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Seminar announcement
by Marco Scarsini 29 Jan '21

29 Jan '21

*Thursday, 4 February, 17:00 CET* *Annie Liang**, *Northwestern University Dynamically Aggregating Diverse Information <http://mailsender.luiss.it/lists/lt.php?id=cRpQAAYCSAUGBgBOVgFdBQs> Discussants: Jacopo Perego and Weijie Zhong The paper can be found here <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3385451>. This is the link to the Virtual Room <http://mailsender.luiss.it/lists/lt.php?id=cRpQAAYBSAUGBgBOVgFdBQs>. The schedule of the upcoming seminars can be found here <https://economiaefinanza.luiss.it/en/seminari/prossimi-seminari>. If you want to receive announcements of future seminars, please fill out this form <https://docs.google.com/forms/d/e/1FAIpQLSeDxM-M5ogG43elgjC-lNCp0BDhISiZHG0…> . ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Fwd: [owps] One World Probability Seminar Thursday January 28, 2021
by Faggionato, Alessandra 28 Jan '21

28 Jan '21

inoltro per problemi tecnici grazie alessandra ---------- Forwarded message --------- Da: One World Probability <ow.probability(a)gmail.com> Date: gio 28 gen 2021 alle ore 15:03 Subject: Re: [owps] One World Probability Seminar Thursday January 28, 2021 To: <owps(a)lists.bath.ac.uk> Dear All, If you have trouble joining the meeting using the zoom link below, please try using the link on the website. We apologise for any problems. Amanda and Alessandra On Wed, Jan 27, 2021 at 8:26 AM One World Probability < ow.probability(a)gmail.com> wrote: > Tomorrow's speakers in the One World Probability Seminar are > (Note: all times are in UTC. *Due to time changes, you should check what > that translates to in your location*) > ------------------------------------------------ > > (14:00-15:00 UTC) Speaker: Cristina Toninelli (Université Paris Dauphine) > Title: Universality results for interacting particle systems with > dynamical constraints > Abstract: We introduce the kinetically constrained models (KCM), a class > of interacting particle systems with a simple spin flip dynamics subject to > local dynamical constraints. Each vertex is resampled (independently) at > rate one by tossing a (1-q)-coin iff a certain neighbourhood of the vertex > contains no particles. In other words, the holes (empty vertices) act as > facilitating sites. When q shrinks to 0, the presence of the constraints > gives rise to glassy dynamics, in particular to an anomalous divergence of > the characteristic time scales. Thus, KCM are extensively used in physics > literature to model the liquid-glass transition, a longstanding open > problem in condensed matter physics. > > We focus on the behavior of E(T_0), the mean over the stationary process > of the first time at which the origin becomes empty. Our results establish > the universality classes of KCM in two dimensions: we group all possible > constraints into distinct classes with all models in a class featuring the > same divergence for E(T_0) as q->0. Within each class, we present an > efficient relaxation mechanism that involves the cooperative motion of > large rare patches of empty sites and we use it to determine matching upper > and lower bounds for E(T_0). > > Joint work with L.Marêché, I.Hartarsky, F.Martinelli and R.Morris > > (15:00-16:00 UTC) Fabio Martinelli (Università Roma Tre) > Title: Sharp threshold for the FA-2f kinetically constrained model > Abstract: > The Fredrickson-Andersen 2-spin facilitated model (FA-2f) on the > d-dimensional lattice, d ≥ 2, is a paradigmatic interacting particle system > with kinetic constraints (KCM) featuring "dynamical facilitation", an > important mechanism in condensed matter physics. In FA-2f a site may change > its state only if at least two of its nearest neighbors are empty. The > process, while reversible w.r.t. a product Bernoulli measure, has > degenerate jumps rates and it is non-attractive, with an anomalous > divergence of characteristic time scales as the density q of the empty > sites tends to zero. A natural random variable encoding the above features > is the first time T at which the origin becomes empty for the stationary > process. Our main result is the sharp threshold T ≍ Exp[ d > λ(d,2)/q^(1/(d-1)) ] w.h.p. as q → 0, with λ(d,2) the threshold constant > for the 2-neighbor bootstrap percolation, the monotone deterministic > cellular automaton counterpart of FA-2f. This is the first sharp result for > a critical KCM. Besides settling various controversies accumulated in the > physics literature over the last four decades, our novel techniques enable > completing the recent ambitious program on the universality phenomenon for > critical KCM and establishing sharp thresholds for other two-dimensional > KCM. > > Joint work with I. Hartarski and C. Toninelli > > ------------------------------------------------ > > The zoom link will appear the day before on the OWPS website: > https://www.owprobability.org/one-world-probability-seminar > <https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.owpro…> > > It can also be directly accessed through the link below: > https://uniroma1.zoom.us/j/83154591101?pwd=dkZyekxwa1Z1b2w2bW5SOWY3L21Xdz09 > <https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Funiroma1.…> > > Please feel free to circulate this email. > > We hope to see you all tomorrow! > One World Probability Team > -- ************************************************* 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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ABC in Svalbard, 12-13 April, 2021 - Mirror in Grenoble
by Julyan Arbel 27 Jan '21

