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[STAR Seminars] Thursday October 1
by David Vencato 25 Sep '26

25 Sep '26

Dear All, Join us for two upcoming talks in the STAR seminar series <https://www.mn.uio.no/math/english/research/groups/risk-stochastics/star-se…> (Thursday, October 1), from 10:15 to 11:45 (Oslo time). As always, the talks will take place in a hybrid format: participants in Oslo can attend in Room 723 in Niels Henrik Abels hus, while the international audience will be able to follow the talks via Zoom<https://uio.zoom.us/j/64697683253>. Our first speaker, at 10:15, is Lucrezia Zorzi (Universita' degli studi di Verona), with the talk: Title: Trembling-Hand Perfection in Mean Field Games Abstract: Mean field games may admit multiple equilibria, which naturally raises the question of equilibrium selection. In this talk, we introduce a trembling-hand perfection refinement for stochastic mean field games formulated through relaxed controlled martingale problems. Perturbations are imposed at the level of population controls: they have full support and are required to remain admissible for the state laws they generate. Trembling-hand perfection is then defined by requiring both the perturbed population behavior and the corresponding optimal responses to converge to the same equilibrium. We prove existence under general continuity, growth, and coercivity assumptions, without requiring compact control spaces or bounded coefficients. Finally, a one-dimensional example shows that the refinement is genuinely selective. Joint work with Luciano Campi (University of Milan) and Luca Di Persio (University of Verona). Our second speaker, at 11:00, is Devika Khurana (University of Oslo) Title: First-passage times of stochastic dynamical systems to time-dependent thresholds Abstract: First-passage time (FPT) describes the time at which a stochastic process reaches a specified threshold for the first time. In many applications, however, the relevant threshold evolves over time, motivating the study of first-passage problems with time-dependent boundaries. In this talk, I will consider first-passage time problems for two classes of stochastic processes: stochastic differential equations (SDEs) and piecewise-diffusion Markov processes (PDifMPs), with a particular focus on exact simulation. For SDEs with a constant threshold, an exact simulation approach can be constructed using the known first-passage time distribution of Brownian motion as a proposal distribution. A candidate first-passage time is generated from the corresponding Brownian motion and accepted as the first-passage time of the target process according to an acceptance probability derived via Girsanov’s theorem. We extend this approach to SDEs with time-dependent thresholds and then use this extension to develop an exact simulation method for PDifMPs with time-dependent thresholds. The resulting framework enables direct simulation of first-passage times without requiring the simulation of entire sample paths over a prescribed time interval and without introducing time-discretisation error. We are looking forward to seeing you! Best regards, Giulia, Salvador, Leonardo and David

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SEMINAR: Tomas Masak @Luiss - 1 oct
by Matteo Iacopini 25 Sep '26

25 Sep '26

Dear all, On Thursday 1st October, at 12:00 in room A105, the Department of AI, Data and Decision Sciences of Luiss University of Rome will host a seminar by Tomas Masak (WU Wien) Title: "Testing Covariance Separability in High Dimensions” Abstract: Separability is an important structural assumption often placed on the covariance when working with matrix-variate data, because it greatly simplifies both interpretation and computation of subsequent covariance-based statistical tasks. Yet testing the separability assumption is difficult in the high-dimensional regime. We propose to test separability by recasting the problem as a sphericity test after whitening the data using the separable maximum likelihood estimate of the covariance. The test is calibrated by Monte Carlo simulation, yielding finite-sample level control. Furthermore, we prove the test's high-dimensional consistency under dense alternatives. To reduce its reliance on distributional assumptions, we introduce an angular version of the test based on radial normalization after whitening. We demonstrate the practical utility, empirical power, and computational efficiency of the proposed tests in a large simulation study and on a real-world acoustic data set. Anyone interested in attending is welcome; just email me for logistical purposes. Hoping to meet you there! Best, Matteo Iacopini La presente e-mail proviene da Luiss Guido Carli e s'intende inviata per scopi lavorativi. Tutte le informazioni ivi contenute, compresi eventuali allegati, sono da ritenersi esclusivamente confidenziali e riservati secondo i termini del vigente D.Lgs. 196/2003 in materia di privacy e del Regolamento europeo 679/2016 - GDPR. È vietato qualsiasi ulteriore utilizzo non autorizzato. Qualora la stessa Le fosse pervenuta per errore, La preghiamo di eliminarla immediatamente e di darcene tempestiva comunicazione. Grazie. This e-mail message is sent by Luiss Guido Carli for business purposes. All informations contained therein, including any attachments, are for the sole use of the intended recipient and may contain confidential and privileged information pursuant to Legislative Decree 196/2003 and the European General Data Protection Regulation 679/2016 - GDPR -. Any unauthorized review, use, disclosure or distribution is prohibited. If you are not the intended recipient, please contact the sender by soon reply this e-mail and destroy all copies of the original message. Thanks

