
by Anna Vidotto 16 Jan '20

16 Jan '20

Dear all, I would like to announce the following talk that will be held on Thursday January 23rd 2020, at 4:30 PM, in Aula D’Antoni of the Department of Mathematics, University of Rome Tor Vergata. Speaker: Ernesto De Vito Title: Multi-Scale Vector Quantization with Reconstruction Trees Abstract: The aim of vector quantization is a parsimonious reconstruction of unsupervised data as provided by K-means and geometric multi-resolution analysis, to name a few. In the talk I will present a multi-scale algorithm for vector quantization and study its statistical properties. The proposed approach is inspired by decision trees and is based a family of given partitions, to quickly explore the data in a coarse to fine-multi-scale-fashion. The main technical contribution is an analysis of the expected distortion achieved by the proposed algorithm. Both asymptotic and finite sample results are derived. The presentation is based on a joint work with E. Cecini and L. Rosasco. Kind regards --------- Anna Vidotto PostDoc Researcher Dipartimento di Matematica Università degli Studi di Roma Tor Vergata https://sites.google.com/view/annavidotto

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seminario Djehiche a Milano 27/1/2020
by Marco Alessandro Fuhrman 15 Jan '20

15 Jan '20

Il prof. Boualem Djehiche (KTH Stockholm) terrà un seminario dal titolo On a class of mean-field reflected backward stochastic differential equations and the related obstacle problem. Il seminario è fissato alle ore 10:30 del 27/1/2020 presso il Dipartimento di Matematica dell'Università di Milano (via Saldini 50), in aula C (II piano). Tutti gli interessati sono cordialmente invitati. Un sommario è riportato sotto. Il prof. Djehiche è ospite del Dipartimento per tutta la settimana. Cordialmente, Marco Fuhrman --------------------------- Abstract. In this talk I will review some recent results on the solvability of a class of reflected backward stochastic differential equations (BSDEs) (driven by the Brownian motion) of mean-field type, where the mean-field interaction in terms of the distribution of the Y-component of the solution enters both the driver and the lower obstacle. When the reflected BSDE is driven by an underlying Markov diffusion, it is possible to derive a related obstacle problem in the form of a variational inequality involving differential operators w.r.t. both the space and the probability measure components. -------------------------- <signaturebeforequotedtext></signaturebeforequotedtext><signatureafterquotedtext></signatureafterquotedtext>

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Post-doctoral position in probability - Paris
by Cristina TONINELLI 14 Jan '20

14 Jan '20

Dear friends and colleagues, I am currently advertising a post-doctoral position in Probability at Ceremade, University Paris Dauphine. The position is for two years. The expected starting date is September 2020, though a different date may be arranged. The position is funded by my European project MALIG, whose aim is to develop a mathematical approach to the liquid-glass transition and related phenomena. Main areas of research include interacting particle systems, bootstrap percolation cellular automata and glassy dynamics. The successful candidate will also have the opportunity to collaborate with the probability group of University Roma Tre, in particular with Fabio Martinelli, a key member of the MALIG team. The grant will provide substantial fundings to cover working periods in Rome. There are no teaching duties associated to the position. Candidates can contact me directly for any additional informations. Applications including a CV, a list of publications and a one-page description of research interests and experience should be sent directly to me at toninelli(a)ceremade.dauphine.fr<mailto:toninelli@ceremade.dauphine.fr> Applicants should also arrange for up to three letters of recommendation to be sent to the same address. The deadline for applications is Monday, 3rd February 2020. I would be grateful if you could bring this announcement to the attention of potential candidates and distribute it via local mailing lists. Best wishes, Cristina Toninelli --------------------------------------------------------------------------------------------- Cristina Toninelli Postal Address: Ceremade Univ.Paris Dauphine Place du Marechal de Lattre de Tassigny 75775 Paris Cedex 16 - France Office: B617 --------------------------------------------------------------------------------------------

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de Finetti Risk Seminar - January 2020
by Emanuela Rosazza 14 Jan '20

14 Jan '20

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time Nicola Secomandi Tepper School of Business – Carnegie Mellon University Abstract. This paper extends quadratic hedging from European to Bermudan options in discrete time when markets are incomplete and investigates its use for supporting exercise policy optimization. The key idea is to construct date specific approximate replicating portfolios. Hedging any given exercise policy can be done by solving a collection of stochastic dynamic programs. Optimizing the exercise policy based on the resulting martingale measure requires care. If this measure is risk neutral (RN), the value of an optimal such policy, which can be obtained by augmenting the hedging model with an exercise policy optimization step, is a no arbitrage one. Otherwise this approach must be refined by imposing time consistency on exercise policies, although the value of the resulting exercise policy may not be arbitrage free. Following the common pragmatic strategy of specifying quadratic hedging under an RN measure, e.g., one calibrated to market prices, avoids these issues. In particular, it provides a simple hedging policy with immediate practical applicability and is equivalent to exercise policy optimization under RN valuation, thus complementing it with a consistent hedging policy. A simple numerical example shows that this procedure generates effective hedging policies LOCATION: The seminar will be held on Wednesday, January 15, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. 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 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Seminar Announcement: M. Glanzer (univie) at Polimi
by Carlo Sgarra 14 Jan '20

