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Conference "Recent Advances in Random Processes" in honor of Paolo Baldi's 70th birthday - first announcement
by Rossi Maurizia 03 Feb '18

03 Feb '18

Dear colleagues, we are glad to announce the conference "Recent Advances in Random Processes" in honor of Paolo Baldi's 70th birthday taking place in Rome on September 10-11, 2018, at Citta` dellAltra Economia, in (the picturesque) Rione Testaccio. The conference focuses on random processes and their recent use to several fields, for example finance, mathematical physics, statistics or cosmology, and wishes to celebrate Paolo Baldi's scientific contributions to probability and academic life. The meeting is supported by Gnampa-INdAM funds and the ERC Grant PASCAL n. 277742. For more details (e.g. invited speakers, registration and venue) please visit the (preliminary) conference website http://www.mat.uniroma2.it/~ricerca/probab/rarp/home.html For any other information do not hesitate to contact us at rarp(a)mat.uniroma2.it We are looking forward to welcoming you in Rome! Lucia Caramellino Claudio Macci Domenico Marinucci Barbara Pacchiarotti Maurizia Rossi Giulia Terenzi --- Maurizia Rossi FSMP Postdoctoral Fellow Laboratoire MAP5, Université Paris Descartes 45, Rue des Saints Pères 75006 Paris (France)

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Prof. Macci a Pisa
by RITA GIULIANO 02 Feb '18

02 Feb '18

Il Prof. Claudio Macci sara' ospite del Dipartimento di Matematica, Universita' di Pisa, nei giorni 15, 16 e 17 febbraio prossimi. Terra' un seminario il 15 febbraio alle ore 15 in Aula Seminari. TITOLO Asymptotic behavior of some hitting probabilities for sums of IID Gaussian random sets ABSTRACT In this article, we consider sequences of partial sums of iid Gaussian random sets (with respect to the Minkowski sum) and we study the asymptotic behavior of some hitting probabilities (of suitable sets of $R^d$) for these partial sums. We also illustrate the use of the importance sampling for the estimation of these hitting probabilities by Monte Carlo simulations. We obtain the analog of well-known results for level crossing probabilities of random walks, and we refer to a version of the classical Cramér’s Theorem in large deviations for random compact sets existing in the literature. Joint work with Barbara Pacchiarotti. Tutti gli interessati sono invitati Rita Giuliano

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annuncio seminario - dott.ssa L.Altieri
by Serena Arima 01 Feb '18

01 Feb '18

Tutti gli interessati sono invitati a partecipare. Dipartimento di Metodi e Modelli per l'Economia, il Territorio e la Finanza Facoltà di Economia, Sapienza Università di Roma Giovedì 15 febbraio Ore 14.00, auletta A, IV piano *A new approach to spatial entropy measures* L. Altieri, D. Cocchi, G. Roli Entropy is widely employed in many applied sciences to measure the heterogeneity of observations. Recently, many attempts have been made to build entropy measures for spatial data, in order to capture the influence of space over the variable outcomes. The main limit of these developments is that all indices are computed conditional on a single distance and do not cover the whole spatial configuration of the phenomenon under study. Moreover, most of them do not satisfy the desirable additivity property between local and global spatial measures. We compare some recent developments in this field to a new approach which achieves substantial innovations. Firstly, Shannon’s entropy may be decomposed into two terms: spatial mutual information, accounting for the role of space in determining the variable outcome, and spatial global residual entropy, summarizing the remaining heterogeneity carried by the variable itself. Secondly, both terms satisfy the additivity property, being sums of partial entropies measuring what happens at different distance classes. The new entropy measures are shown to be more informative and to answer a wider set of questions than the current proposals of the literature. A case study is presented with categorical lattice data, concerning the spatial heterogeneity of land use over the Emilia Romagna region.

