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special issue - Information Sciences
by Roy Cerqueti 30 Sep '21

30 Sep '21

Dear all, this is to point to your attention the call for papers for a special issue in Information Sciences on themes related to data science and finance. More detail can be found here: https://www.journals.elsevier.com/information-sciences/call-for-papers/big-… Thank you for your attention. Best regards, Roy Cerqueti -- ________________________________________________________ Le informazioni contenute in questo messaggio di posta elettronica sono strettamente riservate e indirizzate esclusivamente al destinatario. Si prega di non leggere, fare copia, inoltrare a terzi o conservare tale messaggio se non si è il legittimo destinatario dello stesso. Qualora tale messaggio sia stato ricevuto per errore, si prega di restituirlo al mittente e di cancellarlo permanentemente dal proprio computer. The information contained in this e mail message is strictly confidential and intended for the use of the addressee only. If you are not the intended recipient, please do not read, copy, forward or store it on your computer. If you have received the message in error, please forward it back to the sender and delete it permanently from your computer system. -- Fai crescere i nostri giovani ricercatori dona il 5 per mille alla Sapienza *codice fiscale 80209930587*

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Francesco Russo's talk at the Torino seminar series in Stochastics and Mathematical Statistics
by Tiziano De Angelis 29 Sep '21

29 Sep '21

Dear all, We are glad to announce the first seminar of the *Torino seminar series in Stochastics and Mathematical Statistics. * Torino seminar series SMS is a monthly seminar series held at the Department of Mathematics G. Peano of the University of Turin. For more info and a list of future talks see https://sites.google.com/view/torinostochastics. *Date and time:** Friday 1 October*, 2021, h 17:00-18:00 *Location*: Aula Magna, Palazzo Campana, via Carlo Alberto 10, Torino *Speaker*: *Francesco RUSSO *(ENSTA Paris, Institut Polytechnique de Paris) *Title*: Fokker-Planck equations with terminal condition and related McKean probabilistic representation *Abstract**:* Stochastic differential equations (SDEs) in the sense of McKean are stochastic differential equations, whose coefficients do not only depend on time and on the position of the solution process, but also on its marginal laws. Often they constitute probabilistic representation of conservative PDEs, called Fokker-Planck equations; In general Fokker-Planck PDEs are well-posed if the initial condition is specified. Here, alternatively, we consider the inverse problem which consists in prescribing the final data: in particular we give sufficient conditions for existence and uniqueness. We also provide a probabilistic representation of those PDEs in the form of a solution of a McKean type equation corresponding to the time-reversal dynamics of a diffusion process. The research is motivated by some application consisting in representing some semilinear PDEs (typically Hamilton-Jacobi-Bellman in stochastic control) fully backwardly. This work is based on a collaboration with L. Izydorczyk (ENSTA), N. Oudhane (EDF), G. Tessitore (Milano Bicocca) Best regards, The organizers (Tiziano De Angelis, Giuseppe D'Onofrio, Elena Issoglio)

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Large N limits of Wilson loops in gauge theories
by Enrico Scalas 27 Sep '21

27 Sep '21

Care colleghe e colleghi, Vi puo' forse interessare questo seminario che si terra' giovedi' prossimo. Cordiali saluti, Enrico Scalas -- Dear all, This Thursday we kick off our Mathematical Physics seminar series for the new academic year with a talk by Antoine Dahlqvist (Sussex) on Large N limits of Wilson loops in gauge theories Abstract: Gauge theories are a type of field theory introduced and studied from the 70’s by physicists as a theoretical model describing the fundamental interactions between elementary particles. It quickly appeared to be a place where geometry and physics met and influenced each others. In this talk, I shall discuss some questions closer to probability and random matrix theory, inspired by the so-called large N limit regime of Euclidean field theories. I will present some old and new theorems about the Yang-Mills measure for two dimensional space-time geometries. The seminars are fortnightly on Thursdays 12:00 - 13:00 in 5C11 and can also be followed on Zoom https://universityofsussex.zoom.us/j/98075042563?pwd=VTBxSHVMVUl2Y0piblp4Y0… Passcode: 938719 The seminars are open for everyone with an interest in topics on the intersection of Mathematics and Physics The schedule for the seminars this term can be found at https://www.maths.sussex.ac.uk/seminars/mathphys.html To receive further announcements for our seminar series, please sign up to the mailing list 'mathphy_seminar' following the guidance at https://support.microsoft.com/en-us/office/distribution-groups-e8ba58a8-fab… Best wishes, Antoine, Michael, Xavier and Folkert