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QFinLab Seminar - Asmerilda Hitaj (Università dell'Insubria) - 30/9/2026, 12:15 @ Department of Mathematics, Politecnico di Milano
by Alessandro Calvia 24 Sep '26

24 Sep '26

Dear colleagues, you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano. Wednesday, 30 September 2026, 12.15-13.15 Seminar room, third floor, building 14, Via Bonardi 9, Milano<https://www.google.com/maps/search/Via+Bonardi+9,+Milano?entry=gmail&source…> (Leonardo Campus); online (Microsoft Teams), Link<https://teams.microsoft.com/meet/332062461584077?p=SVGvCszyzeUQuEsnMp> <https://teams.microsoft.com/l/meetup-join/19%3ameeting_NjU3ODM1MzMtZWMwOS00…> Asmerilda Hitaj (Università dell’Insubria) Title: Robust bi-objective mean-CVaR portfolio selection: Applications to energy sector. Abstract: A new approach to optimizing or hedging a portfolio of financial positions is presented and tested with applications to energy market. Motivated by uncertainty in the estimation of problem data we consider robust bi-objective optimization problems with mean and conditional value-at-risk objective functions where the underlying probability distribution of portfolio return is only known to belong to a certain set. To tackle the problem of uncertainty we consider two different approaches: in the first one, uncertainty is represented by an elliptic set centered at the sample estimators of mean and covariance matrix; in the second one, uncertainty takes into account experts beliefs. For both approaches, we derive analytical semi-closed-form solutions for the worst-case mean-CVaR portfolio; in addition, we provide a characterization of the location of the robust Pareto frontier with respect to the corresponding original Pareto frontier. All news can be found on the QFinLab webpage<https://www.qfinlab.polimi.it/>. The organizers: Michele Azzone and Alessandro Calvia.

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Internship opportunity UHA
by Carlo Orrieri 24 Sep '26

24 Sep '26

Ricevo e inoltro questa opportunità di internship per studenti master a Univ de Haute-Alsace. ——————————————————————————————————————————————— Dear colleagues, I would like to share a 3-month full-time research internship opportunity, from April to June 2027, within the Department of Mathematics at IRIMAS, Université de Haute-Alsace (UHA), in Mulhouse, France. Topic: Selected topics in rough analysis and probability The internship will focus on a theoretical problem in rough analysis and probability. Depending on the student’s background and interests, the project may involve stochastic calculus, stochastic partial differential equations, convergence of empirical measures towards equilibrium, or analytical questions related to irregular paths. The precise topic will be defined together with the selected candidate, taking into account their background, previous training, and research interests. Candidate profile: Master’s student in Mathematics, preferably at M2 level or equivalent; solid background in probability and analysis; strong interest in stochastic analysis; strong motivation for research. Practical information: duration: 3 months; period: April–June 2027; workload: full-time; location: Department of Mathematics, IRIMAS, Université de Haute-Alsace, Mulhouse, France; stipend: according to the French statutory internship rate applicable at the time of the internship (approximately €680 per month at the current rate, subject to revision in 2027); possible contribution to transportation costs according to applicable regulations. The internship is particularly well suited to a Master’s student wishing to carry out a research internship as part of the preparation and writing of a Master’s thesis. It may also serve as a first step towards developing a PhD project and a potential doctoral application, subject to funding availability and the relevant selection procedures. Interested candidates are invited to send, by 16 December 2026, a CV and a cover letter briefly describing their academic background, research interests, and motivation to: Carlo Bellingeri Associate Professor / Maître de Conférences Department of Mathematics – IRIMAS Université de Haute-Alsace carlo.bellingeri(a)uha.fr <mailto:carlo.bellingeri@uha.fr> Applications from international students are welcome. Please feel free to circulate this opportunity to students who may be interested. Best regards, Carlo Bellingeri

