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Mini course in Verona - Luciano Campi: Optimal stopping with applications to finance.
by Luca di persio 04 Apr '17

04 Apr '17

*Mini course announcement* Prof. Luciano Campi [ LSE, London School of Economics, London ] will give a mini course on *Optimal stopping with applications to finance*, according with the following time table: 10th of April (2017) : 1730-1930 - Room M 11th of April (2017) : 1430 -1730 - Room M 12th of April (2017) : 1430-1730 - Room M all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal located here https://goo.gl/maps/Yx2JU *Abstract and structure of the course*Optimal stopping problems are very common in economics and finance (as well as in other fields such as sequential statistics), think for instance of choosing the best time to sell some good (e.g. a house) or to exercise a given option. The aim of this course is explaining in detail the main solution methods and how they can be applied to some concrete examples coming from economics and finance. A good knowledge of probability theory and martingales in discrete time is a very welcomed prerequisite. The list of topics will be: 1. Optimal stopping problem (OSP): motivation and examples. 2. Solution to OSP via Snell envelop and backward induction. 3. Zero-sum stopping games (aka Dynkin games). 4. Applications to finance and economics. *References*: • Neveu, J. (1975). Discrete-parameter martingales (Vol. 10). Elsevier. • Peskir, G., and Shiryaev, A. (2006). Optimal stopping and free-boundary problems (pp. 123-142). Birkhäuser Basel. • Ghemawat, P., and Nalebuff, B. (1985). Exit. The RAND Journal of Economics, 184-194. • Solan, E., and Vieille, N. (2005). Stopping games: recent results. In Advances in Dynamic Games (pp. 235-245). Birkhäuser Boston. ___________ Do not hesitate to contact me for further details: luca.dipersio(a)univr.it LuCa __ 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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Seminario Prof. Fonden Sapienza Roma
by Alessandro Degregorio 03 Apr '17

03 Apr '17

------------------------------------------------------------ ----------------- A v v i s o d i S e m i n a r i o ------------------------------------------------------------ ----------------- Martedì 4 Aprile, ore 14,30 ------------------------------------------------------------ ----------------- Aula 1B1 Dipartimento di Scienze di Base e Applicate per l'Ingegneria (SBAI) "Sapienza" Università di Roma Prof. Mohammud Fonden (University of Glasgow) *Titolo:* Some properties of space-time fractional stochastic partial differential equations *Abstract:* The main point of this talk is to show how the presence of the non-locality affects the behaviour of solutions to the stochastic heat equation. We will look at equations with fractional Laplacian as well as equations with time fractional derivatives. The properties discussed are closely related to the concept of ‘intermittency’ which roughly speaking, means that the solution develop high peaks. Tutti gli interessati sono invitati a partecipare. Cordiali saluti Alessandro De Gregorio

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Due assegni di ricerca biennali nell'area 01
by Federico Polito 03 Apr '17

03 Apr '17

Con preghiera di diffusione a tutti gli interessati. Si segnala l'uscita di un bando per due assegni di ricerca biennali nell'area 01. La ricerca si propone lo studio di nuove problematiche attuali della Matematica, con particolare riferimento a quelle elencate nel progetto scientifico del Dipartimento di Matematica dell'Università di Torino: http://www.dipmatematica.unito.it/do/home.pl/View?doc=dip_prog_scien.html I settori scientifico-disciplinari interessati sono tutti quelli dell'Area 01. Le tematiche di ricerca attive per il SSD MAT/06 sono reperibili al seguente link: http://www.dipmatematica.unito.it/do/gruppi.pl/Show?_id=2oge&tab=2 Le domande di ammissione alla selezione devono essere presentate utilizzando esclusivamente l'apposita procedura online al link https://pica.cineca.it/unito/ dove è anche possibile scaricare il testo completo del bando. La presentazione della domanda di partecipazione dovrà essere perfezionata e conclusa entro le ore 12 (ora di Roma) del 26 Aprile 2017. Un saluto. Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: fpolito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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Avviso seminario di Matematica, Pisa, Dr. Kohei Suzuki (05.04.17)
by Carina Geldhauser 31 Mar '17

31 Mar '17

SEMINARIO DI MATEMATICA *mercoledì 5 aprile 2017* ore 14:00 *Scuola Normale Superiore* Pisa Aula Mancini Kohei Suzuki (Bonn University) Terrà un seminario dal titolo: *“**Convergence of Brownian Motions on Metric Measure Spaces Under Riemannian Curvature-Dimension Conditions**”* *Abstract:* *The goal of this talk is to characterize the weak convergence of Brownian motions in terms of a geometric convergence of the underlying spaces. As main results, we show that the pointed measured Gromov convergence of the underlying spaces implies (or under some condition, is equivalent to) the weak convergence of Brownian motions under Riemannian Curvature-Dimension conditions.* *This talk is based on my recent preprint available at https://arxiv.org/pdf/1703.07234.pdf <https://arxiv.org/pdf/1703.07234.pdf>* Tutti gli interessati sono invitati a partecipare.