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Annuncio seminario al CNR di Milano
by Sara Pasquali 01 Feb '18

01 Feb '18

A tutti gli interessati. SEMINAR ANNOUNCEMENT ON BIG DATA, OPTIMIZATION AND LEARNING /Prof. Andrea Lodi //(Department of Mathematical and Industrial Engineering, Polytechnique Montréal, Canada; Canada Excellence Research Chair in Data Science for Real-Time Decision-Making) / In this talk I review a couple of applications on Big Data that I personally like and I try to explain my point of view as a Mathematical Optimizer – especially concerned with discrete (integer) decisions – on the subject. I advocate a tight integration of Machine Learning and Mathematical Optimization (among others) to deal with the challenges of decision-making in Data Science. For such an integration I try to answer three questions: 1) what can optimization do for machine learning? 2) what can machine learning do for optimization? 3) which new applications can be solved by the combination of machine learning and optimization? Monday, February 5, 2018; 11:00 CNR Via Corti 12, 20133 Milan Room EXPO ORGANISERS Ettore Lanzarone ettore.lanzarone(a)cnr.it Silvia Zuffi silvia(a)mi.imati.cnr.it ᐧ

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DEF Call for Papers – Special Issue on “Quantitative developments in financial volatility - theory and practice"
by Maria Elvira Mancino 31 Jan '18

31 Jan '18

Dear colleagues and friends, We hope the email finds you well in the beginning of spring, 2018. We are delighted to inform that the journal of Decisions in Economics and Finance, the official publication vehicle of the Italian Association for Mathematics Applied to Social and Economic Sciences (AMASES), is now calling for papers for its special issue on "QUANTITATIVE DEVELOPMENTS IN FINANCIAL VOLATILITY - THEORY AND PRACTICE" On behalf of the co-editors of the journal's special issue, we cordially invite you to submit your recent work on financial volatility to the special issue. Contributions are welcome from all areas of study in financial volatility including but not restricted to * Parametric and nonparametric modeling of volatilities * Volatility estimation * Calibration and forecast of volatility models * Pricing of volatility linked derivatives * Modeling and inference of implied volatility * Efficient simulation schemes For more details, please see the attached PDF file or visit the journal's webpage at http://www.springer.com/economics/economic+theory/journal/10203?detailsPage… [1] Please allow us to reiterate that the submission DEADLINE for the special issue is _JULY 31, 2018._ Accepted papers will be published online individually prior to the final print publication. Please address all your inquiries concerning the submission to the special issue directly to us. We apologize if you receive the same email multiple times. Please kindly help us forward the call to your colleagues. We look forward to receiving your submissions. With best regards, Special issue co-editors Elisa Alos, Maria Elvira Mancino, and Tai-Ho Wang Decisions in Economics and Finance Links: ------ [1] http://www.springer.com/economics/economic+theory/journal/10203?detailsPage…

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Expressions of interest in the broad areas of Economics, Management and Statistics
by Giovanni Puccetti 31 Jan '18

31 Jan '18

The Department of Economics, Management and Quantitative Methods (DEMM) seeks expressions of interest for junior (post-doc and assistant professor) and senior (associate professor) positions from candidates interested in working with us in the broad areas of Economics, Management and Statistics. The University of Milan is a major research and teaching institution located in one of Europe’s most thriving cities. It is ranked in the top 200 for Economics in the Shanghai Ranking of World Universities. According to RepEc, the Department of Economics, Management, and Quantitative Methods – DEMM is one of the top five departments of economics in Italy and in the top four percent in Europe. The recent Italian research evaluation exercise (VQR 2011-2014) placed DEMM among the top 10 departments in the area of economics, management and statistics in Italy. DEMM has also been the recipient of a generous competitive funding in the recent “Bando Dipartimenti di Eccellenza” grant, awarded by the Italian ministry of education (MIUR) and aimed at creating the Centre of Excellence in Economics and Data Science (CEEDS). Particular attention will be given to candidates with an excellent research record and showing the potential to cooperate with the current members of the department in pursuing DEMM’s strategy. Informal enquiries may be directed via mail to Francesca Cottone, francesca.cottone(a)unimi.it. Interested candidates are invited to submit a CV to francesca.cottone(a)unimi.it, together with a short motivation letter specifying for which position they intend to apply for. There is no formal deadline for the expression of interest but an early assessment is expected to start in the second half of February 2018. Successful applicants will be contacted to work on the application for post-doc (2+2 years), assistant (tenure-track) or associate (permanent) professor positions. Gross salary: €30,000-40,000 according to experience (post-doc), €38,500 (assistant professor), €51,000 (associate professor) per annum. Tax exemption: a four-year tax exemption on 90 percent of the salary is available according to the Italian tax law for those candidates who have been residing outside Italy for 2 years or more. This would result in the following net salary (approx.): €33,500 (assistant professor), €45,000 (associate professor) per annum.

