Venerdì 4 Luglio, presso il Dipartimento di Matematica e
Applicazioni dell'Università di Milano-Bicocca, via Cozzi,
55, Edificio U5, stanza 3014 (terzo piano),
il Dott. G. Zanco dell'Università di Pisa,
terrà un seminario dal titolo
"Path-dependent Stochastic Differential Equations and
Kolmogorov's PDEs"
Abstract: I will show some recent results obtained in
joint works with F. Flandoli and F. Russo about
path-dependent stochastic differential equations, their
formulation in infinite-…
[View More]dimensional spaces and the link
with existence and uniqueness results for path-dependent
PDEs. I will also show the connection between the
framework developed in such papers and the functional
calculus introduced by B. Dupire and R. Cont and D-A.
Fournié.
Tutti gli interessati son invitati a partecipare.
Cordiali saluti,
Federica Masiero
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Cari colleghi,
vi inoltro la segnalazione della Prof.ssa Di Sero riguardo un assegno di
ricerca in Statistica, presso il Centro di statistica per le scienze
biomediche (CUSSB) dell'Università Vita-Salute San Raffaele.
Cordiali saluti,
Paola Rancoita
-------------------------------------------------
Carissimi Colleghe e Colleghi,
desidero segnalare a breve l'emissione di un bando per un assegno di
ricerca su tematiche di metodologia statistica e computazionale per dati
ad alta …
[View More]dimensionalità (clinici e genomici) in contesti di aging e
neuroscienze.
In attesa dell'emissione del Bando Ufficiale che segnalerò in seguito su
questa lista, tutti gli interessati possono inviare il loro curriculum
già da ora alla mia attenzione (diserio.clelia(a)unisr.it).
L'assegno è annuale con rinnovo previsto fino a 3 anni. E' indirizzato a
giovani in possesso di dottorato di ricerca preferenzialmente in scienze
statistiche (o biostatistiche), informatiche e matematiche e prevede
l'inserimento in progetti di ricerca internazionali già attivi.
Restando a disposizione per qualunque dettaglio, vi invio un caro saluto
Clelia
Clelia Di Serio, PhD
Associate Professor in Medical Statistics and Epidemiology
Director of CUSSB (University Centre for Statistics in the Biomedical
Sciences)
Vita-Salute San Raffaele University
20132 Milan, Italy
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STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO
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Venerdi' 4 Luglio 2014 alle ore 12:00,
presso la sala rossa del Collegio Carlo Alberto,
Moncalieri (TO), si terra' il seguente seminario:
Michael J. DANIELS (University of Texas at Austin)
A FLEXIBLE BAYESIAN APPROACH TO MONOTONE
MISSING DATA IN LONGITUDINAL STUDIES WITH
INFORMATIVE MISSINGNESS WITH APPLICATION
…
[View More]TO AN ACUTE SCHIZOPHRENIA CLINICAL TRIAL
Abstract:
We develop a Bayesian nonparametric model for a longitudinal response in the presence of nonignorable missing data. Our general approach is to first specify a {\em working model} that flexibly models the missingness and full outcome processes jointly. We specify a Dirichlet process mixture of missing at random (MAR) models as a prior on the joint distribution of the working model. This aspect of the model governs the fit of the observed data by modeling the observed data distribution as the marginalization over the missing data in the working model. We then separately specify the conditional distribution of the missing data given the observed data and dropout. This approach allows us to identify the distribution of the missing data using identifying restrictions as a starting point. We propose a framework for introducing sensitivity parameters, allowing us to vary the untestable assumptions about the missing data mechanism smoothly. Informative priors on the space of missing data assumptions can be specified to combine inferences under many different assumptions into a final inference and accurately characterize uncertainty. These methods are motivated by, and applied to, data from a clinical trial assessing the efficacy of a new treatment for acute Schizophrenia.
Joint work with Antonio Linero at the University of Florida
Tutti gli interessati sono invitati a partecipare.
Il seminario e' organizzato dalla "de Castro" Statistics Initiative
(http://www.carloalberto.org/stats) in collaborazione con il
Collegio Carlo Alberto.