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Workshop announcement: Mathematics for Big Data
by Alessandra Micheletti 31 Mar '17

31 Mar '17

*Dates: **May 31- June 1, 2017* *Place: **University of Novi Sad, Serbia* The availability of huge amounts of data is often considered as the fourth industrial revolution we are living right now. The increase in data accumulation allows us to tackle a wide range of social, economic, industrial and scientific challenges. But extracting meaningful knowledge from the available data is not a trivial task and represents a severe challenge for data analysts. Mathematics plays an important role in the existing algorithms for data processing through techniques of statistical learning, signal analysis, distributed optimization, compress sensing etc. The amounts of data that are available and that are going to be available in near future call for significant efforts in mathematics. These efforts are needed to make the data useful. The main challenges we plan to consider within this SIG are, roughly speaking, in the area of mathematical optimization and statistics. The Special Interest Group Mathematics for Big Data <https://sites.google.com/view/mathbigdata/home>, organized under ECMI <https://ecmiindmath.org/> umbrella, aims to bring together major stakeholders in this exciting area. The principal objectives of the workshop are § to gather experts from academia working on Big Data issues § to promote scientific cooperation on up-to-date open challenges in the area § to promote cooperation between academia and industry in the area § to promote joint applications to EU funded programs The workshop will have the usual format of ECMI Special Group workshops. Several distinguished experts will deliver plenary lectures on the state-of-the art topics, followed by a limited number of contributed lectures. Posters sections are also possible. A panel discussion with the representatives of industry will also be organized. A collection of survey papers will be published in Springer book edition "Mathematics in Industry". The plenary speakers confirmed so far: · Hanno Gottschalk, University of Wuppertal · Stefano Iacus, University of Milano · Aleksandra Pizurica, University of Ghent · Joao Xavier, Instituto Superior Tecnico, Lisbon · Branka Vucetic, University of Sydney · Milos Bozic, VAST, USA There is no registration fee for the workshop but the registration is obligatory. If you wish to present a contributed lecture or a poster please send the title and a short abstract together with the registration. Due to the limited number of contributed lectures, the organizers might transfer a contributed presentation to a poster presentation. The workshop is organized by Department of Mathematics and Informatics, Faculty of Science, University of Novi Sad and University of Milano, with support from ECMI, Ministry of Education, Science and Technological Development of Serbia and Secretary for High Education and Science of Vojvodina. *For more details visit* *https://www.dmi.uns.ac.rs/mathbd/index.html* <https://www.dmi.uns.ac.rs/mathbd/index.html> -- ------------------------------------ Alessandra Micheletti Associate Professor - Probability and Mathematical Statistics ADAMSS Centre Università degli Studi di Milano via Saldini 50, 20133 Milano, Italy phone: +39-02503-16130 fax: +39-02503-16090 http://users.mat.unimi.it/users/michel <http://www.mat.unimi.it/users/michel>

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Quantitative Finance at Work
by Davide Erminio Pirino 31 Mar '17

