Seminario di Probabilità a Roma Tre
Alexandre Stauffer
(University of Bath)
Titolo: Mixing time of random walks on dynamical percolation
Martedi' 04 Febbraio 2014 ORE 14:30
Dipartimento di Matematica e Fisica
Universita' degli Studi Roma Tre
AULA 211
Largo San L. Murialdo,1
Abstract
We study the behavior of random walk on dynamical percolation. In this
model, the edges of a graph G are either open or closed and refresh
their status at rate mu while at the same time a random walker moves
…
[View More]on G at rate 1 but only along edges which are open.
On the d-dimensional torus with side length n, we prove that in the
subcritical regime, the mixing times is of order n^2/mu.
We also obtain results concerning mean squared displacement and
hitting times.This is a joint work with Yuval Peres and Jeff Steif.
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---------- Forwarded message ----------
Date: Mon, 27 Jan 2014 15:39:37 +0100
From: paolo pellizzari <paolop(a)unive.it>
To: Tiziano Vargiolu <vargiolu(a)math.unipd.it>
Subject: AW: JoMaC - Call-for-Paper for Special Issue
caro Tiziano,
please circulate the following call for paper
http://www.springer.com/business+%26+management/accounting/journal/187:
for a special issue "Simulation in Management Accounting and Management
Control" of JoMaC.
Details and deadlines in the …
[View More]attached file.
grazie e saluti,
paolo pellizzari
--
Dept. of Economics
Ca' Foscari University of Venice - ITALY
email: paolop(a)unive.it
http://virgo.unive.it/paolop
@paolopellizzari
Gli uomini son bestie rare,
son capitomboli di allegria,
sono carretti da trascinare,
sono gomitoli di fantasia.
(Scraps Orchestra, "Rosso di sera")
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Giovedì 6 febbraio, alle ore 15:00, presso l'aula Seminario VII
del Dipartimento di Matematica di Padova
la Prof.ssa Irene Crimaldi (IMT Lucca)
terra' il seguente seminario
TITLE:
Asymptotic Results for some Preferential Attachment Models with Random
Weights
ABSTRACT:
Various asymptotic results will be shown for the "randomly reinforced"
versions of
three popular models: Polya urn, Poisson-Dirichlet sequence and Indian
buffet process.
The main central limit theorem will be stated for an …
[View More]arbitrary sequence of
real random variables. Indeed, although this result has been thought for
urn problems, it deals with the general problem of the rate of convergence
of predictive distributions and empirical distributions for dependent data.
The main references are:
- P. Berti - I. Crimaldi - L. Pratelli - P. Rigo,
"A central limit theorem and its applications to multicolor randomly
reinforced urns", J. Appl. Probab., 48(2), 527-546
- P. Berti - I. Crimaldi - L. Pratelli - P. Rigo,
"Central limit theorems for multicolor urns with dominated colors",
Stochastic Processes and their Applications, 120(8), 1473-1491
- F. Bassetti - I. Crimaldi - F. Leisen,
"Conditionally identically distributed species sampling sequences",
Adv. Appl. Probab., 42(2), 433-459
- P. Berti - I. Crimaldi - L. Pratelli - P. Rigo,
"Central limit theorems for an Indian buffet model with random weights",
forthcoming in Annals of Applied Probability
--
Alessandra Bianchi
Dip. di Matematica Pura e Applicata
Università di Padova
Via Trieste, 63 - 35121 Padova, Italy
phone: +39 049 827 14 06
fax: +39 049 827 14 28
e-mail: bianchi(a)math.unipd.it
http://www.math.unipd.it/~bianchi/
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Ho il piacere di invitarvi al seguente seminario, che si terrà mercoledì
5 febbraio, alle ore 15:00,
nell'aula 1BC45 della Torre Archimede presso il Dipartimento di Matematica
dell'Università degli Studi di Padova.
SPEAKER:
Prof.ssa Irene Crimaldi
AFFILIATION:
IMT- Institute for advanced studies -Lucca
TITLE:
Asymptotic Results for some Preferential Attachment Models with Random
Weights
ABSTRACT:
Various asymptotic results will be shown for the "randomly reinforced"
versions of
three …
[View More]popular models: Polya urn, Poisson-Dirichlet sequence and Indian
buffet process.
The main central limit theorem will be stated for an arbitrary sequence of
real random variables. Indeed, although this result has been thought for
urn problems, it deals with the general problem of the rate of convergence
of predictive distributions and empirical distributions for dependent data.