Cordiali saluti,
Matteo Ruggiero
---
Matteo Ruggiero
University of Torino & Collegio Carlo Alberto
http://web.econ.unito.it/ruggiero
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Annuncio di Seminario
Luciano Campi, London School of Economics, London
Giovedi' 3 Luglio, presso il Dipartimento di Informatica, Università di
Verona
Strada le Grazie, 15 - Sala Verde
ore 15:00 (14:45 rinfresco, 15:00 inizio seminario)
Title: Utility indifference valuation for non-smooth payoffs with an
application to power derivatives
Abstract: We consider the problem of exponential utility indifference
valuation under the simplified framework where traded and nontraded assets
are …
[View More]uncorrelated but where the claim to be priced possibly depends on both.
Traded asset prices follow a multivariate Black and Scholes model, while
nontraded asset prices evolve as generalized Ornstein-Uhlenbeck processes.
We provide a BSDE characterization of the utility indifference price (UIP)
for a large class of non-smooth, possibly unbounded, payoffs depending
simultaneously on both classes of assets. Focusing then on European claims
and using the Gaussian structure of the model allows us to employ some BSDE
techniques (in particular, a Malliavin-type representation theorem due to
Ma (2002)) to prove the regularity of Z and to characterize the UIP for
possibly discontinuous European payoffs as a viscosity solution of a
suitable PDE with continuous space derivatives. The optimal hedging
strategy is also identified essentially as the delta hedging strategy
corresponding to the UIP. Since there are no closed-form formulas in
general, we also obtain asymptotic expansions for prices and hedging
strategies when the risk aversion parameter is small. Finally, our results
are applied to pricing and hedging power derivatives in various structural
models for energy markets.
Contact Person: Luca Di Persio
__
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
Dept. Math University of Trento
V. Sommarive, 14 - 38123 Povo - Italy
Tel : +39 0461 281686
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Dear all
We would like to inform you about two post doc positions (assegni di ricerca).
1)
The first one is a 2-year position (not renewable) at Luiss
University, Roma, Department of Economics and Finance.
Deadline: July 31
Starting time: January 2015
Supervisor: Fausto Gozzi
Title: Mathematical Models for the management of renewable resources
(Modelli matematici per lo studio di sistemi eterogenei e per la
gestione di risorse rinnovabili)
site (english)
http://ricerca.economiaefinanza.…
[View More]luiss.it/en/news/2014/06/12/competition-by-…
site (italian)
http://ricerca.economiaefinanza.luiss.it/news/2014/06/11/bando-per-la-valut…
Applications are welcome. Potentially interested people may contact
fgozzi(a)luiss.it for further informations
2)
The second one is a 1-year position (not renewable) at University of
Pisa, Department of Mathematics.
The announcement is not yet ready but will appear soon; the starting
time of the grant is expected in December 2014 or January 2015.
Supervisor: Franco Flandoli
Keywords: stochastic differential equations and stochastic PDEs,
optimal control of deterministic and stochastic infinite dimensional systems,
stochastic models in fluid dynamics.
Applications are welcome. Since the formal announcement is not yet
ready, potentially interested people may contact flandoli(a)dma.unipi.it
__________________________________________________________________
kind regards
Franco Flandoli, Fausto Gozzi
---
Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus.
http://www.avast.com
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Annuncio di seminario:
Mercoledì 2 Luglio alle ore 12.00 in Aula 2BC30
del Dipartimento di Matematica dell'Università di Padova
il Prof. Nikolai Leonenko dell'Università di Cardiff
terrà il seminario
Titolo: Fractional Pearson diffusions.
Abstract: Pearson diffusions have stationary distributions of Pearson type.