31 Mar '17

Dear all, on April 28, 2017, the Department of Economics and Finance <http://economia.uniroma2.it/en/def/> and the Master of Science in Finance and Banking <http://economia.uniroma2.it/master-science/financeandbanking> of the University of Rome Tor Vergata <http://web.uniroma2.it/home/newlang/english> will host the first edition of Quantitative Finance at Work, a workshop on the practical use of quantitative methods in Finance. Find out more about the program, the venue and the registration form at the event website <https://economicstorvergat.wixsite.com/qfinatwork>. ( https://economicstorvergat.wixsite.com/qfinatwork) Registration *is** free but required to attend to the workshop*. It will be open until the maximum number of participants is reached. The list of the speakers and some information are attached. You may download the flyer of the event here <https://media.wix.com/ugd/3e1e75_71d989d53179437d885d6a0402ab9f7e.pdf>. Looking forward to seeing you in Rome “Tor Vergata”, The organizing committee Stefano Herzel Davide Pirino Rocco Ciciretti Sergio Scarlatti Alessandro Ramponi Speakers Matteo Bissiri Cassa Depositi e Prestiti Damiano Brigo Imperial College London Attilio Meucci Advanced Risk and Portfolio Management® Marcello Minenna Consob Massimo Morini Banca IMI Federico Mosca Arca SGR Pietro Rossi Prometeia Marcello Terraneo UniCredit Group Venue University of Rome Tor Vergata, School of Economics Classroom TL – Building A Via Columbia, 2 – 00133 Rome Date April 28, 2017, 9:30 AM-5:00 PM *Web*: https://economicstorvergat.wixsite.com/qfinatwork

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Seminario ASTON
by Matteo Ruggiero 31 Mar '17

31 Mar '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 7 Aprile 2017 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: John ASTON (University of Cambridge) FUNCTIONS, MANIFOLDS AND STATISTICAL LINGUISTICS Functional Data Analysis concerns the statistical study of curves and surfaces. An extension, Functional Object Data Analysis, looks at the statistical analysis of curves and surfaces which live in restricted spaces, such as on manifolds. One particular example of these are the covariance functions associated with the underlying curves. These positive definite operators can often be of interest in their own right, yet standard functional data models are not appropriate due to the positive definite space they are constrained to lie in. Statistical models for both traditional functional data and separable positive definite models will be discussed, particularly in regards to the modelling of phonetic data. Acoustic phonetic data from different dialects or languages can be associated with both mean and covariance functions, and models used to try to interpolate and extrapolate sounds from one language to another. We will demonstrate that by considering the spaces where these sounds lie, it is possible to turn a speaker from one language to another, and literally listen to our statistical analysis. 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 and Collegio Carlo Alberto www.matteoruggiero.it

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[COURSE] CSAMA 2017: Statistical Data Analysis for Genome Scale Biology
by stefano iacus 30 Mar '17

30 Mar '17

[Apologizes for cross-posting] CSAMA 2017: Statistical Data Analysis for Genome Scale Biology Bressanone-Brixen (IT) June 11-16, 2017 About the Course ================ The one-week intensive course Statistical Data Analysis for Genome-Scale Biology teaches statistical and computational analysis of multi-omics studies in biology and biomedicine. It covers the underlying theory and state of the art (the morning lectures) and practical hands-on exercises based on the R / Bioconductor environment (the afternoon labs). At the end of the course, you should be able to run analysis workflows on your own (multi-)omic data, adapt and combine different tools, and make informed and scientifically sound choices about analysis strategies. The course is intended for researchers who have basic familiarity with the experimental technologies and their applications in biology, and who are interested in making the step from a user of bioinformatics software towards adapting or developing their own analysis workflows. The four practical sessions of the course will require you to follow and modify scripts in the computer language R. Topics ====== * Introduction to R and Bioconductor * The elements of statistics: hypothesis testing, multiple testing, regression, regularization, clustering and classification, parallelization and performance (machine learning), visualisation * RNA-Seq data analysis * Computing with sequences and genomic intervals * Working with annotation – genes, genomic features, variants, transcripts and proteins * Gene set enrichment analysis * Mass spec proteomics and metabolomics * Basis of microbiome analysis * Experimental design, batch effects and confounding * Reproducible research and workflow authoring with R markdown * Package development, version control and developer tools (incl. git, github, RStudio) * Working with large data: performance parallelisation and cloud computing Course Structure ================ The course consists of: * Morning lectures: 20 x 45 minutes: Monday to Friday 8:30 – 12:00 * Practical computer tutorials in the afternoons (13:30 – 16:30) Registration ============ Closes on April 23rd 2016 WebSite of the course ===================== http://www.huber.embl.de/csama2017/ ----------------------------------- Prof. Stefano M. Iacus, Ph.D. Director of MEF - Master in Economics & Finance http://www.mef.unimi.it Co-Founder of VOICES from the Blogs http://www.voices-int.com Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en http://orcid.org/0000-0002-4884-0047 Master in Economics & Finance http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further information at: mef(a)unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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Bando RTDA in Statistica
by stefano iacus 30 Mar '17