27 Jan '21

Dear all, The approximate Bayesian computation (ABC) conference is planned to be held in Svalbard on 12-13 April, 2021, in a hybrid way: on top to the on-site meeting, there will be two physical mirrors (one in Brisbane and one in Grenoble), and all talks will be live-streamed. If you wish to participate to the virtual event, stay tuned for further information on: https://sites.google.com/view/abcinsvalbard/home If you consider participating to Grenoble mirror (free of charge), please fill the form here: https://sites.google.com/view/abcinsvalbard-grenoble-mirror/ in order to receive further notice about the organisation. Best, Julyan Arbel and Christian Robert

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Padova Online Seminar by Michele Salvi (Università di Roma Tor Vergata) [Friday, Feb. 05 at 14.30]
by alessandra bianchi 27 Jan '21

27 Jan '21

Dear Colleagues, We would like to invite you to the following Probability seminar that will take place on February 05 at 14.30 by the zoom platform. ________________________________________________________ Speaker: Michele Salvi (Università di Roma Tor Vergata) Title: Scale-free percolation in continuous space 05 FEBRUARY (Friday) - 14:30 zoom link: TBA (available on the webpage https://www.math.unipd.it/~bianchi/seminari/ ) Abstract: The scale-free percolation random graph features three fundamental properties that are often present in large real-world structures (social networks, communication networks, inter-banking systems and so on), but which are never present at once in classical models: (1) Scale-free: the degree of the nodes follows a power law; (2) Small-world: two nodes are typically at a very small graph distance; (3) Positive clustering coefficient: two nodes with a common neighbour have a good chance to be linked. We study a continuous version of scale-free percolation and its possible application to the statistical analysis of a dataset provided by the French Ministry of Agriculture. We discuss some stochastic processes (random walks and particle systems) on these kinds of structures with the final goal of understanding how an epidemic would spread. -- Alessandra Bianchi Dip. di Matematica 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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Fwd: [owps] One World Probability Seminar Thursday January 28, 2021
by Faggionato, Alessandra 27 Jan '21

27 Jan '21

Buongiorno, vi inoltro l'annuncio del OWPS di domani. Saluti Alessandra ---------- Forwarded message --------- Da: One World Probability <ow.probability(a)gmail.com> Date: mer 27 gen 2021 alle ore 09:28 Subject: [owps] One World Probability Seminar Thursday January 28, 2021 To: <owps(a)lists.bath.ac.uk> Tomorrow's speakers in the One World Probability Seminar are (Note: all times are in UTC. *Due to time changes, you should check what that translates to in your location*) ------------------------------------------------ (14:00-15:00 UTC) Speaker: Cristina Toninelli (Université Paris Dauphine) Title: Universality results for interacting particle systems with dynamical constraints Abstract: We introduce the kinetically constrained models (KCM), a class of interacting particle systems with a simple spin flip dynamics subject to local dynamical constraints. Each vertex is resampled (independently) at rate one by tossing a (1-q)-coin iff a certain neighbourhood of the vertex contains no particles. In other words, the holes (empty vertices) act as facilitating sites. When q shrinks to 0, the presence of the constraints gives rise to glassy dynamics, in particular to an anomalous divergence of the characteristic time scales. Thus, KCM are extensively used in physics literature to model the liquid-glass transition, a longstanding open problem in condensed matter physics. We focus on the behavior of E(T_0), the mean over the stationary process of the first time at which the origin becomes empty. Our results establish the universality classes of KCM in two dimensions: we group all possible constraints into distinct classes with all models in a class featuring the same divergence for E(T_0) as q->0. Within each class, we present an efficient relaxation mechanism that involves the cooperative motion of large rare patches of empty sites and we use it to determine matching upper and lower bounds for E(T_0). Joint work with L.Marêché, I.Hartarsky, F.Martinelli and R.Morris (15:00-16:00 UTC) Fabio Martinelli (Università Roma Tre) Title: Sharp threshold for the FA-2f kinetically constrained model Abstract: The Fredrickson-Andersen 2-spin facilitated model (FA-2f) on the d-dimensional lattice, d ≥ 2, is a paradigmatic interacting particle system with kinetic constraints (KCM) featuring "dynamical facilitation", an important mechanism in condensed matter physics. In FA-2f a site may change its state only if at least two of its nearest neighbors are empty. The process, while reversible w.r.t. a product Bernoulli measure, has degenerate jumps rates and it is non-attractive, with an anomalous divergence of characteristic time scales as the density q of the empty sites tends to zero. A natural random variable encoding the above features is the first time T at which the origin becomes empty for the stationary process. Our main result is the sharp threshold T ≍ Exp[ d λ(d,2)/q^(1/(d-1)) ] w.h.p. as q → 0, with λ(d,2) the threshold constant for the 2-neighbor bootstrap percolation, the monotone deterministic cellular automaton counterpart of FA-2f. This is the first sharp result for a critical KCM. Besides settling various controversies accumulated in the physics literature over the last four decades, our novel techniques enable completing the recent ambitious program on the universality phenomenon for critical KCM and establishing sharp thresholds for other two-dimensional KCM. Joint work with I. Hartarski and C. Toninelli ------------------------------------------------ The zoom link will appear the day before on the OWPS website: https://www.owprobability.org/one-world-probability-seminar <https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.owpro…> It can also be directly accessed through the link below: https://uniroma1.zoom.us/j/83154591101?pwd=dkZyekxwa1Z1b2w2bW5SOWY3L21Xdz09 <https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Funiroma1.…> Please feel free to circulate this email. We hope to see you all tomorrow! One World Probability Team -- ************************************************* 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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Seminario Prisma
by Domenico Marinucci 26 Jan '21