They includes Ornstein-Uhlenbeck, Cox-Ingersoll-Ross, and several others
wellkown processes. Their stationary distributions solve the Pearson
equation,
developed by Pearson in 1914 …
[View More]to unify some important classes of
distributions
(e.g., normal, gamma, beta). Their eigenfunction expansions involve the
traditional
classes of orthogonal polynomials (e.g., Hermite, Laguerre, Jacobi). We
develop
fractional Pearson di¢ sions ([1],[2]), constructing by a non-Markovian
inverse
stable time change. Their transition densities are shown to solve a
time-fractional
analogue to the diffusion equation with polynomial coefficients. Because
this process
is not Markovian, the stochastic solution provides additional
information about
the movement of particles that di§use under this model. This is joint work
with M.M. Meerschaert and A. Sikorskii (Michigan State Univeraity, USA).
Anomalous diffusions have proven useful in applications to physics,
geophysics, chemistry, and finance.
Marco Ferrante
--
Prof. Marco Ferrante
Dipartimento di Matematica
Universita' degli Studi di Padova
Via Trieste 63 , I-35121 Padova - ITALY
Tel: +39-0498271366 Fax: +39-0498271499
E-Mail: ferrante(a)math.unipd.it
URL: http://www.math.unipd.it/~ferrante
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Dear colleague,
the Department of Economics and Management of the University of
Florence will organize the workshop
Dependence in Risk Measurement and Risk Management
on December 18-19, 2014.
The participation in the Workshop will be free of charge with a
mandatory registration.
We welcome submissions of abstracts for contributed talks with the possibility
to contribute to a special issue in Dependence Modeling to be
published in early 2015.
All the information about the event are …
[View More]available at the website
https://sites.google.com/site/dependencerisk/
We would be pleased if you could forward this e-mail to anyone
possibly interested and download/print the announcement from the above
web-page to promote the event to your institution.
We are looking forward to seeing you in Florence,
best regards
Giovanni Puccetti
--
Assistant Professor
School of Economics and Management
University of Firenze
Building D6/2.30
via delle Pandette 32
50127 Firenze ITALY
https://sites.google.com/site/giovannipuccetti/
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Dear Colleagues,
this is a reminder for the two seminars on applications of Information
Geometry that Luigi Malagò and Giovanni Pistone will give on coming
Friday 20 June at DISMA Politecnico di Torino at 12 and 14:30 resp.
Please find the abstracts at
http://calvino.polito.it/~probstat/seminars/seminars14.html
Annuncio di seminario:
Giovedì 26 giugno alle ore 16.00 in Aula 2AB40
del Dipartimento di Matematica dell'Università di Padova
il Prof. Carles Rovira dell'Universitat de Barcelona
terrà il seminario
Titolo: Stochastic differential equations with non-negativity
constraints driven by fractional Brownian
Abstract:
In this talk, we deal with existence and uniqueness result of solution
for stochastic differential
driven by a fractional Brownian motion with Hurst parameter $H$ and with
…
[View More]reflection.
The cases $H >\frac12$ and $H \in (\frac13,\frac12)$ must be considered
separately.
When $H>\1/2$, we first study an ordinary integral equation where the
integral is defined
in the Young sense and then we apply this result pathwise to solve the
stochastic problem.
On the other hand, when H $\in (\frac13,\frac12)$, we consider an
existence and uniqueness
result of solution for multidimensional delay differential equations
with normal reflection and
driven by a H\"older continuous function of order $\beta \in
(\frac13,\frac12)$.
Marco Ferrante
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---------- Forwarded message ----------
Date: Tue, 17 Jun 2014 09:42:41 +0200
From: Marco Ferrante <ferrante(a)math.unipd.it>
Subject: Seminario N. Leonenko - Mercoled? 2 luglio ore 12
Cari colleghi,
il giorno
Mercoledi 2 Luglio alle ore 12.00 in Aula 2BC30
il Prof. Nikolai Leonenko dell'Universita di Cardiff
terra un seminario dal titolo:
Fractional Pearson Diffusions
(allego l'abstract).
Grazie
Marco
--
Prof. Marco Ferrante
Dipartimento di Matematica
Universita' degli Studi di …
[View More]Padova
Via Trieste 63 , I-35121 Padova - ITALY
Tel: +39-0498271366 Fax: +39-0498271499
E-Mail: ferrante(a)math.unipd.it
URL: http://www.math.unipd.it/~ferrante
[View Less]