30 Mar '17

Il Dipartimento di Economia, Management e Metodi Quantitativi, Università degli Studi di Milano, ha aperto un bando per una posizione di ricercatore a tempo determinato, di tipo A, per il settore 13/D1, Statistica. Il bando completo è reperibile all'indirizzo internet: http://www.unimi.it/ateneo/valcomp/93997.htm I compiti che il ricercatore è chiamato a svolgere sono i seguenti: Tipologia dell’impegno didattico e scientifico: Attività didattica, anche in lingua inglese, coerente con i contenuti del settore SECS-S/01 e dei corsi di laurea triennale, magistrale e dottorale di interesse per il dipartimento. Attività di ricerca coerente con le linee di indagine perseguite nel Dipartimento, con specifico riferimento alla analisi dei dati e alla statistica computazionale. La scadenza per la presentazione delle domande è il 14 aprile 2017. Cordiali saluti Stefano Iacus Pier Alda Ferrari ----------------------------------- Prof. Stefano M. Iacus, Ph.D. Director of MEF - Master in Economics & Finance http://www.mef.unimi.it Co-Founder of VOICES from the Blogs http://www.voices-int.com Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en http://orcid.org/0000-0002-4884-0047 Master in Economics & Finance http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further information at: mef(a)unimi.it Sent from my StrawBerry®

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Fwd: Postdoctoral positions in Buenos Aires
by Faggionato, Alessandra 30 Mar '17

30 Mar '17

---------- Forwarded message ---------- From: Leonardo Rolla <leorolla(a)dm.uba.ar> Date: 2017-03-30 4:08 GMT+02:00 Subject: Postdoctoral positions in Buenos Aires To: Leonardo Rolla <leorolla(a)dm.uba.ar> Dear friends and colleagues, I would much appreciate if you could help me broadcast the announcement below. Apologies in advance for any duplicates. Best regards, Leonardo T. Rolla ---------- Forwarded message ---------- Date: Wed, 29 Mar 2017 16:29:52 -0300 (ART) From: probab(a)dm.uba.ar Subject: Postdoctoral positions in Buenos Aires Applications are invited for post-doctoral positions in Percolation, Particle Systems, and Stochastic Networks. Please feel free to forward this message to other colleagues and potential candidates. The positions last two years and have a monthly stipend of around 19600ARS, to start in April 2018. Candidates should send a complete application to probab(a)dm.uba.ar by June 15, attaching: - CV - Motivation letter - Research statement Two recommendation letters should be sent confidentially to probab(a)dm.uba.ar by June 20. Information on the group activities and projects can be found at http://mate.dm.uba.ar/~probab/ Thank you in advance, Buenos Aires Probability Group -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 2 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Postdoctoral positions in Buenos Aires
by davide gabrielli 30 Mar '17

30 Mar '17

Applications are invited for post-doctoral positions in Percolation, Particle Systems, and Stochastic Networks. Please feel free to forward this message to other colleagues and potential candidates. The positions last two years and have a monthly stipend of around 19600ARS, to start in April 2018. Candidates should send a complete application to probab(a)dm.uba.ar by June 15, attaching: - CV - Motivation letter - Research statement Two recommendation letters should be sent confidentially to probab(a)dm.uba.ar by June 20. Information on the group activities and projects can be found at http://mate.dm.uba.ar/~probab/ Thank you in advance, Buenos Aires Probability Group

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Seminar prof Cerny, LUISS -- change of time
by Sara 30 Mar '17

30 Mar '17

Dear all, I re-post the announcement for your convenience. The seminar will be next Tuesday, but at 2:30 pm in Room 307b. Professor A. Cerny from Cass will be visiting LUISS and on Tuesday April 4, at 2:30 pm in Room 307b -- viale Romania he will give the following seminar: OPTIMAL TRADE EXECUTION UNDER ENDOGENOUS PRESSURE TO LIQUIDATE: THEORY AND NUMERICAL SOLUTIONS We study optimal liquidation of a large trading position in a market with a temporary price impact. We endogenize the pressure to liquidate and hence allow the time horizon of liquidation to be determined endogenously, as part of the optimal strategy. The corresponding HJB equation leads to a severely singular initial value problem whose numerical solution we also study. In contrast to much of the existing literature spreading the liquidation strategy over a longer horizon is not necessarily beneficial to the trader. Joint work with Pavol Brunovský and Ján Komadel, Comenius University Bratislava -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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Postdoc opportunities in Differential Geometry of Statistical Models
by Luigi Malagò 30 Mar '17