26 Jan '21

Cari colleghi Lunedì prossimo avrà inizio il ciclo mensile di seminari online promosso dal Gruppo UMI PRISMA: 1 Febbraio 2021, ore 16:00-18:00: Franco Flandoli, Mario Maurelli TITLE: Regularization by noise ABSTRACT: The presence of the irregular fluctuations of a noise sometimes improves the theory of differential equations, ordinary or partial, a phenomenon today called "regularization by noise". This joint talk will introduce the problem in finite dimensions, by some classical and some more recent examples and results. Then it moves to SPDEs, where the results are mostly recent and under investigation. The different roles of additive noise and multiplicative transport type noise, the latter with its fluid mechanic flavour, will be described. Collegamento Teams: https://teams.microsoft.com/l/meetup-join/19%3a667d2414be564c5d8fba30acffeb… Grazie per l'attenzione e scusate le ripetizioni, Domenico Marinucci e Claudia Ceci -- @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ Domenico Marinucci Dipartimento di Matematica Università di Roma Tor Vergata https://www.mat.uniroma2.it/~marinucc/ @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@

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Annuncio seminario - 28 gennaio ore 14:00 - Alessio Farcomeni
by Anna Paganoni 25 Jan '21

25 Jan '21

Buongiorno, ricordo il seguente Seminario MOX on-line di giovedì organizzato dal gruppo Stat@MOX. 28.1, ore 14:00 Link: https://mox.polimi.it/elenco-seminari/?id_evento=2001&t=763721 Speaker: Alessio Farcomeni, Università Roma Tor Vergata Titolo: Nowcasting the Italian epidemic outbreak of SARS-CoV-2 Abstract: In the talk, we briefly discuss the main epidemiological features of SARS-CoV-2 one year into the pandemic, giving also a short account of the public data available for Italy and of the main limits of lay analyses. We then discuss an accurate method for short-term forecasting ICU occupancy at local level. Our approach is based on an optimal ensemble of two simple methods: a generalized linear mixed regression model which pools information over different areas, and an area-specific non-stationary integer autoregressive methodology. Optimal weights are estimated using a leave-last-out rationale. Daily predictions between February 24th and November, 27th 2020 have a median error of 3 beds (third quartile: 8) at regional level, with coverage of 99% prediction intervals that exceeds the nominal one. Finally we present a different method based on a modified non-linear GLM for each indicator, including the potential effect of exogenous variables, based on appropriate distributional assumptions and a logistic-type growth curve. This allows us to accurately predict important characteristics of the epidemic (e.g., peak time and height). Based on joint works with Pierfrancesco Alaimo di Loro, Fabio Divino, Giovanna Jona Lasinio, Gianfranco Lovison, Antonello Maruotti, Marco Mingione Contatto: francesca.ieva(a)polimi.it Buona giornata Anna Maria Paganoni -- Anna Maria Paganoni MOX - Modeling and Scientific Computing Dipartimento di Matematica "F. Brioschi" Politecnico di Milano Piazza Leonardo da Vinci, 32 I-20133 Milano - Italy tel. +39 02 2399 4574 fax. +39 02 2399 4568 e.mail: anna.paganoni(a)polimi.it

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Announcement: STAR Online seminar - Speaker: Rama Cont
by michele giordano 25 Jan '21