14 Jan '20

On Monday, January 21, at 11:00 o'clock, in the Seminar Room located at the third floor of the MATHEMATICS Department ( POLITECNICO di Milano) MARTIN GLANZER of the University of Vienna will give a talk on the following subject: Stochastic Optimization with Multiple Time Scales ( Joint work with G. Pflug) All interested people are kindly invited to participate. ABSTRACT Real-world multistage stochastic optimization problems are often characterized by the fact that the decision maker may take actions only at specific points in time, even if relevant data can be observed much more frequently. In such a case there are not only multiple decision stages present but also several observation periods between consecutive decisions, where profits/costs occur contingent on the stochastic evolution of some uncertainty factors. We present a tailor-made modeling framework for such problems, which allows for a computationally efficient solution. We first establish new results related to the approximation of (Markovian) stochastic processes by scenario lattices. In a second step, we incorporate the multiscale feature by leveraging the theory of stochastic bridge processes. The ingredients to our proposed modeling framework are elaborated explicitly for various popular examples, including both diffusion and jump models. In particular, we present new results related to the simulation of compound Poisson bridges. Finally, we discuss a valuation problem of a thermal power plant, where implementing our multiscale modeling framework turned out to be particularly convenient. If time permits, we incorporate model ambiguity into the power plant valuation problem and show some numerical results.

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Seminar annoucement at POLIMI- Talk by Martin GLANZER (Univie)
by Carlo Sgarra 14 Jan '20

14 Jan '20

On Monday, January 21, in the Seminar Room located at the third floor of the MATHEMATICS Department ( POLITECNICO di Milano) MARTIN GLANZER of the University of Vienna will give a talk on the following subject: Stochastic Optimization with Multiple Time Scales ( Joint work with G. Pflug) All interested people are kindly invited to participate. ABSTRACT Real-world multistage stochastic optimization problems are often characterized by the fact that the decision maker may take actions only at specific points in time, even if relevant data can be observed much more frequently. In such a case there are not only multiple decision stages present but also several observation periods between consecutive decisions, where profits/costs occur contingent on the stochastic evolution of some uncertainty factors. We present a tailor-made modeling framework for such problems, which allows for a computationally efficient solution. We first establish new results related to the approximation of (Markovian) stochastic processes by scenario lattices. In a second step, we incorporate the multiscale feature by leveraging the theory of stochastic bridge processes. The ingredients to our proposed modeling framework are elaborated explicitly for various popular examples, including both diffusion and jump models. In particular, we present new results related to the simulation of compound Poisson bridges. Finally, we discuss a valuation problem of a thermal power plant, where implementing our multiscale modeling framework turned out to be particularly convenient. If time permits, we incorporate model ambiguity into the power plant valuation problem and show some numerical results.

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Probability Seminar: Richard Kraaij (TUDelft) [Padova, Tue 14/01 (TOMORROW), 11am]
by Francesca Collet 13 Jan '20

13 Jan '20

*** REMINDER *** ____________________________________________________________________________________________________ DR. RICHARD C. KRAAIJ (Delft University of Technology) “Large deviations for weakly coupled slow-fast systems via the comparison principle of an associated Hamilton-Jacobi equation” Tuesday 14 January (TOMORROW), 11:00; room 1BC50, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova ABSTRACT. In statistical physics many interesting phenomena, e.g. behavior of systems at critical parameters or in the theory of hydrodynamic limits, arise from systems having multiple time-scales. A slow component is influenced by fast components, and as the number of interacting components tends to infinity, limiting results for the slow component are obtained in terms of `averaged' versions of the fast components. I will consider in my talk the fluctuations (large deviations) of coupled Markovian systems with two-time scales. These fluctuations can arise from two sources: fluctuations of the slow process itself, or fluctuations of the large time averages of the fast process, effectively leading to a competition of two fluctuation effects. To obtain the large deviation principle, we consider an associated Hamilton-Jacobi-Bellman equation of which the Hamiltonian is given in terms of the two fluctuation effects. We establish under mild conditions that this Hamilton-Jacobi-Bellman equation is well-posed, and as a consequence that we have a large deviation principle for a wide class of weakly coupled Markov processes. Based on joint work with Mikola Schlottke (Eindhoven, The Netherlands). ____________________________________________________________________________________________________

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OSD2020-14th International Conference on Ordered Statistical Data
by malongob＠unina.it 13 Jan '20

13 Jan '20

Dear all, we are glad to announce the 14th International Conference on Ordered Statistical Data - OSD2020, that will take place on May 26-29 at Vietri sul Mare (SA), Italy. The conference website is http://www.osd2020.unina.it/ The conference is devoted to recent advances and trends in the mathematical theory of ordered statistical data, including order statistics and their generalizations, and their applications in reliability, statistics and lifetime analysis. The scientific program will include plenary talks and sessions of contributed talks. It is our pleasure to point out the presence of Prof. Fabio Spizzichino in the list of keynote speakers of the conference. We look forward to welcome you in Vietri sul Mare. Chief organizers, Maria Longobardi and Franco Pellerey

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Robust Statistics @Lake Como: registration is now open!
by Francesca Greselin 13 Jan '20