30 Mar '17

Cari colleghi, vi scrivo perché mi sono trasferito da 6 mesi in Romania, a Cluj-Napoca al RIST (www.rist.ro/en.html) un istituto privato no profit dove ho ottenuto un grant di 4 anni co-finanziato dall'Europa, per implementare il progetto di ricerca DeepRiemann "Riemannian Optimization Methods for Deep Learning". Ho diverse posizioni aperte per postdoc, e sto cercando giovani in gamba, con background in matematica (geometria differenziale e ottimizzazione Riemanniana), computer science, statistica, etc etc, per creare un gruppo qui a Cluj che si occuperà di Machine Learning e Ottimizzazione www.luigimalago.it/group.html Gli argomenti del progetto includono: *information geometry (differential geometry applied to statistical manifolds) *manifold optimization and second-order Riemannian optimization *machine learning and deep learning (using Riemannian methods) Vi chiederei gentilmente di inoltrare il messaggio a chi secondo voi potrebbe essere interessato ad una delle posizione Gli annunci sono disponibili alla seguente pagina: www.luigimalago.it/postdocs_th.html www.luigimalago.it/postdocs_dl.html <http://luigimalago.it/postdocs_dl.html> grazie mille, Luigi Malagò

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Bando per un posto da ricercatore a tempo determinato
by Massimo Campanino 29 Mar '17

29 Mar '17

E' stato pubblicato un bando per un posto da ricercatore a tempo determinato - Dipartimento di Matematica dell'Università di Bologna - SSD MAT/06 Scadenza presentazione domande: 27/04/2017. Pubblicato sulla Gazzetta Ufficiale 4° serie speciale n. 24 del 28/03/2017 Il bando è consultabile e scaricabile nei seguenti siti: Sito d'Ateneo: http://www.unibo.it/it/ateneo/concorsi-e-selezioni/bandi-ricercatore-a-temp… Sito Miur http://bandi.miur.it/jobs.php/public/cercaJobs Sito Euraxess (portale europeo): (pubblicazione in corso) http://ec.europa.eu/euraxess/

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Fwd: 10th European Summer School in Financial Mathematics - Second Announcement/Extension of Deadline
by Carlo Sgarra 29 Mar '17

29 Mar '17

I'm forwarding this annoucement for people eventually interested. Kind Regards, Carlo Sgarr*a* This is the second announcement for the *10th European Summer School in Financial Mathematics* *"Rough Volatility and Transaction Costs"* which will be held at TU Dresden in Dresden, Germany from August 28 - September 1, 2017. Mini-courses will be given by Jim Gatheral Johannes Muhle-Karbe Mathieu Rosenbaum Walter Schachermayer More detailed information on the summer school and instructions for application can be found at: https://www.math.tu- dresden.de/euroschoolmathfi17 *The application deadline has been extended to April 30, 2017*. Successful applicants will be sponsored for travel (within Europe) and accommodation. Please bring the announcement to the attention of PhD-students and other researchers who may be interested to attend. Martin Keller-Ressel, for the organizing committee: Bruno Bouchard, Stefano De Marco, Martin Keller-Ressel, Mathieu Rosenbaum, Nizar Touzi (Apologies if you have received this email in duplicate)

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annuncio seminario
by Gustavo Posta 28 Mar '17

28 Mar '17

Seminario di probabilità e statistica matematica Aula di Consiglio, Dipartimento di Matematica Guido Castelnuovo Lunedì 3 aprile, ore 16:00 Mauro Piccioni (Università di Roma La Sapienza) terrà una conferenza dal titolo: How it happened (to me) to meet ? Summary: The function ? was defined by Minkowski with the purpose of mapping quadratic irrationals bijectively onto the rationals of (0,1) (in addition, it maps the rationals onto the dyadic rationals). It has remarkable self-similarity properties and it maps (increasingly) the interval [0,1] into itself, with an almost everywhere vanishing derivative. For this reason it has been named the slippery devil’s staircase (to distinguish it from the Cantor set distribution function, which, not being strictly increasing, is not slippery!). In the talk we will obtain it as the equilibrium law of a random walk on the homogeneous space (H,PSL_2(Z)) where H is the upper half-plane in the complex plane and PSL_2(Z) is the modular group. The random walk walk drifts towards the real line with a limit in law X whose image under the function |x|v|x|^{-1} has distribution function ?. In proving this, the characterization of a ?-distributed random variable Y in term of its continued fraction expansion is also obtained. This is a joint work with Gerard Letac. Tutti gli interessati sono invitati a partecipare. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it ---------------------------------------------------------------- Gustavo Posta Dipartimento di Matematica Università di Roma "la Sapienza" P.le A. Moro 2, 00185 Roma Italy web: http://www1.mat.uniroma1.it/~posta e-mail: gustavo.posta(a)uniroma1.it phone: +39-06-4991-4969 ------------------------------------------------------------------