The main references are:
- P. Berti - I. Crimaldi - L. Pratelli - P. Rigo,
"A central limit theorem and its applications to multicolor randomly
reinforced urns", J. Appl. Probab., 48(2), 527-546
- P. Berti - I. Crimaldi - L. Pratelli - P. Rigo,
"Central limit theorems for multicolor urns with dominated colors",
Stochastic Processes and their Applications, 120(8), 1473-1491
- F. Bassetti - I. Crimaldi - F. Leisen,
"Conditionally identically distributed species sampling sequences",
Adv. Appl. Probab., 42(2), 433-459
- P. Berti - I. Crimaldi - L. Pratelli - P. Rigo,
"Central limit theorems for an Indian buffet model with random weights",
forthcoming in Annals of Applied Probability
--
Alessandra Bianchi
Dip. di Matematica Pura e Applicata
Università di Padova
Via Trieste, 63 - 35121 Padova, Italy
phone: +39 049 827 14 06
fax: +39 049 827 14 28
e-mail: bianchi(a)math.unipd.it
http://www.math.unipd.it/~bianchi/
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Il giorno Giovedì 30 Gennaio 2014, alle ore 14:30
presso la sede di Prometeia (sala grande, primo piano)
via G.Marconi 43, Bologna
si terrà il
Seminario del Dott. Fabio Gobbi
Dipartimento di Scienze Statistiche,
Università di Bologna
Titolo: C-CONVOLUTION AND ITS APPLICATION TO FINANCE
Abstract
In financial applications is interesting to determine the distribution
function of the sum of two random variables X and Y in the case where
they are dependent. We …
[View More]address the problem using the convolution
operator which recovers the distribution of X+Y when a copula function C
describes the dependence structure and the marginal distributions of the
two r.vs. are given. Nevertheless, almost all the financial data are
generated by stochastic processes. Our C-convolution approach allows to
build dependent increments processes since setting X = X(t-1) − and Y =
DX, their sum is X_t . In this framework we model the dependence
structure between the level of the process and its next increment. From
an empirical point of view, financial data are time series and the
econometric analysis is provided by the concept of conditional copula
introduced by Patton (2006) which allows us to define the conditional
𝐶-convolution as a data generating process. We estimate such a model by
a three-stage maximum likelihood method and we provide some asymptotic
results of this estimator. An immediate financial application of such a
method is given by a copula-based model to recover the distribution of
actively managed funds. The analysis is based on a general
representation of the Henriksson Merton (1981) model, in which the
forecasting ability of the asset manager is modeled with a copula
function (linking the forecasts of the asset manager and actual market
movements). This is a convolution-based copula yielding at the same
time the marginal distribution of the return on the managed fund and the
dependence structure between the managed fund and the market. The model
is very well suited to estimate and simulate the conditional
distribution of managed funds.
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A v v i s o d i S e m i n a r i o
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Venerdì 31 Gennaio, ore 11am
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Stanza 34
Dipartimento di Scienze Statistiche
Sapienza Università di Roma
LAURA VENTURA
(Dip. di Scienze Statistiche, Università degli Studi di Padova)
terrà un seminario dal titolo
PSEUDO-…
[View More]LIKELIHOODS FOR BAYESIAN INFERENCE
tutti gli interessati sono invitati a partecipare.
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Maggiori informazioni sui seminari presso il DSS sono
consultabili a quest'indirizzo: http://goo.gl/Y6OQYm
Saluti
Pierpaolo Brutti - Fulvio De Santis
---
Summary
In the presence of models with complicated dependence structures, of
multidimensional nuisance parameters, or of model miss-specifications,
both frequentist and Bayesian inference may encounter some theoretical
and computational difficulties, since the ordinary likelihood may be
too difficult or even impractical to compute. In order to take into
proper account such difficulties, it is possible to consider
surrogates of the original likelihood, which produce the wide class of
the so-called pseudo-likelihoods. In this talk we review the
properties and applications of the so-called pseudo-posterior
distributions, i.e. posterior distributions derived from the
combination of a pseudo-likelihood function with suitable prior
information. Some examples are illustrated.
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---------- Forwarded message ----------
From: Koorn, P.M. <Koorn(a)eurandom.tue.nl>
Date: Fri, Jan 24, 2014 at 3:26 PM
Subject: [stoch-ned-l] Workshop Population Dynamics and Statistical Physics
in Synergy
To: "stoch-ned-l(a)science.uu.nl" <stoch-ned-l(a)science.uu.nl>
We would like to announce the upcoming workshop on Population Dynamics and
Statistical Physics in Synergy
To be held at Eurandom, Eindhoven, the Netherlands
Date: August 25-29, 2014
More information on
…
[View More]http://www.eurandom.nl/events/workshops/2014/Population_Dynamics/Population…
On behalf of the organizers,
Patty Koorn
Eurandom
P.O.Box 513 (MF 4.081)
5600 MB EINDHOVEN
The Netherlands
tel. +31 40 247 81 00
e-mail koorn(a)eurandom.tue.nl
www.eurandom.tue.nl
(mon+wed 8.30-16.30; thu+fri 8.30-15.00)
_______________________________________________
stoch-ned-l mailing list
SMS-VvS+OR/
Section Mathematical Statistics of
The Netherlands Society for Statistics and Operations Research.
stoch-ned-l(a)science.uu.nl
http://mailman.science.uu.nl/mailman/listinfo/stoch-ned-l
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Il giorno martedì 28 gennaio dalle ore 14.30 alle
ore 17.30, presso la aula seminari del
Dipartimento di Statistica e Metodi Quantitativi
della Università di Milano Bicocca, al quarto
piano dell'edificio U7, si terrà un mini-workshop
su "New trends in risk measures".