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Procedura selettiva 2026RTT05 All.9 - STAT-02/A - Università di Padova
by Alessandra Fabbri Colabich 23 Sep '26

23 Sep '26

Si comunica l’apertura di una procedura selettiva per l’assunzione di *un Ricercatore a tempo determinato in tenure track (RTT)* presso il *Dipartimento di Scienze Statistiche dell’Università di Padova*, nel settore scientifico-disciplinare *STAT-02/A – Statistica economica*. Il termine per la presentazione delle domande è fissato al *22 ottobre 2026, alle ore 13:00*. Il bando e le informazioni relative alla procedura sono disponibili al seguente link: https://www.unipd.it/procedura-2026RTT05 Cordiali saluti Alessandra Fabbri Colabich -- *Alessandra Fabbri Colabich* Dipartimento di Scienze Statistiche Università degli Studi di Padova Complesso di Santa Caterina - Via Cesare Battisti 241 - 35121 Padova unipd.it ---------------------------------------------------------- *RISPETTA L'AMBIENTE. STAMPA SOLO SE NECESSARIO*

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Postdoctoral position in model-based anomaly detection in networks - University of Torino, ESOMAS Department
by Pierpaolo De Blasi 22 Sep '26

22 Sep '26

Dear colleagues, We would like to draw your attention to a one-year postdoctoral research position (incarico di ricerca) available at the ESOMAS Department of the University of Torino. The research project focuses on model-based anomaly detection in networks. Full information and application instructions are available a here: https://lavorainateneo.unito.it/details_ir.html?id=055b599d-b1b3-4bbf-90f2-… *Deadline for applications*: 13 October 2026, at 13:00 CEST Scholars who have obtained a Master’s degree, a single-cycle degree, or an equivalent qualification awarded abroad no more than six years before the application deadline are eligible to participate in the selection process. The selected candidate will work on developing statistically principled approaches to anomaly detection based on probabilistic models for network structure, such as Stochastic Block Models (SBMs). We are looking for candidates with experience in: * statistical inference and machine learning, with particular emphasis on clustering and classification algorithms; * network analysis. I would be grateful if you could circulate this announcement among potentially interested candidates. Best regards, Pierpaolo De Blasi -- Pierpaolo De Blasi Professor of Statistics ESOMAS, University of Torino Fellow, Collegio Carlo Alberto carloalberto.org/pdeblasi <https://sites.google.com/a/carloalberto.org/pdeblasi/>

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Secondo ciclo di seminari online sulle applicazioni della probabilità in economia: Sara Biagini
by Enrico Scalas 21 Sep '26