25 Jan '21

Dear all, This is a reminder for the: STAR Online Seminars. The seminar will be held Friday 13. November from 11:00-12:00 . You will recieve the link for the Zoom room by registering for the seminar with the link provided at the end of this mail. The lecture will last for 45 minutes + questions. This week's speaker is Rama Cont - University of Oxford, with the seminar: Excursion risk Abstract: A broad class of dynamic trading strategies may be characterized in terms of excursions of the market price of a portfolio away from a reference level. We propose a mathematical framework for the risk analysis of such strategies, based on a description in terms of price excursions, first in a pathwise setting, without probabilistic assumptions, then in a probabilistic setting, when the price is modelled as a Markov process. We introduce the notion of δ-excursion, defined as a path which deviates by δ from a reference level before returning to this level. We show that every continuous path has a unique decomposition into such δ-excursions, which turn out to be useful for the scenario analysis of dynamic trading strategies, leading to simple expressions for the number of trades, realized profit, maximum loss and drawdown. When the underlying asset follows a Markov process, we combine these results with Ito's excursion theory to obtain a tractable decomposition of the process as a concatenation of independent δ-excursions, whose distribution is described in terms of Ito's excursion measure. We provide analytical results for linear diffusions and give new examples of stochastic processes for flexible and tractable modeling of excursions. Finally, we describe a non-parametric scenario simulation method for generating paths whose excursions match those observed in a data set. This is joint work with: Anna Ananova and RenYuan Xu. After the end of the seminar, you are invited to bring a cup of coffee/tea and have a chat in our Coffee in the Stars here you will have the chance to talk and interact with the other persons that attended the seminar, and have a digital "coffee break". We are looking forward to see you, online! Best regards, We are looking forward to see you, online! Best regards, Michele Giordano Doctoral research fellow Department of Mathematics University of Oslo, Norway ------------------------------------------------------------------------- Register for the seminar: https://nettskjema.no/a/159180 Link for the seminar webpage: https://www.mn.uio.no/math/english/research/projects/storm/events/seminars/…

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PhD Statistics & Computer Science @Bocconi - prossima scadenza
by Antonio Lijoi 24 Jan '21

24 Jan '21

Cari tutti, ricordo la scadenza dell'1 febbraio per la presentazione delle domande di ammissione al dottorato di ricerca in Statistics and Computer Science presso l'Università Bocconi (a.a. 2021-2022). Vi sarei grato se voleste portare all'attenzione dei vostri studenti interessati la "call for applications", riportata di seguito. Saluti, AL ******************* PhD in Statistics and Computer Science - a.y. 2021-2022 Call for applications for PhD student positions ******************* The Bocconi PhD School provides 7 scholarships for the PhD in Statistics and Computer Science, and a position with tuition waiver. * Scholarship amount * 20.280 euro per annum in the 1st and 2nd year 15.343 euro per annum in the 3rd and 4th year Further funding is available through teaching and research assistantship. Visit www.unibocconi.eu/admissionphd for detailed information. ** Applications are due by February 1, 2021 ** Within the PhD School at Bocconi University, the four-year PhD program in Statistics and Computer Science is a high profile and rigorous doctoral program that develops strong mathematical, statistical, computational and programming backgrounds. The curriculum is structured into two tracks: Statistics and Computer science. The first year includes courses that are compulsory for all enrolled PhD students. The second-year features track-specific and elective courses that provide students with a more specialized competence and focus on topics that may be the object of the doctoral dissertation. Dedicated mentorship is offered to students throughout their time at Bocconi. Multidisciplinary interchange with other graduate programs in Bocconi’s PhD School, as well as research experience abroad, are also encouraged. The Faculty includes internationally acknowledged top researchers in Statistics, Computer Science, Decision Theory, Statistical Physics and Machine Learning. The program also benefits from contributions of authoritative visiting professors who deliver short monographic courses. Highly qualified and motivated students with M.Sc. degrees in in Statistics, Mathematics, Computer Science, Economics, Physics, Engineering and related areas, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold, or be on their way to hold, a graduate degree or equivalent. For further information about the PhD program in Statistics and Computer Science at Bocconi, visit www.unibocconi.eu/phdstatscompscience and feel free to contact: Antonio Lijoi (antonio.lijoi(a)unibocconi.it) Angela Baldassarre, PhD administrative assistant (angela.baldassarre(a)unibocconi.it)

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Rivista Nuova Lettera Matematica
by Lorenzo Zambotti 24 Jan '21

24 Jan '21

Gentili colleghi e colleghe vi segnalo l’uscita del secondo numero della Nuova Lettera Matematica https://www.unipapress.it/it/book/nuova-lettera-matematica-2_280/ <https://www.unipapress.it/it/book/nuova-lettera-matematica-2_280/> cordiali saluti Lorenzo -- Lorenzo Zambotti Postal Address: Sorbonne Universite', LPSM - Boite courrier 158 4, place Jussieu - 75252 Paris cedex 05, France Bureau n. 22, 2eme etage, tours 16/26, Jussieu E-mail: lorenzo.zambotti(a)upmc.fr https://www.lpsm.paris/pageperso/zambotti

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