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PHD Lectures on Stochastic Processes
by Francesca Greselin 30 Jan '18

30 Jan '18

In the next two weeks, the Emeritus professor *Youri Davydov* will give lectures on* Stochastic Processes, * from Monday 5 till Thursday 15, February, from 9:30 to 12:30 in Room 2062, second floor, Building U7, Università degli Studi di Milano Bicocca. Prof. Davydov's Lectures will be given for the PhD curriculum in Statistics, Department of Statistics and Quantitative Methods. *PHD Lectures on Stochastic Processes* *Prof. Youri Davydov* *Emeritus Professor Laboratoire Painlévé - Université Lille 1,* *and St. Petersbourg State University, St. Petersbourg, Russia* Syllabus: Stochastic processes 1. Denitions and general notions 2. Examples 3. Processes with independent increments 4. Stationary processes 5. Gaussian processes 6. Martingales. *References* 1. Gikhman, I. I., & Skorokhod, A. V. (1969). Introduction to the theory of random processes. Philadelphia: WB Saunders. 2. Lamperti, J. (2012). Stochastic processes: a survey of the mathematical theory (Vol. 23). Springer Science & Business Media. 3. Resnick, S. I. (1992). Adventures in Stochastic Processes, Birkhauser, Boston. People interested to attend the lectures should send an e-mail to francesca.greselin(a)unimib.it for organizational purposes.

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A SPRING DAY IN PROBABILITY AND STATISTICAL PHYSICS
by Francesca Romana Nardi 30 Jan '18

