Random

random@lists.dm.unipi.it

48 participants
5252 discussions

Seminar Prof. Kostas Kardaras on "Portfolio choice under taxation and time constraints", 02/03/2023 at 4:30pm (fwd)
by Tiziano Vargiolu 01 Mar '23

01 Mar '23

****************************** WHEN? Thursday 2 March 2023 at 4:30pm WHERE? Room: 2BC60 - TORRE ARCHIMEDE, via Trieste 63, 35121 Padova (only in presence) WHO? Prof. Kostas Kardaras (LSE London) WHAT? Seminar on "Portfolio choice under taxation and time constraints" Abstract: We consider the problem of choosing an investment strategy that will maximise utility over distributions, under capital gains tax and constraints on the expected liquidation date. We show that the problem can be decomposed in two separate ones. The first involves choosing an optimal target distribution, while the second involves optimally realising this distribution via an investment strategy and stopping time. For the latter step, a variant of the Azema-Yor solution to the Skorokhod embedding problem is utilised, and its description is given very precisely in terms of solutions to algebraic equations.

1 0

Webinar PRISMA lunedì 6 marzo GUBINELLI-CALVIA
by Claudia Ceci 28 Feb '23

28 Feb '23

Buongiorno a tutt* ho il piacere di annunciare il prossimo webinar del ciclo di seminari online promosso dal Gruppo UMI PRISMA (http://www.umi-prisma.polito.it/index.html). *Lunedì 6 marzo 2023, * *ore 16-17 Alessandro Calvia* *Titolo: *Stochastic filtering in a non-Markovian framework with predictable jump times. *Abstract:* Stochastic filtering is a classic branch of applied probability. Research on this subject began with the pioneering works of N. Wiener and R. E. Kalman; since then, it has vastly expanded in numerous directions and is still ongoing. The starting point of a stochastic filtering problem is a partially observed system, i.e., a model consisting of a signal (or unobserved) process and an observed process. The main goal is to compute an equation satisfied by the filter, which is the conditional distribution of the hidden signal given the available observation. To deduce filtering equations, classic models usually feature Markovian signal-observation pairs that may only have totally inaccessible jump times. In this talk I will present a non-Markovian model, with path-dependent coefficients, that also allows for predictable jump times both in the signal and in the observed process. These two features naturally arise in various applications and require some new ideas and non-trivial technical tools to be dealt with in the context of stochastic filtering. After providing some examples, I will deduce the filtering equation and, if time permits, I will discuss some possible future research. This is joint work with Elena Bandini and Katia Colaneri. *ore 17-18 **Massimiliano Gubinelli* *Titolo:* What is stochastic quantisation? *Abstract:* Euclidean quantum fields (EQFs) are probability measures on spaces of generalized functions on R^d out of which one can construct quantum field theories via a well understood procedure. Proving the existence of non-Gaussian Euclidean quantum fields in dimensions d=2,3 has been proved quite challenging, and informed the development of new mathematical techniques (logarithmic Sobolev inequalities, phase-space expansion, cluster and polymer expansions, renormalization group). More recently, also thanks to development in the theory of singular stochastic partial differential equations, the study of these probability measures has been taken on again, from the point of view of stochastic analysis. I will try to give a broad panorama of this stochastic approach, of his results and of the many open problems. As a result I would like to motivate the idea that stochastic quantisation should be seen as a novel kind of stochastic analysis adapted to situations, like EQFs, where stochastic calculus alone is not effective due to singular nature of the objects or the lack of a useful filtration. Qui di seguito il link per la partecipazione: https://teams.microsoft.com/l/meetup-join/19%3ad685b25ed15f4821ac5168e63cf9… Cari saluti, Claudia Ceci *************************************************************************** Claudia Ceci Dipartimento di Metodi e Modelli per l’Economia, il Territorio e la Finanza (MEMOTEF) Università di Roma La Sapienza Via Del Castro Laurenziano 9 Roma 00161 Italy Email: claudia.ceci(a)uniroma1.it