21 Sep '26

Buongiorno, ecco l'annuncio e il link per il terzo e ultimo seminario della serie per quest'anno. Speaker: Sara Biagini, Department of AI, Data and Decision Sciences, LUISS Date: 25 September 2026, 2:00 PM Title: An introduction to carbon markets regulation: carbon neutrality and Net-Zero Abstract: After introducing carbon markets, we analyze the impact of carbon dioxide regulation on a system of polluting, heterogeneous companies. We consider two compliance frameworks: one based on an emission trading system (ETS) mechanism and the other relying only on abatement efforts. The shocks in the economy are spanned by a multivariate Brownian motion, and the companies’ emissions are modeled as general diffusions. Firms must match their projected emission imbalance with their reduction effort at the compliance date in both frameworks. Under the ETS program, to do so firms can both abate and trade carbon permits in the ETS permits exchange. Existence and uniqueness of the optimal abatement and trade, together with the equilibrium carbon price, are proven under mild necessary and sufficient conditions. The optimizers and the carbon price are explicit, and their analytic expressions provide an instance of classic economic principles. Numerical examples illustrate the flexibility of the model in the study of the effect of significant allocation policies. Under the net-zero framework, firms can only rely on abatement, which is also provided in closed-form. link: https://polimi-it.zoom.us/j/92441911901 backup link: https://teams.microsoft.com/meet/320979871582913?p=m9GlxMBKHZBCdbzitS Cordiali saluti, Giulio Bottazzi, Alessandro Calvia, Marco Capaldo, Enrico Scalas

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Next Webinar PRISMA - Oct 6, 2026 - Speakers: M. Stecconi & A. P. Todino
by Maurizia Rossi 21 Sep '26

21 Sep '26

Webinar of the team UMI - PRISMA (http://www.umi-prisma.polito.it/) PRISMA webinars follow a colloquium-style format designed to foster exchange and discussion within the Italian probability and statistics community. Each session features two speakers, who give two closely connected 30-minute talks providing the community with a perspective on their research area. Over the past few years, recordings of the seminars have been made available on the UMI YouTube channel: https://youtube.com/playlist?list=PLmySpc-jrtAMq84VH71evyqPc1hl6eEQb The next event is scheduled for *Tuesday, Oct 6, 2026*. The speakers will be *Michele Stecconi* (Université du Luxembourg) and *Anna Paola Todino* (Università del Piemonte Orientale), who will speak on: *Statistics on Yau's conjecture: variance asymptotics and Wiener-Itô chaos decomposition for Gaussian nodal volumes* according to the following schedule *16:00 Stecconi* (Statistics on Yau’s conjecture: variance asymptotics) 16:30 Break and discussions *16:45 Todino* (The Wiener-Itô chaos decomposition for Gaussian nodal volumes) 17:15 Conclusions and discussions The *abstract* can be found below. The seminars will be streamed on *Webex* at the following link: https://unimib.webex.com/unimib-it/j.php?MTID=mad4e0bc0268687d5172a5217fffb… Numero Riunione: 2744 110 0273 Password Riunione: Abu39JQkaQ4 We look forward to seeing many of you there! Luciano Campi, Maurizia Rossi *Abstract (Stecconi). *Yau's conjecture predicts that the nodal set (the set of zeroes) of a Laplace eigenfunction on an n-dimensional compact Riemannian manifold has volume proportional to the frequency. Berry's conjecture suggests a statistical viewpoint: at high frequency, eigenfunctions should look locally like monochromatic random waves. We give Yau's conjecture a probabilistic formulation and study how much the nodal volume of a random wave fluctuates around the predicted value, depending on the spectral window. For wide windows, of size proportional to the frequency, the variance has exactly the order 1/N, where N is the number of eigenfunctions in the window, on every manifold. For the monochromatic window, on manifolds without conjugate points (negatively curved ones, for instance), we obtain an upper bound smaller than the square of the best one previously known. This improvement reveals that Berry's cancellation holds on such manifolds: the nodal volume of monochromatic waves fluctuates strictly less than it does for wider ones, and strictly less than the volume of any non-zero level set. The proofs rely fundamentally on a new Wiener chaos decomposition of nodal volumes, discussed in the subsequent talk. *Abstract (Todino). *Analyzing the fluctuations of Gaussian zero sets often requires decomposing the nodal volume into orthogonal components known as Wiener-Itô chaos. Historically, this approach has suffered from severe computational complexity, especially in high dimensions, restricting its applicability to highly symmetric spaces. In this talk, we introduce a new, remarkably simpler formula for the chaos expansion of smooth Gaussian fields on arbitrary Riemannian manifolds. We will show how this new perspective drastically reduces the complexity of variance computations, moving from products of many Hermite polynomials to just four, and removes isotropy requirements. -- Maurizia Rossi Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca https://mauriziarossi.wordpress.com