13 Jan '20

*** apologies for cross posting *** Dear all, the III International School on Classification and Data Analysis, on *ROBUST STATISTICS: FOUNDATIONS and RECENT DEVELOPMENTS* will take place on the enchanting shores of Lake Como, Italy, on May 4-8, 2020. It is intended for Ph.D. Students, M.S. Students, Post-Docs, Young and Junior researchers. Robust statistics is at the forefront of statistical research, and a central topic in multidisciplinary science where mathematical ideas are used to model and understand the real world, without being affected by contamination that could occur in the data. Nowadays, with the increasing availability of Big data, robust statistical methods are crucially needed. The aim of this course is three-fold: present novel models to describe real-world phenomena, and their properties; study their behavior under different kinds of contamination; discuss their implementation through computational methods. The lecturers are amongst the most influential scholars in the field: Anthony Atkinson <https://www.researchgate.net/profile/Anthony_Atkinson3>, London School of Economics, UK Agustin Mayo-Iscar <https://www.researchgate.net/profile/Agustin_Mayo>, University of Valladolid, ES Marco Riani <https://www.researchgate.net/profile/Marco_Riani>, University of Parma, IT Anna Maria Paganoni <https://www.researchgate.net/profile/Anna_Paganoni>, Politecnico di Milano, IT The school is organized by the Classification and Data Analysis Group of the Italian Statistical Society <http://cladag.it/>, under the auspices of the European Regional Section <https://iasc-isi.org/ers-mission/> (ERS) of the International Association for Statistical Computing <https://iasc-isi.org/> (IASC). Please note that the conference room allows only for a very limited number of participants (no more than 30). The registration deadline is March 4th 2020. For more information, visit the School website: https://rsfd.lakecomoschool.org/

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Call for Interest: 2-year senior post-doc position at the University of Padova
by Claudio Fontana 12 Jan '20

12 Jan '20

Dear all, This is a CALL FOR INTEREST FOR A 2-YEAR POSTDOCTORAL POSITION AT THE DEPARTMENT OF MATHEMATICS OF THE UNIVERSITY OF PADOVA (ITALY), within the STARS@UNIPD project PRISMA under the supervision of Claudio Fontana (personal webpage: https://sites.google.com/site/fontanaclaud). The primary goal of the PRISMA project is the development of new stochastic methods for the modelling of information in finance and insurance. We are looking for a highly motivated candidate with a solid background in STOCHASTIC ANALYSIS AND MATHEMATICAL FINANCE. A PhD degree in these fields is a necessary requirement. Previous research experience in arbitrage theory, stochastic filtering, enlargement of filtrations, mean-field games, or interest rate modelling will be appreciated. The candidate should have the ability to drive discovery by working independently, interacting with colleagues with different backgrounds and establishing relevant collaborations. Knowledge of the Italian language does not represent a requirement and language courses are offered by the University of Padova. We offer a stimulating research environment, an exciting research project, excellent working conditions. Salary is fixed at a top level for a post-doctoral position at the University of Padova, corresponding to about 2100 euros/month (net of taxes). Generous financial support is available for participation to international conferences and workshops. The selected candidate will not have mandatory teaching duties. The Probability and Finance group (https://www.math.unipd.it/en/research/areas/probability-and-finance) at the University of Padova is a dynamic research unit, with a strong international visibility and well-established collaborations with foreign institutions and world leaders in the field of mathematical finance. The University of Padova provides excellent support to foreign candidates. Padova is a beautiful city in the Venetian region, home to one of the oldest universities in the world, with a thriving student life and an excellent quality of life. The position will be officially opened in February 2020, the selection procedure is expected to take place in March 2020 and the position will then start as soon as possible. The effective starting date can be arranged depending on the individual needs of the selected candidate, but cannot be later than September 1st, 2020. For any further information and expressions of interest on this position, please contact directly Claudio Fontana at fontana(a)math.unipd.it Best regards (and apologies for cross posting), Claudio Fontana

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inizio corso dottorato Peccati-Rossi a Pisa
by Dario Trevisan 12 Jan '20

12 Jan '20

Salve, comunico agli interessati che in data *mercoledì 15/01/2020, ore 14:00-17:00 in AULA 2, dipartimento di Matematica, Università di Pisa* avrà luogo la prima lezione del corso "Stochastic analysis on Gaussian and Poisson spaces, functional and geometric applications" tenuto da Giovanni Peccati (Univ. del Lussemburgo) e Maurizia Rossi (Univ. Milano-Bicocca). Il corso proseguirà con due lezioni nella stessa settimana, giovedì 16/01/2020, ore 14-17 e venerdì 17/01/2020, ore 10-13, sempre in AULA 2, dipartimento di matematica. Le lezioni successive saranno comunicate agli interessati. Mi scuso con lo scarso preavviso e con i non interessati. Saluti, Dario -- Dario Trevisan <dario.trevisan(a)unipi.it>

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Minicorsi Febbraio 2020
by Stefano Bonaccorsi 10 Jan '20

10 Jan '20

Carissimi, Vorrei rendere noto che dal 12 al 14 febbraio 2020, presso il Dipartimento di Matematica dell’Università degli Studi di Trento, si terrà la nuova edizione dei “Primer on Data Science”. Questa edizione è dedicata a “Matematica finanziaria e statistica attuariale”. Vi saranno tre minicorsi: 1. Arrigo Pitacco, su “A lesson from actuarial mathematics: be stochastic but also, from time to time, reasonably deterministic” 2. Giovanni Alessandro Zanco, su “System with controls and interaction: mean field games and economic” 3. Paolo Pigato, su “An introduction to mathematical option pricing” Il corso è aperto a studenti delle lauree triennali e magistrali, nonché a dottorandi e agli addetti del settore. Per ragioni organizzative il numero di posti disponibili è limitato. Tutte le informazioni sono disponibili alla pagina web http://datascience.maths.unitn.it/events/pds2020/ Per il comitato organizzatore Stefano Bonaccorsi