30 Jan '18

Carissimi, stiamo cercando di organizzare in Italia, sulla falsariga del M. Kac Seminar in Olanda, una serie di incontri di probabilita` e delle sue applicazioni alla Fisica, Biologia e Scienze sociali, per stimolare lo scambio di idee e offrire ai piu` giovani l'opportunita` di venire a contatto con un ampio panorama di temi di ricerca. E` con grande gioia che vi comunico che il primo di questi eventi si terra` venerdì 26 Maggio 2017 a Firenze, in un'aula universitaria vicino alla stazione di S. Maria Novella. Sara` un'occasione per goderci una giornata scientifica insieme e per esplorare le possibilita` e le modalita` piu` opportune per ripetere questo tipo di incontri. Di seguito trovate i dettagli della giornata del 26 Maggio, che vedra` come oratori R. Fernandez (University of Utrecht, Olanda) e R. Morris (IMPA Instituto Nacional de Matemática Pura e Aplicada Rio de Janeiro, Brazil). A SPRING DAY IN PROBABILITY AND STATISTICAL PHYSICS University of Florence Friday 26 May 2017 Lecturers: R. Fernandez (Utrecht) and R. Morris (IMPA). Location: Aula Magna di Via S. Gallo 10, Firenze Prof. Roberto Fernandez Title: Signal description: process or Gibbs? Abstract: The distribution of signals such as spike trains is naturally modeled through stochastic processes where the probability of future states depend on the pattern of past spikes. Mathematically, this corresponds to distributions *conditioned on the past*. From a signal-theoretic point of view, however, one could wonder whether a more efficient description could be obtained through the simultaneous conditioning of past *and* future. Furthermore, such a formalism could be appropriate when discussing string without a particular "time" order, such as the distribution of DNA nucleotides, or even issues related to anticipation and prediction in neuroscience. On the mathematical level this double conditioning would correspond to a Gibbsian description analogous to the one adopted in statistical mechanics. In this talk I will introduce and contrast both approaches ---process and Gibbsian based--- reviewing existing results on scope and limitations of them. Prof. Robert Morris Title: Monotone cellular automata Abstract: Cellular automata are interacting particle systems whose update rules are local and homogeneous. Since their introduction by von Neumann almost 50 years ago, many particular such systems have been investigated, but no general theory has been developed for their study, and for many simple examples surprisingly little is known. Understanding their (typical) global behaviour is an important and challenging problem in statistical physics, probability theory and combinatorics. In this talk I will outline some recent progress in understanding the behaviour of a particular (large) family of monotone cellular automata -- those which can naturally be embedded in d-dimensional space -- with random initial conditions. For example, in the case where a site updates (from inactive to active) if at least r of its neighbours are already active, these models are known as bootstrap percolation, and have been extensively studied for various specific underlying graphs. Apart from their inherent mathematical interest, the study of these processes is motivated by their close connection to models in statistical physics, and I will discuss some applications to a family of models of the liquid-glass transition known as kinetically constrained spin models. Program: 11.00-11.45 Introductory lecture: R. Fernandez 11.45-12.00 Break 12.00-12.45 Seminar: R. Fernandez 13.00-14.30 Lunch 14.30-15.15 Introductory lecture: R. Morris 15.15-15.30 Break 15.30-16.15 Seminar: R. Morris Note pratiche: 1) E` importante prenotare il biglietto del treno il piu` presto possibile per poter usufruire di sconti!!!! 2) Stiamo prenotando un ristorante con un paio di menu fissi che possa ospitarci, ma ho bisogno del numero di persone che vogliono mangiare insieme. A coloro che fossero interessati chiedo di mandare un email a francescaromana.nardi(a)unifi.it Resta fermo il fatto che saremo in pieno centro di Firenze, quindi ci sono moltissime altre possibilita` per mangiare se preferite regolarvi indipendentemente. Organizers: F. Caravenna N. Cancrini E.N.M. Cirillo P. Dai Pra A. De Masi D. Fanelli F. Flandoli C. Giardina` R. Livi F. Martinelli I.G. Minelli F.R. Nardi E. Presutti B. Scoppola E. Scoppola Vi aspettiamo, Francesca R. Nardi Dipartimento di Matematica e Informatica Università degli Studi di Firenze Viale Morgagni 67, Firenze, Italy

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Assegno annuale SSD: MAT/05 e MAT/06
by Faggionato, Alessandra 30 Jan '18

30 Jan '18

E' stato pubblicato sul sito web del Dipartimento il seguente bando per assegno di ricerca https://www2.mat.uniroma1.it/sites/default/files/bando2018-1.pdf n.1/2018 per il conferimento di n. 1 assegno annuale categoria B tip. II SSD: MAT/05 e MAT/06 scadenza: 1° marzo 2018 Responsabile scientifico: Dott.ssa Nadia Ansini -- ************************************************* 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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Workshop “One day in Stochastic Analysis” [Verona - Dept. Comp. Science]
by Luca di persio 29 Jan '18

29 Jan '18

Dear all, this is to announce the workshop "One day in Stochastic Analysis", that will take place the next 5th of February, within the Verona Paris Stochastic Modeling Semester: vpsms2018.org Invited speakers and their contributions are: Sergio Albeverio ( Bonn University ) *S(P)DEs,asymptotics,singularities: emerging structures* Robert Dalang ( Ecole Polytechnique Fédérale de Lausanne ) *Hitting probabilities for systems of stochastic partial differential equations* Francesco Russo ( ENSTA ParisTech ) *Bsdes, Martingale problems, associated deterministic equations and applications* You can find more details here: vpsms2018.org/event/workshop-one-day-in-stochastic-analysis Do not hesitate to contact me if you need further info. LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Head of R&D info(a)hpa8.com | www.hpa8.com

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