1 0

OWPS Tomorrow: Alan Hammond and Tyler J. Helmuth
by Alberto Chiarini 28 Feb '23

28 Feb '23

Dear all, A reminder that tomorrow (Wednesday), from 15:00 to 17:00 UTC, Alan Hammond and Tyler J. Helmuth will be speaking at the One World Probability Seminar. Titles, abstracts and the zoom link are below the signature and will also be posted on the website https://www.owprobability.org/one-world-probability-seminar. We kindly ask that you share this message within your community. Best wishes, Alberto Chiarini and Adrián González Casanova ----------------------------------------------------------------------------------------------------------- Talk 1 : Alan Hammond (Berkeley) Title : Stake-governed random-turn games Abstract : Many combinatorial games, such as chess, Go and Hex, are zero-sum games in which two players alternate in making moves. In a random turn variant, each player wins the right to move at any given turn according to the flip of a fair coin. In 2007, Peres, Schramm, Sheffield and Wilson [PSSW] found explicit optimal strategies for a broad class of random-turn games, including Hex (which remains unsolved in its alternating-turn form on the 11-by-11 boards in which it is often played in tournaments). In this talk, we discuss stake-governed random-turn games, introduced recently in joint work with Gábor Pete. Two players of Hex are each given a certain limited budget at the outset of the game. At each turn, each stakes some part of what remains of her budget. The ensuing turn is random, with a player winning the right to move according to the proportion that her stake composes of the total stake at the turn. How much should a player stake at any given turn? Opposing pressures compete: stake too little, and lose the turn; too much, and be left with too little for later in the game. So this question concerns how to evaluate the relative strategic importance of intermediate positions in multi-turn games. We answer it for a class of games that are cousins of the random tug-of-war games introduced by PSSW in 2009; these authors forged a connection between game theory and the infinity Laplacian (which is an L^\infty counterpart to the usual L^2 Laplacian), and we will see how, in a discrete context at least, this connection extends to stake-governed random-turn games. Talk 2 : Tyler J. Helmuth (Durham University) Title : The Arboreal Gas Abstract : In Bernoulli bond percolation each edge of a graph is declared open with probability p, and closed otherwise. Typically one asks questions about the geometry of the random subgraph of open edges. The arboreal gas is the probability measure obtained by conditioning on the event that the percolation subgraph is a forest, i.e., contains no cycles. Physically, this is a model for studying the gelation of branched polymers. What are the percolative properties of these random forests? Do they contain giant trees? I will discuss what is known and conjectured. Zoom-link: https://unipd.zoom.us/j/88156851546?pwd=a1NPSkYxRlZoV3dYeERSY3NkV3kvUT09 Meeting ID: 881 5685 1546  Passcode: 718658 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

1 0

Seminar by Riccardo Michielan in Florence
by Gianmarco Bet 28 Feb '23

28 Feb '23

Dear colleagues, Today at 2.30 PM Riccardo Michielan (University of Twente) will present a seminar on "Is there geometry in real networks?” at the University of Florence (Department of Statistics and Computer Science, Viale Morgagni 59, Aula 205). The Seminar will be available also online. Please register here to participate online: https://us02web.zoom.us/webinar/register/WN_O2wv8qTvRBWYKcyZw2qOrQ <https://www.google.com/url?q=https://us02web.zoom.us/webinar/register/WN_O2…> After registering, you will receive a confirmation email containing all information and the link to join the webinar. You are invited to forward the event also to your students, PhDs and colleagues who may be interested in the Seminar (you find a flyer with all the info, including abstract, attached). Kind Regards, Gianmarco Bet ---------------------------------------------------------------------- Gianmarco Bet (he/him) Senior researcher https://gianmarco.bet Phone: (+39) 055 2751491 Department of Mathematics and Informatics "U. Dini" University of Florence Viale Morgagni, 65 50134 Firenze, Italy Office 64 https://unifirenze.webex.com/meet/gianmarco.bet ----------------------------------------------------------------------