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Berlin-Oxford International Research Training Group (IRTG) 2544 “Stochastic Analysis in Interaction”
by Tiziano De Angelis 10 Jan '20

10 Jan '20

Dear All, I was asked to send a reminder of the advert below for PhD opportunities in Berlin and Oxford. The deadline for applications is 20 January. Best wishes Tiziano --------------------------------------------- The recently established Berlin-Oxford International Research Training Group (IRTG) 2544 “Stochastic Analysis in Interaction” offers 8 PhD positions (75% TVL E 13, about 1700 EUR after taxes, social security, ...) for 3 years starting April 1st, 2020, or soon thereafter. Funded by the Deutsche Forschungsgemeinschaft (DFG), the IRTG is a joint research initiative of the stochastic analysis group of FU, HU, TU and WIAS Berlin with its counterpart at the University of Oxford. The advertised positions will be based in Berlin and will offer ample opportunities to interact also with members of the Oxford team, most notably in a 6-months exchange. Embedded in a truly international environment, the IRTG students will get excellent research training in a structured programme focussing on challenges at the mathematical foundations of Stochastic Analysis as well as on challenges arising from its various applications, e.g., in physics, biology, finance or data science. The combined expertise from the Berlin and Oxford groups will provide a significant breadth in depth and fertile ground for our students' ambitious research ideas. Successful candidates will have an MSc degree (or equivalent) in Mathematics (or a closely related field), strong knowledge of stochastic analysis, and feel eager to engage in the exchange of ideas with the teams in both Berlin and Oxford. Deadline for applications is January 20, 2020 (for now). Please see https://tub.stellenticket.de/de/offers/74386/ for the official job ad and for instructions how to apply. Our IRTG webpage www.math.tu-berlin.de/irtg offers more information on the Berlin-Oxford IRTG 2544.

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Maria Gordina @ Roma Tor Vergata
by Anna Vidotto 10 Jan '20

10 Jan '20

Dear all, I would like to announce the following talk that will be held on *Thursday January* *16th* 2020, at *4:30 PM*, in *Aula Dal Passo* of the Department of Mathematics, University of Rome Tor Vergata. Speaker: *Maria Gordina* (University of Connecticut) Title: *Stochastic analysis and geometric functional inequalities* Abstract: We will survey different methods of proving functional inequalities for hypoelliptic diffusions and the corresponding heat kernels. Some of these methods rely on geometric methods such as curvature-dimension inequalities (due to Baudoin-Garofalo), and some are probabilistic such as coupling, and finally some use structure theory and a Fourier transform on Lie groups. For nilpotent groups, the latter can be interpreted as an eigenfunction expansion of the hypoelliptic heat kernel. This is based on joint work with F. Baudoin, B. Driver, T. Melcher, Ph. Mariano. This seminar is part of the activity of the MIUR Department of Excellence Grant 2018-2022, CUP E83C18000100006. Kind regards, Anna Vidotto --------- Anna Vidotto PostDoc Researcher Dipartimento di Matematica Università degli Studi di Roma Tor Vergata https://sites.google.com/view/annavidotto

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Seminario di Antonio Galves a Roma 1
by Faggionato, Alessandra 10 Jan '20

10 Jan '20

Buongiorno in aggiunta al seminario di Maria Gordina di Lunedì 13/01/2020 vi sara' al Dipartimento di Matematica della Sapienza il seminario di Antonio Galves, Martedì 14/01/2020. Sotto l'annuncio esteso. Grazie per l'attenzione Saluti Alessandra Faggionato *************************************************************************************** SEMINARIO DI PROBABILITA’ E STATISTICA MATEMATICA IL giorno 14/01/2020, alle ore 14 nell’Aula di Consiglio del Dipartimento di Matematica, Sapienza Università di Roma Il prof. Antonio Galves dell’Universidade de Sao Paulo terrà una conferenza dal titolo ESTIMATING THE INTERACTION GRAPH OF STOCHASTIC NEURAL DYNAMICS Abstract: We address the question of statistical model selection for a class of stochastic models of biological neural nets.Models in this class are systems of interacting chains with memory of variable length. Each chain describes the activity of a single neuron, indicating whether it spikes or not at a given time. The spiking probability of a given neuron depends on the time evolution of its presynaptic neurons since its last spike time. When a neuron spikes, its potential is reset to a resting level and postsynaptic current pulses are generated, modifying the membrane potential of all its postsynaptic neurons. The relationship between a neuron and its pre- and postsynaptic neurons defines an oriented graph, the interaction graph of the model. The goal is to estimate this graph based on the observation of the spike activity of a finite set of neurons over a finite time. We provide explicit exponential upper bounds for the probabilities of under- and overestimating the interaction graph restricted to the observed set and obtain the strong consistency of the estimator. Our result does not require stationarity nor uniqueness of the invariant measure of the process. Joint work with A. Duarte, E. Locherbach and G. Ost. -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Annuncio seminario Galves 14/01/2020 RM1
by Nappo, Giovanna 10 Jan '20

