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Fwd: Ph.D. position at Imperial college
by Marco Romito 07 Jul '17

07 Jul '17

Roth Studentship in Stochastic Analysis (for EU student) Imperial college, London The studentship is for a project in stochastic analysis, to work with Professor Xue-Mei Li starting 1st October 2017 or as soon as possible. The candidate should have a strong background in two of the following topics: stochastic analysis and probability; real analysis; pdes; and differential geometry. For some idea about stochastic analysis on manifolds, please see http://www.xuemei.org/Homepage/Research.html, See also http://www2.warwick.ac.uk/fac/sci/maths/people/staff/xue_mei_li/. The interested students should apply directly to Imperial college, mention this particulars. Applicants are directed to this page: http://www.imperial.ac.uk/mathematics/postgraduate/phd/how-to-apply <http://www.imperial.ac.uk/mathematics/postgraduate/phd/how-to-apply/> ------------------------------------------------------------------------------------------------------- Xue-Mei Li Professor Mathematics Institute The University of Warwick Coventry CV4 7AL U.K. Tel 44 (0) 2476 528 319 --------------------------

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Avviso di seminario: Cardinali@DISMEQ (Dipartimento di Statististica e Metodi Quantitativi, Milano-Bicocca)
by Fulvia Pennoni 06 Jul '17

06 Jul '17

----------------------------------------------------------------------------- Dipartimento di Statistica e Metodi Quantitativi Via Bicocca degli Arcimboldi, 8 - 20126 Milano ----------------------------------------------------------------------------- “COSTATIONARY INFERENCE FOR LOCALLY STATIONARY TIME SERIES” Alessandro Cardinali School of Computing and Mathematics, Plymouth University University of Plymouth Lunedì 10 Luglio ore 14.00 Ed. U7, 2° piano, aula 2061 __________________________________________________________ Abstract: In this presentation we illustrate a novel inferential approach to estimate time-varying parameters of locally stationary time series. This approach is based on costationary combinations, that is, time-varying deterministic linear combinations of locally stationary time series that are second-order stationary. We first review the theory of costationarity and formalize a Generalised Method of Moments estimator for the coefficient vectors. We then use this new framework to derive an estimator for the (time-varying) covariance of locally stationary time series and we show that the new covariance estimator is more efficient than classical estimators exclusively based on the evolutionary cross-periodogram. We confirm our theoretical findings through a simulation experiment. We then present a new analysis of financial log-returns showing that our new estimator is capable to highlight well known economic shocks. As a second example of our approach we finally discuss forecasting of locally stationary time series based on costationary combinations. __________________________________________________________ Cordiali saluti Fulvia Pennoni -- Fulvia Pennoni Department of Statistics and Quantitative Methods University of Milano-Bicocca http://www.statistica.unimib.it/utenti/pennoni/

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Avviso di seminario: Cardinali@DISMEQ (Dipartimento di Statististica e Metodi Quantitativi, Milano-Bicocca)
by Fulvia Pennoni 06 Jul '17

06 Jul '17

----------------------------------------------------------------------------- Dipartimento di Statistica e Metodi Quantitativi Via Bicocca degli Arcimboldi, 8 - 20126 Milano ----------------------------------------------------------------------------- “COSTATIONARY INFERENCE FOR LOCALLY STATIONARY TIME SERIES” Alessandro Cardinali School of Computing and Mathematics, Plymouth University University of Plymouth Lunedì 10 Luglio ore 14.00 Ed. U7, 2° piano, aula 2061 __________________________________________________________ Abstract: In this presentation we illustrate a novel inferential approach to estimate time-varying parameters of locally stationary time series. This approach is based on costationary combinations, that is, time-varying deterministic linear combinations of locally stationary time series that are second-order stationary. We first review the theory of costationarity and formalize a Generalised Method of Moments estimator for the coefficient vectors. We then use this new framework to derive an estimator for the (time-varying) covariance of locally stationary time series and we show that the new covariance estimator is more efficient than classical estimators exclusively based on the evolutionary cross-periodogram. We confirm our theoretical findings through a simulation experiment. We then present a new analysis of financial log-returns showing that our new estimator is capable to highlight well known economic shocks. As a second example of our approach we finally discuss forecasting of locally stationary time series based on costationary combinations. __________________________________________________________ Cordiali saluti Fulvia Pennoni -- Fulvia Pennoni Department of Statistics and Quantitative Methods University of Milano-Bicocca http://www.statistica.unimib.it/utenti/pennoni/