1 0

One World dynamics seminar - Friday 10th March
by Ottobre, Michela 27 Feb '23

27 Feb '23

Dear all, the next One World dynamics seminar, devoted to multiscale problems, will take place on Friday 10th of March at 3 pm Berlin time (2 pm London, 9 am Washington DC). Speakers for the next session will be Konstantinos Spiliopoulos (Boston University): Rate of homogenization for fully-coupled McKean-Vlasov SDEs - 3 pm Berlin time Pavlos Zoubouloglou (University of North Carolina): Large Deviations for Small Noise Diffusions Over Long Time - 3:45pm Berlin time Abstracts and joining instructions can be found here https://sites.google.com/view/oneworlddynamics/home All the Best, Michela, on behalf of the organisers of the OWDS -------------------------------------- Michela Ottobre Associate Professor in Mathematics Heriot-Watt University ________________________________ Founded in 1821, Heriot-Watt is a leader in ideas and solutions. With campuses and students across the entire globe we span the world, delivering innovation and educational excellence in business, engineering, design and the physical, social and life sciences. This email is generated from the Heriot-Watt University Group, which includes: 1. Heriot-Watt University, a Scottish charity registered under number SC000278 2. Heriot- Watt Services Limited (Oriam), Scotland's national performance centre for sport. Heriot-Watt Services Limited is a private limited company registered is Scotland with registered number SC271030 and registered office at Research & Enterprise Services Heriot-Watt University, Riccarton, Edinburgh, EH14 4AS. The contents (including any attachments) are confidential. If you are not the intended recipient of this e-mail, any disclosure, copying, distribution or use of its contents is strictly prohibited, and you should please notify the sender immediately and then delete it (including any attachments) from your system.

1 0

Seminario Prof. Yuliya Mishura
by Enrica Pirozzi 24 Feb '23

24 Feb '23

*** AVVISO di SEMINARIO Prof.ssa Yuliya Mishura Department of Probability, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, Kyiv (Ukraine) TITLE Drift parameters estimation in the Cox-Ingersoll-Ross model Abstract We investigate two drift parameter estimators in the CIR and CKLS models with standard Wiener process. Strong consistency and asymptotic normality are established. Il seminario si terrà il giorno 28 Febbraio 2023 ore 13:30 nella Aula D del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. Link to Teams: https://teams.microsoft.com/l/meetup-join/19%3aMQ4RZDBo_0G-K_PHxKtktVYAczOG… *** -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

1 0

Seminar in Statistics - Giovanni Rabitti & Thomas Berrett
by Pierpaolo De Blasi 24 Feb '23

24 Feb '23

SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.carloalberto.org/events/category/seminars/seminars-in-statistic…> Venerdi 3 Marzo 2023, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terranno i seguenti 2 seminari: ------------------------------------------------ Time: 11.00 - 12.00 Speaker: *Giovanni Rabitti* (Heriot Watt University, Edinburgh) Title: *Fantastic sensitivity measures and where to find them* Abstract: Data science and scientific modeling are extensively used to provide predictions for policy-making purposes. However, resulting communications need to be supported by a proper uncertainty quantification to assess variability in model predictions, by the identification of the key-uncertainty drivers. This information can be provided by statisticians with sensitivity analysis methods. Knowing the drivers of uncertainty supports effective policy-making. This talk is a guided tour in sensitivity analysis techniques and some recent results. In the first part of the talk, starting from the basics, local and global methods will be introduced. When the model is large (i.e. with many input variables), screening techniques are typically used to reduce the dimensionality of the scientific model and will be presented in the talk. In the second part of the talk, I will introduce cooperative games techniques to assess variable importance. I will present recent results on the computation on these importance measures, as well as their application to GAM models, to extreme value problems and to two actuarial pricing models. If there is time, I will introduce a game-theoretic interaction index for discovering subjects at higher identification risk. ------------------------------------------------ Time: 12.00 - 13.00 Speaker: *Thomas Berrett* (University of Warwick) Title: *Optimal nonparametric testing of Missing Completely At Random, and its connections to compatibility* Abstract: Given a set of incomplete observations, we study the nonparametric problem of testing whether data are Missing Completely At Random (MCAR). Our first contribution is to characterise precisely the set of alternatives that can be distinguished from the MCAR null hypothesis. This reveals interesting and novel links to the theory of Frechet classes (in particular, compatible distributions) and linear programming, that allow us to propose MCAR tests that are consistent against all detectable alternatives. We define an incompatibility index as a natural measure of ease of detectability, establish its key properties, and show how it can be computed exactly in some cases and bounded in others. Moreover, we prove that our tests can attain the minimax separation rate according to this measure, up to logarithmic factors. Our methodology does not require any complete cases to be effective, and is available in the R package MCARtest. ------------------------------------------------ Sarà possibile seguire entrambi i seminario anche in streaming: Join Zoom Meeting <https://us02web.zoom.us/j/88246009718?pwd=UnVxL2R5RThwQllDbWVnbTdRNGVMUT09> Il seminario è organizzato dalla "de Castro" Statistics Initiative www.carloalberto.org/stats -- Pierpaolo De Blasi University of Torino & Collegio Carlo Alberto carloalberto.org/pdeblasi <https://sites.google.com/a/carloalberto.org/pdeblasi/>