10 Jan '20

SEMINARIO DI PROBABILITA’ E STATISTICA MATEMATICA IL giorno 14/01/2020, alle ore 14 nell’Aula di Consiglio del Dipartimento di Matematica, Sapienza Università di Roma Il prof. Antonio Galves dell’Universidade de Sao Paulo terrà una conferenza dal titolo ESTIMATING THE INTERACTION GRAPH OF STOCHASTIC NEURAL DYNAMICS Abstract: We address the question of statistical model selection for a class of stochastic models of biological neural nets.Models in this class are systems of interacting chains with memory of variable length. Each chain describes the activity of a single neuron, indicating whether it spikes or not at a given time. The spiking probability of a given neuron depends on the time evolution of its presynaptic neurons since its last spike time. When a neuron spikes, its potential is reset to a resting level and postsynaptic current pulses are generated, modifying the membrane potential of all its postsynaptic neurons. The relationship between a neuron and its pre- and postsynaptic neurons defines an oriented graph, the interaction graph of the model. The goal is to estimate this graph based on the observation of the spike activity of a finite set of neurons over a finite time. We provide explicit exponential upper bounds for the probabilities of under- and overestimating the interaction graph restricted to the observed set and obtain the strong consistency of the estimator. Our result does not require stationarity nor uniqueness of the invariant measure of the process. Joint work with A. Duarte, E. Locherbach and G. Ost.

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Fwd: Lectureship in Mathematics (Probability) at University College Dublin
by Elia Bisi 09 Jan '20

09 Jan '20

Ricevo e inoltro. ______________________ Elia Bisi Research Scientist School of Mathematics and Statistics University College Dublin Personal webpage <https://eliabisi.wordpress.com/> > Begin forwarded message: > > From: Neil O'Connell <neil.oconnell(a)ucd.ie> > Subject: Lectureship in Mathematics (Probability) at University College Dublin > Date: 9 January 2020 at 13:58:25 CET > To: Neil O'Connell <neil.oconnell(a)ucd.ie> > > Dear Colleagues, > > We are currently advertising a Lectureship in Mathematics (Probability) at University College Dublin. > > Also advertised are Ad Astra Fellowships, these are fixed term positions with research support, in all areas of Mathematics and Statistics. Applications in Probability are particularly welcome. > > For more details, and to apply, go to https://www.ucd.ie/workatucd/jobs/ <https://www.ucd.ie/workatucd/jobs/> (search under 'External Applicants'). > > Please forward to anyone who may be interested in applying. > > Best regards, > Neil > > **** > > Lecturer / Assistant Professor in Mathematics (Probability), UCD School of Mathematics and Statistics (Permanent) > Applications are invited for a permanent post of a Lecturer / Assistant Professor in Mathematics (Probability) within UCD School of Mathematics and Statistics. > > University College Dublin is seeking to appoint an Assistant Professor in Mathematics in the UCD School of Mathematics & Statistics, specifically in the area of Probability. > > UCD School of Mathematics & Statistics is committed to research and teaching across the mathematical sciences, including mathematics, applied mathematics, statistics and actuarial science. > > The successful candidate will be expected to engage in research in Mathematics, including supervision of research students and projects, and to contribute to the School's wide-ranging programme of undergraduate and postgraduate teaching. > > 95 Lecturer / Assistant Professor (above the bar) Salary Scale: €53,773 - €84,544 per annum > Appointment will be made on scale and in accordance with the Department of Finance guidelines. > > Closing date: 17:00hrs (local Irish time) on 6 February 2020 > > **** > > Ad Astra Fellow, UCD School of Mathematics and Statistics > Applications are sought for Ad Astra Fellows within the UCD School of Mathematics and Statistics. > > In support of the 2024 University College Dublin Strategic Plan 'Rising to the Future', UCD has begun an ambitious plan to increase our faculty numbers by 500 over five years. With an initial 5-year contract, research support for these 5 years and the opportunity for an on-going contract subject to performance, there has never been a better time to join the faculty at Ireland's Global University and to live in one of Europe's most vibrant, friendly and connected capital cities. > > UCD School of Mathematics and Statistics is ranked in the top one percent in the world for both Mathematics and Statistics. The School is the largest of its kind in Ireland and offers the greatest choice of programmes at undergraduate, masters and PhD level. Our teaching and research activities cover a broad range including Mathematics, Financial Mathematics, Applied & Computational Mathematics, Statistics, Actuarial Science, Mathematics Education and Data & Computational Science. The School is keen to recruit academic staff to augment the existing research expertise. > > Prior to application, further information (including application procedure) should be obtained from the UCD Ad Astra Fellow website: http://www.ucd.ie/adastrafellows/ <http://www.ucd.ie/adastrafellows/> > > 95 Lecturer/Assistant Professor (above the bar) Salary Scale: €53,773 - €84,544 per annum > Appointment will be made on scale and in accordance with the Department of Finance guidelines > > Closing date: 17.00hrs (Local Irish Time) on 24th January 2020

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Annuncio seminario Galves 14/01/2020 RM1
by Nappo, Giovanna 09 Jan '20