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3-year Ph.D. position at Bielefeld University
by Giorgio Ferrari 06 Jul '17

06 Jul '17

Dear Colleagues, this is to announce a *3-year Ph.D. position at Bielefeld University* starting on *October 1, 2017*. The successful candidate will participate in the Collaborative Research Centre (CRC) 1283 "Taming uncertainty and profiting from randomness and low regularity in analysis, stochastics and their applications" https://www.sfb1283.uni-bielefeld.de/Pages/home within the project C4 “Stochastic games of singular control and games of stopping”. More information on the post and on the application procedures can be found here http://www.uni-bielefeld.de/Universitaet/Aktuelles/Stellenausschreibungen/A… *DEADLINE FOR APPLICATION:* August 2, 2017 All the best, Giorgio Ferrari

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Postgraduate programmes at the University of Kent
by Fabrizio Leisen 03 Jul '17

03 Jul '17

Con preghiera di diffusione, Cordiali saluti, Fabrizio Leisen A postgraduate degree in Statistics from the University of Kent can open many doors both in industry and research. The taught programmes in Statistics and Statistics with Finance provide exemption from the professional examinations of the Royal Statistical Society and qualification for Graduate Statistician status. The School of Mathematics, Statistics and Actuarial Science has a strong reputation for world-class research and a well-established system of support and training, with a high level of contact between staff and research students. Postgraduate students develop analytical, communication and research skills. Developing computational skills and applying them to mathematical problems forms a significant part of the postgraduate training in the School. The School encourages all postgraduate statistics students to take part in statistics seminars and to help in tutorial classes. The Statistics Group is forward-thinking, with varied research, and received high rankings in the Research Excellence Framework (REF) 2014 for research power and quality. For more information about postgraduate statistics programmes at Kent visit www.kent.ac.uk/smsas or contact the Admissions Officer: E: smsaspgadmissions(a)kent.ac.uk T: +44 (0) 1227 816050 -- Fabrizio Leisen Reader in Statistics School of Mathematics, Statistics and Actuarial Sciences Sibson Building, University of Kent, Canterbury, CT2 7FS http://www.kent.ac.uk/smsas/statistics/our-people/profiles/leisen_fabrizio.… http://sites.google.com/site/fabrizioleisen/

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Assegno di Ricerca Biennale (scadenza imminente)
by Federico Polito 28 Jun '17

28 Jun '17

Gentili colleghi, è aperta la procedura per l'assegnazione di un *assegno di ricerca biennale* nel Dipartimento di Matematica, Università di Torino. La ricerca verrà svolta all'interno del progetto "Memory in Evolving Graphs" (fondi Università di Torino / Compagnia di San Paolo). Sono apprezzate conoscenze di grafi aleatori e tecniche di cambi di tempo aleatori. Data prevista di inizio: Settembre/Ottobre 2017. Data ultima per chiudere la domanda: *Ore 12 del 14 luglio 2017* Bando: https://www.serviziweb.unito.it/albo_ateneo/?area=federico.polito@unito.itA… <https://www.serviziweb.unito.it/albo_ateneo/?area=Albo&action=Read_Download…> Procedura per la domanda: https://pica.cineca.it Maggiori dettagli qui: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/132390 Per ogni chiarimento o domanda potete scrivermi: federico.polito(a)unito.it Un saluto. 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 di Probabilita', La Sapienza
by Faggionato, Alessandra 27 Jun '17

27 Jun '17

Seminario di Probabilita' Mercoledi' 5 Luglio 2017, Ore 14.30, Aula C, Dipartimento di Matematica G Castelnuovo, Sapienza Speaker: V. Silvestri (Cambridge) Title: The reset time of Internal DLA Abstract: Consider Internal DLA on cylinder graphs of the form GxZ. How does a large cluster typically look like? How long does it take for the process to forget its initial profile? In this talk I will address these questions, explaining how the answer depends on the mixing properties of the base graph G. Joint work with Lionel Levine. -- ************************************************* 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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Position of Lecturer in Mathematics, University of Sussex
by Enrico Scalas 26 Jun '17