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Course by Arturo Kohatsu-Higa on Malliavin calculus
by Stefano Pagliarani 21 Sep '26

21 Sep '26

Dear all, We are pleased to announce the PhD course “TOPICS IN STOCHASTIC ANALYSIS: MALLIAVIN CALCULUS” taught by Prof. Arturo Kohatsu-Higa (Ritsumeikan University). The course comprises 5 lectures and will take place at the Department of Mathematics of the University of Bologna, from October 12 to 21. Further information about the program, including the detailed schedule and classroom locations, is available at: https://seminari.dm.unibo.it/mat/cycles/110 The course can also be attended online via Zoom: https://unibo.zoom.us/launch/jc/93525012650 For further information, do not hesitate to contact me. Best regards, Stefano Pagliarani ------------------------------------------------------------------------------------------------------------------------ Stefano Pagliarani, Full Professor Piazza di Porta S. Donato, 5 University of Bologna (Alma Mater) 40126 Bologna (BO), Italy Department of Mathematics Cell. Phone +39 366 5013755 Email: stepagliara1(a)gmail.com<mailto:stepagliara1@gmail.com>, <mailto:stefano.pagliarani9@unibo.it> stefano.pagliarani9(a)unibo.it<mailto:stefano.pagliarani9@unibo.it> Zoom: https://unibo.zoom.us/j/3755841669 -----------------------------------------------------------------------------------------------------------------------

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Seminar: Bruno Dupire at Luiss – September 24
by Alessandro Bondi 19 Sep '26

19 Sep '26

Dear All, On Thursday, September 24, at 12:00 p.m., Bruno Dupire (Head of Quantitative Research at Bloomberg L.P. and instructor at NYU Courant) will give the following talk at the Department of AI, Data and Decision Sciences at Luiss University in Rome: Title: 10 Things You Should Know as a Quant Abstract: This talk offers a journey across a variety of principles in quantitative finance, such as risk neutral pricing, completeness, hedging… and shows how 4 new ideas (including the Local Volatility model and the Functional Ito Calculus) came from business needs. As seating is limited, anyone interested in attending is kindly asked to fill out the following participation form: https://docs.google.com/forms/d/1jl2gl4kPUHlvK842wyBrWJyILkIWT_QNN0cI9EojZ4… Best wishes, Alessandro Bondi. La presente e-mail proviene da Luiss Guido Carli e s'intende inviata per scopi lavorativi. Tutte le informazioni ivi contenute, compresi eventuali allegati, sono da ritenersi esclusivamente confidenziali e riservati secondo i termini del vigente D.Lgs. 196/2003 in materia di privacy e del Regolamento europeo 679/2016 - GDPR. È vietato qualsiasi ulteriore utilizzo non autorizzato. Qualora la stessa Le fosse pervenuta per errore, La preghiamo di eliminarla immediatamente e di darcene tempestiva comunicazione. Grazie. This e-mail message is sent by Luiss Guido Carli for business purposes. All informations contained therein, including any attachments, are for the sole use of the intended recipient and may contain confidential and privileged information pursuant to Legislative Decree 196/2003 and the European General Data Protection Regulation 679/2016 - GDPR -. Any unauthorized review, use, disclosure or distribution is prohibited. If you are not the intended recipient, please contact the sender by soon reply this e-mail and destroy all copies of the original message. Thanks

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