09 Jan '20

SEMINARIO DI PROBABILITA’ E STATISTICA MATEMATICA IL giorno 14/01/2020, alle ore 14 nell’Aula di Consiglio del Dipartimento di Matematica, Sapienza Università di Roma Il prof. Antonio Galves dell’Universidade de Sao Paulo terrà una conferenza dal titolo ESTIMATING THE INTERACTION GRAPH OF STOCHASTIC NEURAL DYNAMICS Abstract: We address the question of statistical model selection for a class of stochastic models of biological neural nets.Models in this class are systems of interacting chains with memory of variable length. Each chain describes the activity of a single neuron, indicating whether it spikes or not at a given time. The spiking probability of a given neuron depends on the time evolution of its presynaptic neurons since its last spike time. When a neuron spikes, its potential is reset to a resting level and postsynaptic current pulses are generated, modifying the membrane potential of all its postsynaptic neurons. The relationship between a neuron and its pre- and postsynaptic neurons defines an oriented graph, the interaction graph of the model. The goal is to estimate this graph based on the observation of the spike activity of a finite set of neurons over a finite time. We provide explicit exponential upper bounds for the probabilities of under- and overestimating the interaction graph restricted to the observed set and obtain the strong consistency of the estimator. Our result does not require stationarity nor uniqueness of the invariant measure of the process. Joint work with A. Duarte, E. Locherbach and G. Ost.

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Seminar in Pisa, January 13th 2020
by Dario Trevisan 09 Jan '20

09 Jan '20

Dear all, happy 2020! I would like to announce the following seminar by G. Poly (U. Rennes 1). Best, Dario Trevisan #### time and place: Monday 13th January 2020, 14:00, sala Riunoni (dip. Matematica, università degli studi di Pisa, Pisa). speaker: Guillaume Poly (U. Rennes 1) title: Around Salem-Zygmund Central Limit Theorem and application to roots of random trigonometric polynomials abstract: We shall revisit the Salem-Zygmund Central limit Theorem and get several generalizations: a speed of convergence via Stein's method, a functional counterpart and extension to total variation topology. As an application we prove the almost-sure convergence of the empirical measure of the number of real roots of a random trigonometric polynomial under-mild conditions on the coefficients. This is a joint work with Jurgen Angst.

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extended deadline post doc applications in Graz
by Daniela Bertacchi 08 Jan '20

08 Jan '20

DEADLINE EXTENSION ! Open Assistant position (PostDoc) for 2 1/2 years Graz University of Technology, Austria Institute of Discrete Mathematics Working Groups Structure Theory and Stochastics & Noncommutative Structures (Wolfgang Woess & Franz Lehner) Scheduled to start on March 1, 2020. Requirements: PhD in Mathematics or Technical Mathematics, awarded before the beginning of the engagement. Desired qualifictations: scientific interest in the fields of Stochastic Processes (random walks) and their analytic counterparts, Graph Theory, Geometric Group Theory and Noncommutative Probability, possibly combining those topics. Readiness to collaborate in research projects in these areas. Workload 40 hours/week. Teaching duties of 4 hours per week per semester, in particular for Mathematics in the Engineering sciences, in German (!). For details + how to apply, see https://www.math.tugraz.at/~woess/position EXTENDED DEADLINE FOR APPLICATIONS: January 19, 2020. Wolfgang Woess Institut fuer Diskrete Mathematik, Technische Universitaet Graz, Steyrergasse 30, A-8010 Graz, Austria email: woess(a)TUGraz.at http://www.math.TUGraz.at/~woess <http://www.math.tugraz.at/~woess>

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Seminario di M. Gordina alla Sapienza
by Faggionato, Alessandra 08 Jan '20

08 Jan '20

Buongiorno sotto l'annuncio di un seminario per Lunedi' 13 Gennaio Grazie Saluti Alessandra ************************************************************************************** When: Monday 13 January, 16.00 Where: Sala di Consiglio, Department of Mathematics, University La Sapienza Speaker: Maria Gordina (University of Connecticut) Title: Ergodicity for Langevin dynamics with singular potentials Abstract: We discuss Langevin dynamics of N particles on R^d interacting through a singular repulsive potential, such as the Lennard-Jones potential, and show that the system converges to the unique invariant Gibbs measure exponentially fast in a weighted total variation distance. The proof relies on an explicit construction of a Lyapunov function using a modified Gamma calculus. In contrast to previous results for such systems, our results imply geometric convergence to equilibrium starting from an essentially optimal family of initial distributions. This is based on join work with F.Baudoin and D.Herzog. -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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5-year Lecturer/Assistant Professor in Financial Mathematics UCD School of Mathematics and Statistics
by Andrea Pascucci 07 Jan '20

07 Jan '20

University College Dublin is seeking to appoint a Lecturer/Assistant Professor (Above the Bar) in Financial Mathematics in the School of Mathematics and Statistics. Applicants should have expertise in Financial Mathematics or Computational Finance, or both. It is a 5-year post, commencing on 1st May 2020. The salary scale is €53,773-€84,544 per annum. For further details, and to apply, go to https://www.ucd.ie/workatucd/jobs/ (search under 'External Applicants'). The application period will close at 17:00hrs (local Irish time) on 24th January 2020. Regards, Adamaria Perrotta Programme Director of BSc. in Financial Mathematics UCD School of Mathematics and Statistics -- Adamaria Perrotta School of Mathematics and Statistics S2.85, Science South UCD, Belfield, Dublin 4 00 353 1 716 2590

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Probability Seminar: Richard Kraaij (TUDelft) [Padova, Tue 14/01, 11am]
by Francesca Collet 07 Jan '20