26 Jun '17

Car* Collegh*, al Dipartimento di Matematica dell'Universita' del Sussex stiamo reclutando in analisi numerica. Il motivo per cui segnalo l'annuncio su questa lista e' che possiamo anche prendere in considerazione candidature di persone che si occupano, per esempio, di analisi numerica di equazioni differenziali stocastiche, di equazioni differenziali stocastiche alle derivate parziali o di analisi rigorosa di algoritmi di Monte Carlo. Vi prego di diffondere l'annuncio se conoscete persone interessate che corrispondono al profilo. I link sono: http://www.sussex.ac.uk/about/jobs/lecturer-in-mathematics-2173 http://www.jobs.ac.uk/job/BCH117/lecturer-in-mathematics Il profilo e': Applications are invited from rigorous numerical analysts working in any area of numerical analysis and scientific computing; candidates at the interface with Mathematical Biology would be particularly welcome. Il bando contiene poi link a "job description" e "person specification". Grazie per l'attenzione e cordiali saluti, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK

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Seminars at SNS (Pisa), 29 July 2017
by Maria Elvira Mancino 26 Jun '17

26 Jun '17

Dear All, I am glad to announce the following two seminars at Scuola Normale Superiore on the 29th July 2017 14.30 Christa Cuchiero (University of Vienna) Title: (Probability) measure-valued polynomial diffusions Abstract: We introduce polynomial diffusions taking values in the space of (probability) measures on a Polish space, extending the finite dimensional notion of polynomial processes to the infinite dimensional case. Our main goal is tractable dynamic modeling of (probability) measures with applications in large equity markets, capital distribution curve and term structure modeling. In the case of probability measures we provide a characterization of the corresponding extended generators, prove well-posedness of the associated martingale problems and recover the well-known Fleming-Viot process as special case. We obtain uniqueness of the martingale problem by establishing a formula for the conditional moments of the solution, which in the finite-dimensional case reduces to a matrix exponential. 15.30 Short break 16.00 Josef Teichmann (ETH-Zurich) Title: Affine processes and non-linear (PI)DEs Abstract: Motivated by works Dynkin, McKean, LeJan/Sznitman, Henry-Labordere and many others we show an abstract representation property for solutions of non-linear (PI)DEs by affine processes. This allows on the one hand to establish original simulation algorithms, on the other hand even to come up with new types of existence results for DEs. (joint work with Christa Cuchiero). ------------------------------------------------------------------------------------ Everyone is invited to participate. For more information, please contact mariaelvira.mancino(a)unifi.it

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Announcement of two talks, probability seminar, University of Pisa, Tuesday, June 27, 11:00h - 13:00h
by Carina Geldhauser 25 Jun '17

25 Jun '17

Announcement of two talks in the probability seminar at the University of Pisa. DATE AND TIME: Tuesday, June 27, 11:00h - 13:00h LOCATION: Aula Seminari, Dipartimento di Matematica, Universita' di Pisa SPEAKER 1: Remi Catellier (Université de Nice Sophia-Antipolis) TITLE: Averaging along irregular curves and regularization of ODEs. ABSTRACT: Paths of some stochasic processes such as fractional Brownian Motion have some amazing regularization properties. It is well known that in order to have uniqueness in differential systems such as $dy_t = b(y_t) dt$, $b$ needs to be quite regular. However, the oscillations of a stochastic process added to the system will guarantee uniquneness for really irregular $b$. In this talk we will show how to solve the perturbed differential system with a certain stochastic averaging operator. As an application, we show that the stochastic transport equation driven by fractional Brownian motion has a unique solution when $u_0 \in L^{\infty}$ and $b$ is a possibly random $\alpha$-Hoelder continuous function for $\alpha$ large enough. This is a joint work with Massimiliano Gubinelli. After a short break, at around 12:15h, we will continue with a second talk by SPEAKER 2: Michel Nassif (ENS Rennes) TITLE: Introduction to interacting particle systems ABSTRACT: Interacting particle systems is a recently developed field in the theory of Markov processes with many applications: particle systems have been used to model phenomena ranging from traffic behaviour to spread of infection and tumour growth. We introduce this field through the study of the simple exclusion process. We will construct the generator of this process and we will give a convergence result of the spatial particle density to the solution of the heat equation. We will also discuss a variation of the simple exclusion process with proliferation. Everyone is invited to participare. For more information and a longer abstract of the first talk in pdf format, please contact carina.geldhauser(a)dm.unipi.it

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