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PhD studentship on Pólya urns @ Bath (UK)
by Alessandra Cipriani 11 Dec '17

11 Dec '17

Ricevo ed inoltro. Alessandra Cipriani ---------------------------------------- Dear all, we offer a PhD studentship to be held at the University of Bath, in the prestigious Probability group Prob-L@B, under the supervision of Dr Cécile Mailler on reinforced stochastic processes, and in particular Pólya urns. The deadline for applications is January 28th, the starting date is October 1st; more information is available at https://www.findaphd.com/search/ProjectDetails.aspx?PJID=92845, and informal enquiries are encouraged and should be directed at c.mailler(a)bath.ac.uk. Best wishes, Cécile Mailler

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Seminario M. Maurelli a Pisa, 18 dicembre
by Marco Romito 11 Dec '17

11 Dec '17

Dear all, I would like to announce the following talk in the probability seminar at the University of Pisa. DATE AND TIME: Monday, December 18, 15:00h - 16:00h LOCATION: Aula Seminari, Dipartimento di Matematica, Universita' di Pisa SPEAKER: Mario Maurelli (Weierstrass Institute for Applied Analysis and Stochastics, Berlin, & Technische Universität Berlin) TITLE: A McKean-Vlasov SDE with reflecting boundaries ABSTRACT: McKean-Vlasov SDEs are SDEs where the coefficients depend on the law of the solution to the SDE. Their interest is in the links with nonlinear PDEs on one side (the SDE-related Fokker-Planck equation is nonlinear) and with interacting particles on the other side (the McKean-Vlasov SDE can be approximated by a system of weakly coupled SDEs). In this talk, motivated by a model of lithium-ion batteries, we introduce a McKean-Vlasov SDE constrained on a bounded domain. The novelty lies in the particular interplay between the mean field interaction and the boundary conditions. We study well-posedness and particle approximation. Our analysis combines techniques for SDEs with Neumann boundary terms (Skorokhod equation, Lions-Sznitman) and ideas from a recent approach to McKean-Vlasov SDEs (Cass-Lyons). Everyone is invited to participate.

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Fwd: Saint-Flour 2018, July 8-20
by Marco Romito 10 Dec '17

10 Dec '17

FIRST ANNOUNCEMENT Dear colleagues The 48th Saint-Flour Probability Summer School will be held on July 8-20, 2018. This year, the three courses will be: *Hugo Duminil-Copin* (IHES Paris-Saclay):/Graphical representations of the Ising model/. *Asaf Nachmias* (Tel Aviv University):/Planar maps, random walks and the circle packingtheorem/. *Balint Tóth* (University of Bristol):/Scaling limits for random walks and diffusion with long memory/. Further information can be found on the conference website: recherche.math.univ-bpclermont.fr/stflour/stflour-en.php Online registration will open in February. You will receive another announcement at that time. Please give the information to anyone else who might be interested. Best regards, The organizing committee Christophe Bahadoran, Hacène Djellout, Arnaud Guillin, Laurent Serlet ------------------------------------------------- Laboratoire de Mathématiques Blaise Pascal, CNRS UMR 6620 Université Clermont-Auvergne, Campus des Cézeaux 3, place Vasarely TSA 60026 CS 60026 63178 Aubière cedex, France Tel: +33 (0)4 73 40 70 50 Fax: +33 (0)4 73 40 54 50 mailto:stflour@math.univ-bpclermont.fr

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de Finetti Risk Seminar - December 2017
by emanuela rosazza gianin 10 Dec '17

10 Dec '17

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Learning Consumer Tastes from Dynamic Assortments: A Nonparametric Bayesian Model Canan Ulu Georgetown University Abstract. We study dynamic assortment decisions of a firm learning about consumer tastes by observing sales of the products offered. Each period, the firm offers an assortment to maximize expected total profits over a finite horizon given its subjective beliefs on consumer tastes. The consumers choose a product that maximizes their own utility and the firm updates its beliefs on consumer tastes after having observed the sales of each product in the assortment. We model consumer tastes as locations on a Hotelling line and develop a nonparametric Bayesian learning model using Polya tree priors that makes no assumptions on the form of the consumer taste distribution. Our nonparametric learning model results in optimal profits that are robust to misspecification in the consumer taste distribution. We develop upper bounds on the firm’s total profit based on information relaxations and study the performance of various heuristic policies with respect to these upper bounds. LOCATION: The seminar will be held on Wednesday, December 13, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen <https://maps.google.com/?q=Via+Rontgen+1&entry=gmail&source=g> 1, 3rd floor, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) ************************************************** 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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Study group with industry
by Enrico Scalas 08 Dec '17

08 Dec '17

Dear Colleagues, If you are in the London area, you might be interested in this Energy Systems Study Group with Industry with a probabilistic twist: http://www.sussex.ac.uk/maths/research/essgi Best wishes, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK

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Avviso di mini-corso :: Bakka@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 07 Dec '17

07 Dec '17

----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Dipartimento di Scienze Statistiche Sapienza Università di Roma ----------------------------------------------------------------------------- Mercoledì, 13 Dicembre, ore 08:30-12:30 (Aula VI, 4 piano) Giovedì, 14 Dicembre, ore 15:00-19:00 Venerdì, 15 Dicembre, ore 15:00-19:00 ----------------------------------------------------------------------------- Il corso è gratuito, prevalentemente rivolto agli studenti del curriculum internazionale della Laurea Magistrale in Statistics and Decision Sciences, ma aperto anche alla partecipazione di esterni. Dato il numero limitato di posti disponibili in aula, tutti gli interessati sono invitati a **prenotarsi** compilando il seguente form entro domenica 10 Dicembre: url: https://goo.gl/vfM9FM Entro lunedì 11 Dicembre verrà inviata conferma dell'effettiva disponibilità del posto all’indirizzo email fornito. Ovviamente “first come, first served”, con possibile piccolo bias in favore di studenti e dottorandi. Buon ponte lungo... Pierpaolo Brutti ----------------------------------------------------------------------------- W H O / Haakon Bakka (https://www.ntnu.edu/employees/haakon.bakka) T I T L E / Introduction to R-INLA for Bayesian Spatial Modelling A B S T R A C T / The course starts with a general overview of the possibilities in INLA, for applied research and for model development. We will proceed to examples of generalised linear models with several random effects. We discuss the cool ideas making INLA fast; why most likelihoods are near-Gaussian in the posterior, how to represent random effects with sparse matrices, and more. The last part of the course is looking at spatial random effects and how they fit into the INLA framework; using the brilliant SPDE approach. In the SPDE approach we approximate the spatial random effect itself, representing it in the entire study area, without needing to know the observation locations. Inference in INLA is so fast that we can run all examples live in class! I am looking forwards to giving the course, and I hope to see you there. S Y L L A B U S / Introduction - What is INLA? Why are so many using it? Why the high impact? - Why you should be very excited to be in this course! - The two core ideas: GMRF, Laplace - Bayesian fitting and prediction Time series and several nonlinear effects - Data: Unemployment - INLA inputs and outputs - GMRF structure with spare precision matrix - Run time O(N) - Simulation-inference Exploring hyper-space - Conditionally Gaussian - Gradient descent - Good computational parametrisations - Logfile & Inference diagnostics - Representing the posterior NOT as samples but as... Non-Gaussian likelihoods - Data: Seeds - Laplace approximation / Nested Laplace - Simulation-inference What models exist in INLA - What likelihoods and links? - What happens when we change the link function? - Multiple likelihoods - Rgeneric: Every model is possible! Priors and interpretable parameters - Interpretable parametrisation vs computational parametrisation - Uninformative priors, conjugate priors - Good priors! - Hierarchical models and “analysis of component variance” Disease-mapping with Besag - Spatial model - Revisiting all the topics so far Continuous spatial models - Data: Fish larvae - How to get O(N^1.5) instead of O(N^3) - De-connecting observation locations and the underlying model - The famous SPDE-approach - Finite Element method and mesh - Simulation-inference -----------------------------------------------------------------------------

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[RTD-B] Posizione in Statistica - Scadenza 29/12/2017
by stefano iacus 06 Dec '17

06 Dec '17

Il Dipartimento di Economia, Management e Metodi Quantitativi ha bandito la seguente posizione RTD-B di Statistica. [N. 1 posto s.c. 13/D1, ssd SECS -S/01 (Codice 3733). Bando D.R. 4169/2017 del 7.11.2017 (G.U. n. 91 del 28.11.2017; settore concorsuale 13/D1 - Statistica, ssd SECS-S/01 - Statistica] SCADENZA: 29 dicembre 2017, ore 12:00 (ora italiana) Cosa si aspetta il dipartimento? (*) Il ricercatore vincitore della procedura di valutazione verrà inserito nei progetti di ricerca di Statistica Computazionale e Data Science del Dipartimento. Contribuirà con le sue ricerche al DataScienceLab (http://datasciencelab.unimi.it) e parteciperà anche alla didattica del nuovo Master in Data Science for Economics, Business and Finanza e alla futura Laurea Magistrale in Data Science and Economics. Chi cerchiamo? (*) I migliori candidati, con solide basi metodologiche ma che si muovono nell'alveo della Data Science e che possano spingere il Dipartimento ancora più avanti nella ricerca in questo campo. Per maggiori informazioni e per inviare la domanda di partecipazione: http://www.unimi.it/ateneo/valcomp/94001.htm <http://www.unimi.it/ateneo/valcomp/94001.htm> Contatti ulteriori: datasciencelab(a)unimi.it <mailto:datasciencelab@unimi.it>, stefano.iacus(a)unimi.it <mailto:stefano.iacus@unimi.it> Con preghiera di massima diffusione Stefano M. Iacus (*) Fatti salvi i requisiti concorsuali e gli obblighi di legge in merito a reclutamento, ecc ----------------------------------- Prof. Stefano M. Iacus, Ph.D. Director of MEF - Master in Finance & Economics http://www.mef.unimi.it CEO/CTO/Co-Founder VOICES from the Blogs http://www.voices-int.com Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en http://orcid.org/0000-0002-4884-0047 Master in Finance & Economics http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further information at: mef(a)unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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RTD-A MAT/05 e MAT 06 al GSSI
by Francesco Caravenna 06 Dec '17