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PhD course by Costantinos Kardaras (LSE) in Padova
by Giorgia Callegaro 28 Mar '17

28 Mar '17

Dear all, this is to invite you to the PhD course which will be given next week by Costantinos Kardaras (LSE) at the Mathematics Department of the University of Padova. All the details follow: *Title*: *Growth optimality and recent applications to probability* *Timetable*: - April 3rd, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 4th, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 5th, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 6th, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 7th, 2017, 16:00 - 17:30 Torre Archimede, Room 2BC/30 *Course requirements*: Probability and Stochastic Calculus *SSD*: MAT/06 and SECS-S/06 *Aim*: This course aims at providing an overview on recent developments in the Mathematical Finance research field, having as a central idea in mind the role of the growth optimal portfolio. Course contents: These lectures will touch upon recent developments in the applied probability, and more precisely mathematical finance. The vessel that is used to connect different topics is that of growth optimality, a notion that has proved extremely fruitful. A representative collection of what will be covered are applications in arbitrage theory, constrained optimisation, filtration enlargement, and semimartingale theory. Other areas of application, such as economics, robust optimisation, and even functional analysis, will be also discussed (if time permits). Thanks and have a nice day, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Cladag2017 - deadline 31 March for paper submission
by Francesca Greselin 27 Mar '17

27 Mar '17

The list of Invited Sessions for the Cladag2017 International Conference <http://www.cladag2017.unimib.it/>, including three exciting Keynote Talks, given by Antony Davison, J. Sunil Rao and Roberto Rocci, are currently available. Researchers interested in *classification, clustering, data analysis, multivariate analysis, computational statistics and their applications *are invited to participate. The conference will take place at the University of Milano-Bicocca in Milan, from 13-15 September. Invited sessions will include: Statistical models for complex extremes Classified Mixed Model Prediction New methods for clustering ordinal data Classification models in economics and business Advances in Classification and Clustering of Complex Data Network Analysis with applications on biological, financial and social networks Advances in Functional data analysis Heterogeneity and new statistical models Advances in Ordinal and Preference Data Advances in Biostatistics Innovative applications of multidimensional scaling and related techniques Latent class analysis Classification and Visualization Advances in Credit Risk Modeling Robust Clustering Designing clinical trials Big data and Design of Experiments Submissions for contributed, as well as invited talks, are currently open <http://www.cladag2017.unimib.it/registration-and-submission/submission/>, with a deadline of *31 March*. Talks can be one any topic related to statistics, data classification and the analysis of data. Submissions for posters are also welcomed. Registration for the conference is open <http://www.cladag2017.unimib.it/registration-and-submission/registration/>, with early booking discounts available until *30 May*. Francesca Greselin Chair of the Organizing Committee

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Seminar announcement, prof A. Cerny - LUISS G. Carli Roma
by Sara 27 Mar '17

27 Mar '17

Dear all, Professor A. Cerny from Cass will be visiting LUISS and on Tuesday April 4, at 12 in Room A410 -- viale Romania he will give the following seminar: *Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions* We study optimal liquidation of a large trading position in a market with a temporary price impact. We endogenize the pressure to liquidate and hence allow the time horizon of liquidation to be determined endogenously, as part of the optimal strategy. The corresponding HJB equation leads to a severely singular initial value problem whose numerical solution we also study. In contrast to much of the existing literature spreading the liquidation strategy over a longer horizon is not necessarily beneficial to the trader. Joint work with Pavol Brunovský and Ján Komadel, Comenius University Bratislava -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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Seminario a Firenze 28/3: Statistical inference of supOU and mixed moving average processes, Imma Curato
by Cecilia Mancini 27 Mar '17