07 Jan '20

*** Apologies for cross-posting *** Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics, University of Padova, on January 14. ____________________________________________________________________________________________________ DR. RICHARD C. KRAAIJ (Delft University of Technology) “Large deviations for weakly coupled slow-fast systems via the comparison principle of an associated Hamilton-Jacobi equation” 14 JANUARY (Tuesday), 11:00; ROOM 1BC50, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova ABSTRACT. In statistical physics many interesting phenomena, e.g. behavior of systems at critical parameters or in the theory of hydrodynamic limits, arise from systems having multiple time-scales. A slow component is influenced by fast components, and as the number of interacting components tends to infinity, limiting results for the slow component are obtained in terms of `averaged' versions of the fast components. I will consider in my talk the fluctuations (large deviations) of coupled Markovian systems with two-time scales. These fluctuations can arise from two sources: fluctuations of the slow process itself, or fluctuations of the large time averages of the fast process, effectively leading to a competition of two fluctuation effects. To obtain the large deviation principle, we consider an associated Hamilton-Jacobi-Bellman equation of which the Hamiltonian is given in terms of the two fluctuation effects. We establish under mild conditions that this Hamilton-Jacobi-Bellman equation is well-posed, and as a consequence that we have a large deviation principle for a wide class of weakly coupled Markov processes. Based on joint work with Mikola Schlottke (Eindhoven, The Netherlands). ____________________________________________________________________________________________________ All of you are very welcome. Best regards, Francesca Collet

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BAYSM 2020: registration and abstract submission are now open!
by Federico Camerlenghi 07 Jan '20

07 Jan '20

Dear all, the 5th Bayesian Young Statisticians Meeting, BAYSM2020, will take place in Kunming, China (June 26-27, 2020) as a satellite to the ISBA 2020 world meeting. BAYSM is the official conference of j-ISBA, the junior section of the International Society for Bayesian Analysis. It is intended for Ph.D. Students, M.S. Students, Post-Docs, Young and Junior researchers working in the field of Bayesian statistics, providing an opportunity to connect with the Bayesian community at large. Senior discussants will be present at each session, providing participants with hints, suggestions and comments to their work. Distinguished professors of the Bayesian community will also participate as keynote speakers, making an altogether exciting program. Registration is now open ( https://baysm2020.uconn.edu/registration ) and will be available with an early bird discount until May 1, 2020. The event will be hosted at the Science Hall of Yunnan University (Kunming, China) right before ISBA 2020 world meeting. BAYSM 2020 will include social events, providing the opportunity to get to know other junior Bayesians. Young researchers interested in giving a talk or presenting a poster are invited to *submit an extended abstract by March 29, 2020*. All the instructions for the abstract submission are reported at the page https://baysm2020.uconn.edu/call-dates Thanks to the generous support of ISBA, a number of travel awards are available to support young researchers. Keynote speakers: Maria De Iorio David Dunson Sylvia Frühwirth-Schnatter Xuanlong Nguyen Amy Shi Jessica Utts Confirmed discussants: Jingheng Cai Li Ma Fernando Quintana Francesco Stingo Anmin Tang Yemao Xia While the meeting is organized for and by junior Bayesians, attendance is open to anyone who may be interested. For more information, please visit the conference website: https://baysm2020.uconn.edu/ On behalf of the BAYSM2020 organizing committee -- Federico Camerlenghi Department of Economics, Management and Statistics University of Milano Bicocca, Milano, Italy. web-page: https://www.unimib.it/federico-camerlenghi

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Seminari congiunti ASI - Dipartimento Matematica Tor Vergata
by Anna Vidotto 07 Jan '20

07 Jan '20

Annuncio Seminari congiunti ASI - Dipartimento Matematica Tor Vergata *9 Gennaio 2020* Aula Dal Passo, Edificio Sogene *Ore 14: Gianluca Polenta, ASI Space Science Data Centre* Title: Cosmology through CMB maps Abstract: The Cosmic Microwave Background is a fundamental source of information for cosmology. In the standard inflationary scenario, the CMB can be described to first order as a Gaussian random field on the sphere, and as such cosmological information is encoded in the two-point correlation function or in the angular power spectrum. To derive these quantities as well as the likelihood function needed to estimate the cosmological parameters, a number of estimators have been developed following different trade-off between optimality, unbiasedness, and computational resources, also depending on the characteristics of the dataset to be analysed. In this talk I will review the different classes of estimators used in the CMB data analysis, focusing in particular to the solutions adopted for the ESA Planck satellite, which produced CMB full sky maps of unprecedented quality. Finally, I will briefly discuss how CMB non-Gaussianity, isotropy, and those anomalies found in the analysis of Planck data can be used to further test the inflationary paradigm. *Ore 15: Domenico Marinucci, Department of Mathematics, University ofRome Tor Vergata* Title: Critical Points, Multiple Testing and Point Source Detection for Cosmological Data Abstract: In this talk, we shall review some mathematical issues arising in the analysis of Cosmic Microwave Background (CMB) radiation data; many of these issues can be related to the investigation of functionals of independent interest in random geometry. We will first review some results on harmonic analysis for spherical random fields, on the construction of spherical wavelets and on their stochastic properties; we will then show how to compute the asymptotic distribution of critical points for Fourier/wavelet components of random fields, and we will establish some ergodicity results, in the high-frequency limit. We will then investigate how to exploit these results to implement multiple testing procedures for detection of point sources (Galaxies) in CMB Data; the resulting tests will be shown to exhibit a number of optimality properties. Applications to CMB data from the Planck collaboration will also be briefly illustrated. --------- Anna Vidotto PostDoc Researcher Dipartimento di Matematica Università degli Studi di Roma Tor Vergata https://sites.google.com/view/annavidotto