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PhD positions in Bern
by Fabio Bellini 27 Sep '21

27 Sep '21

>From Prof. Johanna Ziegel: ========================================== UNIVERSITY OF BERN INSTITUTE OF MATHEMATICAL STATISTICS AND ACTUARIAL SCIENCE 2 PhD POSITIONS We invite applications for 2 PhD positions in several areas of research pursued by professors of the institute. 1) Probability theory (with emphasis on stochastic geometry, point processes, stable laws; supervised by Ilya Molchanov). 2) Mathematical statistics (with emphasis on empirical processes and nonparametric statistics; supervised by Lutz Dümbgen). 3) Statistical data science (with emphasis on forecasting and kernel-based methods; supervised by David Ginsbourger and/or Johanna Ziegel). The salary will be at the level foreseen by the Swiss National Foundation, see http://www.snf.ch/SiteCollectionDocuments/allg_doktorierende_d.pdf There is a possibility to complement the salary by taking up teaching and statistical consulting duties in the department. The starting date is February 2022 or as can be arranged by mutual agreement. The applications should be submitted in a single pdf file, which includes a cover letter (indicating one of the areas mentioned above as the preferred field of research), CV, transcripts from Bachelor and Master Studies, and e-mail addresses of two academic referees. Please, also send a copy of your master thesis as a separate file. If you have not completed your master thesis yet, please provide an outline of your thesis topic and the expected date of completion. The evaluation of applications starts on the 10th of October 2021. Later applications will be also considered, if the positions are not filled by that time. Applications should be e-mailed to the institute at <office(a)stat.unibe.ch> and addressed to the Director of the Institute, Prof. Johanna Ziegel. Further information is available from Profs. Lutz Dümbgen, David Ginsbourger, Ilya Molchanov and Johanna Ziegel.

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INCONTRO SULLA DIDATTICA DELLA PROBABILITA' E DELLA STATISTICA
by Paolo Dai Pra 27 Sep '21

27 Sep '21

Il Gruppo UMI (Unione Matematica Italiana) PRobability In Statistics, Mathematics and Applications (PRISMA) è lieto di annunciare un incontro online sulla Didattica della Probabilità e della Statistica nei corsi di laurea degli Atenei Italiani Grazie al contributo di numerosi esperti, verranno discussi contenuti e modalità didattiche in molti ambiti, evidenziando per ciascuno le esigenze specifiche. A questo messaggio allego la locandina con il programma provvisiorio. Per aggiornamenti si rimanda alla pagina https://sites.google.com/view/prisma-didattica-probstat/, da cui si accede ad un breve modulo di iscrizione. L’indirizzo per la partecipazione all’incontro verrà poi inviato per posta elettronica a tutti gli iscritti. Paolo Dai Pra Paolo Dai Pra Dipartimento di Informatica Università degli Studi di Verona Strada Le Grazie 15, 37134 Verona, Italy Tel. +390458027093 Paolo Dai Pra Dipartimento di Informatica Università degli Studi di Verona Strada Le Grazie 15, 37134 Verona, Italy Tel. +390458027093

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INCONTRO SULLA DIDATTICA DELLA PROBABILITA' E DELLA STATISTICA
by Paolo Dai Pra 26 Sep '21

26 Sep '21

Il Gruppo UMI (Unione Matematica Italiana) PRobability In Statistics, Mathematics and Applications (PRISMA) è lieto di annunciare un incontro online sulla Didattica della Probabilità e della Statistica nei corsi di laurea degli Atenei Italiani Grazie al contributo di numerosi esperti, verranno discussi contenuti e modalità didattiche in molti ambiti, evidenziando per ciascuno le esigenze specifiche. A questo messaggio allego la locandina con il programma provvisiorio. Per aggiornamenti si rimanda alla pagina https://sites.google.com/view/prisma-didattica-probstat/, da cui si accede ad un breve modulo di iscrizione. L’indirizzo per la partecipazione all’incontro verrà poi inviato per posta elettronica a tutti gli iscritti. Paolo Dai Pra Paolo Dai Pra Dipartimento di Informatica Università degli Studi di Verona Strada Le Grazie 15, 37134 Verona, Italy Tel. +390458027093