1 0

Seminar by Dr. Piero Mazzarisi.
by Giorgio Rizzini 24 Feb '23

24 Feb '23

Dear all, we are glad to announce the following seminar by Dr. Piero Mazzarisi (University of Siena) on Tuesday, February 28th 2023 starting from 11:00 in room 4026 at the Department of Statistics and Quantitative Methods, University of Milano-Bicocca (Milan). *Realized Random Graphs, with an application to the Interbank Network* *Piero Mazzarisi* Department of Economics and Statistics University of Siena *Abstract:* This work introduces a new econometric methodology to infer dynamic network models driven by latent state variables. The main idea is to obtain a noisy representation of the state variables dynamics by computing a sequence of cross-sectional estimates of the network model at each point in time. The dynamic modeling of these cross-sectional estimates, that we name realized random graphs, transforms the original nonlinear state-space network model into a linear time-series model that can easily be estimated. Under the assumption that the network is dense, and of a mixed-membership blockmodel structure, we show that the model parameters and the unobservable state variables can be estimated at a super-consistent rate of convergence for large cross sections. By allowing for an extremely rich parameterization of the model in high dimensions, the proposed methodology describes the heterogeneous topology of real-world networks. We corroborate our findings by using this novel framework to estimate and forecast the dynamic common factors driving the evolution of the Italian electronic market of interbank deposits. *February 28th, 2023, 11:00 a.m.* *Department of Statistics and Quantitative Methods* Aula Seminari 4026 - Building U7 (Fourth floor*)* *Bicocca degli Arcimboldi street, 8 – 20126 Milan* For further information, please write to *rosanna.grassi(a)unimib.it <rosanna.grassi(a)unimib.it>*

1 0

Associate professorship Mathematical Physics Bologna
by giacomo.depalma＠sns.it 23 Feb '23

23 Feb '23

Dear all, The Department of Mathematics of the University of Bologna has opened an Associate Professor position in Mathematical Physics. IMPORTANT: Applicants should already hold an equivalent position or have the Italian National Scientific Qualification for Associate Professorship in Mathematics. We are looking for top-level researchers in the fields of Classical Mechanics, Quantum Mechanics or Statistical Mechanics. The Mathematical Physics Group is active in the main areas of the discipline and the Department has a wide spectrum of research interests in all the fields of mathematics and has close collaborations with the Departments of Physics, Computer Science, Engineering, Economics etc. The University of Bologna is renowned to be one of the best in Italy. The city of Bologna offers a broad number of cultural activities and a high quality of life. Link to the call: https://bandi.unibo.it/s/apos4/d-r-n-75-del-25-gennaio-2023-bando-per-la-cop ertura-di-posti-di-professore-di-ii-fascia-ai-sensi-dell-art-18-comma-4-dell a-legge-240-2010 Deadline for applications: March 23, 2023 For further information you are welcome to contact me (giacomo.depalma(a)unibo.it <mailto:giacomo.depalma@unibo.it> ), Prof. Emanuela Caliceti (emanuela.caliceti(a)unibo.it <mailto:emanuela.caliceti@unibo.it> ) or Prof. Daniele Tantari (daniele.tantari(a)unibo.it <mailto:daniele.tantari@unibo.it> ). You are welcome to forward this email to potentially interested candidates. Best, Giacomo

1 0

PhD ECOSTATDATA - Call for applications
by Alessia Caponera 23 Feb '23

23 Feb '23

Dear colleagues, We are glad to announce that five fully funded Ph.D. fellowships in STATISTICS are available within the Ph.D. programme ECOSTATDATA at the University of Milano-Bicocca for the 39th cycle. The Ph.D. program extends over four years (Nov 2023 - October 2027) The first public call for applications will be out from March 21 to April 19, 2023, and the final ranking of candidates will be published in May 2023. Please find attached the pdf file with the call for applications. Best regards, Alessia Caponera

1 0

Jump to page:

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

Random