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Talk announcement, dos Reis, Tuesday Jan 7
by Mario Maurelli 07 Jan '20

07 Jan '20

Dear all, Sorry for cross-posting. I would like to announce the following talk: Time and place: Tuesday January 7, 2pm Dipartimento di Matematica, Universita' degli Studi di Milano [room TBC, another email will follow] via C. Saldini 50, Milano Speaker: Dr. Goncalo dos Reis (University of Edinburgh) Title: Ito type Chain rule for measure dependent random fields under full and conditional measure flows Abstract: We present several Itô-Wentzell formulae on Wiener spaces for real-valued functionals random field of Itô type depending on measures. We distinguish the full- and marginal-measure flow cases. Derivatives with respect to the measure components are understood in the sense of Lions. This talk is based on joint work with V. Platonov (U. of Edinburgh), see https://arxiv.org/abs/1910.01892 . Best regards Mario Maurelli

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Reminder - workshop "Graphs and Randomness in Turin"
by Federico Polito 06 Jan '20

06 Jan '20

Dear colleagues, We would like to remind you about the upcoming workshop *Graphs and Randomness in Turin* January 20-21, 2020 Department of Mathematics "G. Peano", University of Torino, Italy For more information please see the webpage: https://sites.google.com/view/graphs-and-randomness-in-turin Registration is mandatory but free. To register please email tamas.makai(a)unito.it by January 15. With best regards, The organisers, Tamás Makai Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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Seminario Lionel Levine (Cornell), Università La Sapienza, Martedì 7 Gennaio
by Silvestri, Vittoria 03 Jan '20

03 Jan '20

REMINDER Seminario di Probabilità Speaker: Lionel Levine (Cornell University) Title: Random walks with local memory Martedì 7 Gennaio, ore 14:00 (sharp) Aula di Consiglio Dipartimento di Matematica Università di Roma La Sapienza Piazzale Aldo Moro, 5 Abstract: The theme of this talk is walks in a random environment of "signposts" altered by the walker. I'll focus on three related examples: 1. Rotor walk on Z^2. Your initial signposts are independent with the uniform distribution on {North,East,South,West}. At each step you rotate the signpost at your current location clockwise 90 degrees and then follow it to a nearest neighbor. Priezzhev et al. conjectured that in n such steps you will visit order n^{2/3} distinct sites. I'll outline an elementary proof of a lower bound of this order. The upper bound, which is still open, is related to a famous question about the path of a light ray in a grid of randomly oriented mirrors. This part is joint work with Laura Florescu and Yuval Peres. 2. p-rotor walk on Z. In this walk you flip the signpost at your current location with probability 1-p and then follow it. I'll explain why your scaling limit will be a Brownian motion perturbed at its extrema. This part is joint work with Wilfried Huss and Ecaterina Sava-Huss. 3. p-rotor walk on Z^2. Rotate the signpost at your current location clockwise with probability p and counterclockwise with probability 1-p, and then follow it. This walk “organizes” its environment by destroying cycles of signposts. A native environment -- stationary in time, from your perspective as the walker -- is an orientation of the uniform spanning forest, plus one additional edge. This part is joint work with Swee Hong Chan, Lila Greco, and Peter Li: https://arxiv.org/abs/1809.04710 ******************************** Vittoria Silvestri Assistant Professor Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome ********************************

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6-year position in probability in Vienna
by Fabio Toninelli 03 Jan '20

03 Jan '20

Dear friends and colleagues, the Technical University of Vienna is advertising a 6-year post-doctoral assistant position <https://tiss.tuwien.ac.at/mbl/blatt_struktur/anzeigen/10378?locale=en#p472.3> in probability (the position is comparable to a non-tenure track "junior professor position" in the German system). The successful candidate will work in the Mathematical Stochastics group, that I will start leading in March 2020. I would be grateful if you could forward this message to any suitable candidates (the application deadline is January 15, 2020). Candidates are encouraged to contact me directly by e-mail for any question related to this position. With best wishes and many thanks Fabio Toninelli -- Fabio Toninelli Institut Camille Jordan, Universite' Lyon 1 43 bd du 11 novembre 1918 69622 Villeurbanne Cedex, France Office 105, tel: +33 (0) 4 26 23 44 41

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ricercatore tipo B MAT/06 all' Aquila: ulteriore proroga
by davide gabrielli 02 Jan '20

02 Jan '20

La scadenza del bando è stata prorogata 2 volte; per un mio errore avevo mandato la data della prima proroga. Per completezza di informazione inoltro ancora una volta le informazioni con la scadenza finale. Bando da ricercatore a tempo determinato di tipo B nel settore scientifico disciplinare MAT/06 Probabilità e statistica matematica presso il Dipartimento di ingegneria e scienze dell'informazione e matematica dell'Università dell'Aquila. Il bando e le informazioni si trovano al seguente link https://www.univaq.it/section.php?id=1532 Scadenza definitiva 16-Gennaio-2020 Si prega di darne la massima diffusione, cordiali saluti Davide Gabrielli

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