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[owps] OWPS, October 7th: P. Diaconis and L. Miclo on "THE random graph" (fwd)
by Michele Gianfelice 24 Sep '21

24 Sep '21

Salve, ricevo ed inoltro p.c.. Cordialmente, m.gianfelice ----------------------------------------------------------------------- Michele Gianfelice, PhD Dipartimento di Matematica e Informatica Università della Calabria Telephone : +39 0984 496412 Campus di Arcavacata Fax : +39 0984 496410 Ponte P. Bucci - cubo 30B email: gianfelice(a)mat.unical.it I-87036 Arcavacata di Rende (CS) www.mat.unical.it/~gianfelice/ ----------------------------------------------------------------------- ---------- Forwarded message ---------- Date: Thu, 23 Sep 2021 20:43:34 +0200 From: One World Probability <ow.probability(a)gmail.com> To: owps(a)lists.bath.ac.uk Subject: [owps] OWPS, October 7th: P. Diaconis and L. Miclo on "THE random graph" Dear probabilists, We are pleased to inform you that the OWPS will resume on October 7th, from 14:00 to 15:45 UTC. Persi Diaconis and Laurent Miclo will talk about THE random graph and random walk on it. Titles, abstracts and the Zoom link are below the signature, and can be found on the website https://www.owprobability.org/one-world-probability-seminar. We also inform you that, in accordance with the wishes expressed in the pooling, sessions will take place every other week (i.e. ~2 per month). Each session will consist of two talks of 45 minutes each. These two talks will be thematically unified. Please feel free to circulate this email. Probabilistically yours, Bastien Mallein and Sébastien Martineau -------- Persi Diaconis -- Probability theory for THE random graph Pick two Erdös-Renyi (n,1/2) graphs uniformly at random. What's the chance they are the same (isomorphic)? Small. How small? Well, at most n!/ 2^(n choose 2). When n= 100, that's less than 10^-1300. OK, now let n=infinity. The chance that the two graphs are isomorphic is one (!). This is THE random graph (the Rado graph R). I will review its many non-random models and many strange properties. ? It is a natural limit of the set of all finite graphs (a first order property is true for almost all finite graphs if and only if it holds with probability one in R) and this discontinuity is surprising. In joint work with with Sourav Chatterjee we tried to find finite manifestations: For finite n, the largest isomorphic induced subgraph of a pair has size 4log (n) -2loglog(n)-2log(4/e) +1 (within 1, all logs base 2 in probability when n is large). This matches data amazingly well (e.g. for n more than 30) and illuminates problems in constraint satisfaction. Laurent Mico -- A random walk on THE random graph R Let q(j) be a probability on N={0,1,2,...}. Let R be a model of THE random graph. A Markov chain on N starts at i and moves to one of its neighbor j in R with probability proportional to q(j). This Markov chain has a stationary distribution and we inquire about rates of convergence. Since each vertex is connected to half of the others and the diameter of R is 2, it seems likely that convergence is fast. In some models we show that log* (i) steps are necessary and sufficient for convergence. The proof uses a novel variant of Hardy's inequalities for trees. This is joint work with Sourav Chatterjee and Persi Diaconis. Zoom-link: https://us02web.zoom.us/j/81721277245?pwd=VjhadGFZcTVZamsvRkhZUExVbHAyZz09 Meeting ID 817 2127 7245 Passcode: 759491 If you are having trouble with zoom, or if the capacity of the zoom room gets exceeded, you can also access to the Youtube live stream at the channel of the seminar: https://www.youtube.com/channel/UCiLiEQGTp6bZEhuHDM-WNWQ

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Workshop "Deterministic and stochastic fractional diﬀerential equations and jump processes"
by Enrico Scalas 22 Sep '21