Programma dettagliato:
14.30 - 15.30 Johanna Ziegel, Università di Berna
"Coherence and elicitability"
http://arxiv.org/pdf/1303.1690.pdf
15.30 - 16.30 Valeria Bignozzi, ETH Zurich
"How superadditive can a risk measure be?"
…
[View More]http://www.math.uwaterloo.ca/~wang/papers/2014WBT.pdf
16.30 - 17.30 Elisa Mastrogiacomo, DISMEQ
"Portfolio optimization with quasiconvex risk measures"
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2282472
Tutti gli interessati sono invitati a partecipare.
Saluti
Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellini
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Apologies for cross-postings.
Tiziano
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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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---------- Forwarded message ----------
Date: Wed, 22 Jan 2014 11:48:26 +0000 (GMT)
From: anis lasmar <anis_lasmar(a)yahoo.fr>
To: Tiziano Vargiolu <vargiolu(a)math.unipd.it>
Subject: Re: Announcement for a spring school: CREMMA
Dear Sir
The University of Maine, The faculty of Science of Tunis and Laboratory of
Mathematical Modeling and Numeric in Engineering Sciences "LAMSIN" organize
the fourth spring school of the Euro-Mediterranean Research Center for
Mathematics and its Applications.
The lectures are devoted to Recent Advances in Math Financial and Insurance.
The school will take place in the National Engineering School of Tunis (
ENIT), from March the 17th to the 28th.
For registration and more information please visit the following link:
http://www.lamsin.tn/CREMMA/Fourth-School.html
Agenda
March 17th-21st, 2014
- NizarTOUZI (EcolePolytechniquede Paris, France)
Viscosity solutions for path dependent PDEs and application
to Finance.
- Xiaolu TAN (University of Paris-Dauphine, France )
The optimal transport and application to Finance.
March 22, 2014: day of lectures.
March 24th-28th, 2014
- Nicole EL KAROUI (University of Pierre et Marie Curie, Paris, France):
Applications to the longevity and population dynamics.
- Monique JEANBLANC (Universit?d'Evry Val d'Essonne ):
Applications to problems of default and credit.
- Alexandre BOUMEZOUEDD (University of Pierre et Marie Curie, Paris):
The Poisson process, its simulation, random measures and
point processes.
Thank you for disseminating the information.
Best regards,
Mohamed Anis BEN LASMAR
Enseignant/Chercheur
Laboratoire de Mod?lisation Math?matique et Num?rique
pour les Sciences de l'Ing?nieur
Ecole Nationale d'Ing?nieurs de Tunis
Universit? de Tunis El Manar
BP 37, 1002 Tunis Le Belv?d?re, Tunisie
E-mail: anis_lasmar(a)yahoo.fr
mohamedanis.benlasmar(a)lamsin.rnu.tn
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A v v i s o d i M i n i - C o r s o
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Lunedì, 27 Gennaio, ore 14:00 - 18:00
Martedì, 28 Gennaio, ore 9:00 - 13:00
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Aula VII (piano terra)
Dipartimento di Scienze Statistiche
Sapienza Università di Roma
STEFANO IACUS
(Dep. of Economics, Management and …
[View More]Quantitative Methods, University of
Milan & R Core Team)
terrà un mini-corso rivolto principalmente (ma non solo) agli studenti
di dottorato dal titolo
SIMULATION AND INFERENCE FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN R
WITH APPLICATIONS TO FINANCE
Il corso è gratuito ma, dato il numero limitato di posti disponibili
in aula, tutti gli interessati
sono invitati a **prenotarsi** compilando il seguente form on line:
http://goo.gl/RrCdVm
Entro Giovedì 23/1 verrà inviata conferma dell'effettiva disponibilità
del posto richiesto all’indirizzo email fornito.
Ovviamente “first come, first served”, con possibile piccolo bias in
favore di studenti di dottorato.
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Maggiori informazioni sui seminari e mini-corsi presso il DSS sono
consultabili a quest'indirizzo: http://goo.gl/Y6OQYm
Saluti
Alessandro De Gregorio, Pierpaolo Brutti, Fulvio De Santis
---
Syllabus del corso
The course plan to cover the following topics:
> Simulation of solutions of stochastic differential equations.
> Quasi–maximum likelihood estimation.
> Model selection.
> Analysis of financial time series.
> Clustering of financial time series.
> Change point analysis for the volatility in stochastic differential equations.
Students are required to have basic knowledge of the R statistical
package and come with a pre–installed version of the software and of
the Yuima package on their machines.
Preliminary notions on SDEs are welcome.
Lectures will be based on the following books:
> Iacus, S.M. (2011). Option Pricing and Estimation of Financial Models with R. John Wiley & Sons.
> Iacus, S.M. (2008). Simulation and Inference for Stochastic Differential Equations: with R examples. Springer.
but extract of the parts relevant to the course, will be distributed
during the lectures along with exercise sheets.
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