06 Dec '17

Ricevo e inoltro. > Da: Pierangelo Marcati <pierangelo.marcati(a)gssi.infn.it> > Oggetto: RTD-A MAT/05 e MAT 06 al GSSI > Data: 5 dicembre 2017 19:38:04 CET > > 2 posti RTD-A in Analisi Mat. (MAT05) and Probabilità(MAT06) al GSSI > si prega dare massima diffusione > > http://www.gssi.it/albo-ufficiale-online-gssi <http://www.gssi.it/albo-ufficiale-online-gssi> > > > ----------------------------- > * Pierangelo Marcati * > ----------------------------- > Scientific Director > Mathematics Division > GranSasso Science Institute, > INFN - L'Aquila - Italy > http://www.gssi.it <http://www.gssi.it/> > +39(086)242-80262 > > Professor at DISIM (on leave) > Dept. of Information Engineering, Computer Science and Mathematics > University of L'Aquila - Italy > Skype name: p.marcati > http://univaq.it/~marcati <http://univaq.it/~marcati> > +39(086)243-3143

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EFI3, February 15-16, 2018, Pescara (Italy): deadline extension
by Tiziano Vargiolu 06 Dec '17

06 Dec '17

Dear all, due to several requests, we are extending the deadline for submissions to December, 18. Those who are eligible and interested in the ACRI Young Investigator Training Program (see below) are kindly requested to REGISTER as soon as possible, and express qualification and interest by answering YES to the related question, to the link: https://docs.google.com/forms/d/e/1FAIpQLSeDMDCIUiS765NkPuK2I5CxaaECO4xOTb1… We are glad to invite you to contribute and take part in the third edition of the workshop Energy Finance Italia, this time held in Pescara (Italy) on February 15-16, 2018 http://energyfinanceitalia.dtdns.net/index.php/efi3 A selection of papers contributed to the workshop will be published on the Journal of Energy Markets. Call for papers: acceptance of submissions has started. The deadline for extended abstract submission is December 18, 2017. The format of the abstract is maximum two pages, in pdf, in which the name of the presenting Author and the title of the presentation have to be specified. The abstract should be sent to the address energyfinanceitalia(a)gmail.com Fees: 100 euros per person. They include session break refreshments, lunches and the social dinner. Instructions about how to pay will be given soon. EFI3 Young Investigator Training Program ---------------------------------------- The network of Italian universities behind EFI3 will participate in a competitive call of the Associazione di Fondazioni e di Casse di Risparmio (ACRI) named 'YOUNG INVESTIGATOR TRANING PROGRAM'. If financed, this program will allow our network to issue some grants to young researchers (younger than 40 years of age) working outside Italy (Italian or not) to facilitate them 1) to participate to the EFI3 workshop, and 2) to spend one month in one of the universities of the network. These grants will be awarded on a competitive basis, and will be of 3000 Euro for European residents and 4000 Euro for non-European residents. ACRI is expected to announce the results of its financing competition by the end of December 2017. News about this initiative will appear on the website http://energyfinanceitalia.dtdns.net/index.php/efi3 We all hope to see you all in Pescara! Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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seminari Jara e Gubinelli
by FRANCO FLANDOLI 05 Dec '17

05 Dec '17

Giovedì 7 dicembre, nell'aula Cantimori della Scuola Normale Superiore (Palazzo D'Ancona), si terranno i seguenti seminari: 14:00 Milton Jara (IMPA) Title: Entropy methods in interacting particle systems. 15:00 Massimiliano Gubinelli (Bonn) Title: Weak universality of singular SPDEs. Seguono gli abstract. Tutti gli interessati sono invitati a partecipare. Abstract M. Jara: We develop a variational formula to estimate the moment generating function of additive functionals of Markov processes. Combined with a related variational formula for the evolution of the relative entropy of the law of the process with respect to suitable reference measures, this variational formula serves as a substitute for the martingale method pioneered by Kipnis-Varadhan in the case of out-of-equilibrium interacting particle systems. Abstract M. Gubinelli: I will discuss the problem of controlling the large scale limit of weakly non-linear SPDEs in the regime where the non-linearity survives at the macroscopic scale giving rise to singular non-linear SPDEs.

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