22 Sep '21

Care colleghe e cari colleghi, nell'ambito del programma "Fractional Differential Equations" ( https://www.newton.ac.uk/event/fde2/) che si terrà all'Isaac Newton Institute a Cambridge, organizzo una settimana di studi su "Deterministic and stochastic fractional diﬀerential equations and jump processes" (https://www.newton.ac.uk/event/fd2w01/) insieme a Jozsef Lorinczi e Vassili Kolokoltsov. L'evento avrà luogo tra il 21 febbraio e il 25 febbraio 2022 (ed è ora possibile registrarsi fino al 21 novembre 2021) e si terrà in modalità ibrida (online e con persone presenti, se possibile). La partecipazione online è gratuita. Per i dettagli potete consultare il sito seguente: https://www.newton.ac.uk/event/fd2w01/ Cordiali saluti, Enrico Scalas

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(PMS)^2 online talk: Hakima Bessaih, Monday September 27 at 17.30
by Margherita Zanella 22 Sep '21

22 Sep '21

Dear colleagues, we are happy to announce the following online talk: Speaker: Hakima Bessaih (Florida International University) Title: Numerical schemes for the 2d Stochastic Navier-Stokes equations. Abstract: We consider a time discretization scheme of Euler type for the 2d stochastic Navier-Stokes equations on the torus. We prove a mean square rate of convergence. This refines previous results established with a rate of convergence in probability only. Using exponential moment estimates of the solution of the Navier-Stokes equations and a convergence of a localized scheme, we can prove strong convergence of fully implicit and semi-implicit time Euler discretization and also a splitting scheme. The speed of convergence depends on the diffusion coefficient and the viscosity parameter. When the noise is additive, we are able to get strong convergence without localization. Date and time: Monday September 27, 17:30-18:30 (Rome time zone) Zoom link: https://us02web.zoom.us/j/5772228296 This is a talk of the (PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale. For more information see the dedicated webpage: https://paviamilanoseminars.wordpress.com/<http://paviamilanoseminars.wordpress.com/> Participation is free and welcome! (though limited to 100 participants for technical reasons). Best regards The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella)

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Seminars by Jim Gatheral, Baruch College CUNY New York
by Giacomo Bormetti 21 Sep '21

21 Sep '21

Dear all, Prof. Jim Gatheral is visiting the Department of Mathematics in Bologna for the next two months. On September 29 and October 13 he will deliver two seminars in presence in Bologna in Aula Cremona, main building of the Math Department. You are all kindly invited. It will be possible to follow the seminars online via Zoom too (please find below the links to connect). Sincerely, Giacomo Bormetti and Fabrizio Lillo 29-Sep-2021 16:00 (CET time) Aula Cremona, Department of Mathematics or Zoom https://unibo.zoom.us/j/99763851456?pwd=YzVBMTNxUXpRWngrNExaRWtMRjRkdz09 Title: Diamond trees and the forest expansion Abstract: I will present a “broken exponential martingale” G-expansion that generalizes and unifies our earlier exponentiation result (Alòs, Gatheral, and Radoičić) and the cumulant recursion formula of Lacoin, Rhodes, and Vargas. As one application, I show how to compute all terms in an expansion of the Lévy area. By reordering the trees in the G-expansion according to the number of leaves, our earlier exponentiation theorem can be recovered. As further applications, I will give model-free expressions for various quantities of interest under stochastic volatility. Finally, I will exhibit explicit computations of diamond trees under rough Heston. 13-Oct-2021 16:00 (CET time) Aula Cremona, Department of Mathematics or Zoom https://unibo.zoom.us/j/91206042957?pwd=d21ybkJQTEtkZHRWd25RLzJOQWV0QT09 Title: Pricing in affine forward variance models Abstract: The class of affine forward variance (AFV) models was defined in Gatheral and Keller-Ressel (2019); this class includes both the conventional Heston model and its celebrated extension, the rough Heston model of El Euch and Rosenbaum. The AFV characteristic function may be expressed in terms of the solution of a Volterra integral equation. I will present a rational approximation to the solution of this integral equation in the special case of the rough Heston model. Until now, simulation of AFV models using the Markovian approximation of Abi Jaber and El Euch has proved relatively complicated and time-consuming, I will present a new efficient and easy-to-implement method for simulating AFV models for general kernels. I will present numerical results using the rational approximation as a benchmark.

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