27 Mar '17

Nell'ambito del ciclo di seminari del Dipartimento di Scienze per l'Economia e l'Impresa (DISEI) dell'Universita' di Firenze Martedì 28 Marzo 2017 (Edificio D6/Aula Bracco) ore 14.00 Imma Curato (Ulm University) terrà un seminario dal titolo: "Statistical inference of supOU and mixed moving average processes" ----- Tutti gli interessati sono cordialmente invitati a partecipare. La lista dei seminari Disei è raggiungibile al seguente indirizzo: http://www.disei.unifi.it/vp-104-seminari.html

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PhD in Economics, Ca' Foscari University of Venice - Call for application 2017-18
by Antonella Basso 22 Mar '17

22 Mar '17

Dear Colleague, I would be grateful if you could bring to the attention of your best students the new edition 2017-2018 of the PhD Program in Economics offered by the Ca' Foscari University of Venice. The PhD Program in Economics aims at training selected students for a career as economists in academic institutions or in research departments of national and international organizations, public institutions, private corporations, central banks, financial institutions. Here <http://www.unive.it/pag/fileadmin/user_upload/scuole/graduate/documenti/201…> you can find the first placement of last years' PhDs. The considerable diversification of research areas covered by the members of Department of Economics and their international reputation provide an excellent environment where students of most fields in economics can find research ideas and tight guidance for their doctoral studies. The PhD program has a duration of _four years.__ ___ For the academic year 2017-2018, 5 positions are available, all of them come with a scholarship (around 13,700 € per year). Deadline for application is *April 27th* 2017, 13h00 (Italian time). Information and application procedure can be found at http://www.unive.it/phdapplication <http://www.unive.it/phdapplication> Information on the PhD in Economics can be found at http://www.unive.it/phdeconomics <http://www.unive.it/phdeconomics> Any questions on the program may be addressed to sse(a)unive.it <mailto:sse@unive.it> I also attach to this email a flyer I would be grateful if you could print and post in your department. Finally, two ExSIDE doctoral position based in Venice are still open. ExSIDE is an innovative training program that will give successful applicants a double/joint PhD degree from two universities. Project n. 2 deals with experimental economics in broad sense; project n. 15 will develop agent-based models of tax evasion. Further details can be found at http://exside-itn.eu/ . Successful candidates will get a generous scholarship (the gross monthly wage is above 3000€). Thank you for your cooperation Best regards Antonella Basso -- Antonella Basso Prorettore alla Programmazione e Valutazione - Prorector at Planning and Valuation Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 E-mail address: basso(a)unive.it Web page: http://www.unive.it/data/persone/5591751

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Politecnico di Milano - Seminario Eva Fiserova e Karel Hron
by Laura M. Sangalli 21 Mar '17

21 Mar '17

Si avvisa che in data 06-04-2017, alle ore 14:00 precise, presso l'Aula Seminari "F. Saleri" VI piano - Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgerà il seguente seminario: Relatori: Eva Fiserova e Karel Hron, Palacky University, Olomouc, Czech Republic Titolo: Regression analysis for compositional data from perspective of the logratio approach Sommario: Regression analysis is an important tool for analysing the relationships between the response variable and known explanatory variables. When the response variables or explanatory variables are compositional, i.e. multivariate observations carrying only relative information (proportions, percentages), a special treatment in regression is necessary. Compositional data are characterized by the simplex sample space with the Aitchison geometry that forms the Euclidean structure. Proper statistical methodology for this kind of observations is the logratio methodology that enables to express the data isometrically in the real Euclidean space where it is possible to apply standard statistical tools (Aitchison, 1986; Pawlowsky-Glahn et al., 2015). The lecture is focused on three main regression tasks, where compositional data are involved: either regression with a compositional response variable, or regression with compositional explanatory variables, or regression between parts of a composition. The main methodological approach for dealing with compositional regression is based on orthonormal logratio coordinates. Although regression models in orthonormal logratio coordinates are theoretically well justified, both the normalizing constants to reach orthonormality and the natural logarithm itself result in quite a complex interpretation of the regression parameters. In the lecture, we will present new orthogonal logratio coordinates (Muller et al., 2017) in order to achieve better interpretability of regression parameters while preserving all important features of regression models for compositional data. Theoretical results will be applied to real-world examples. Docente di riferimento: Alessandra Menafoglio, alessandra.menafoglio(a)polimi.it Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Laura Sangalli -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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Seminar by Matteo Basei in Padova
by Giorgia Callegaro 20 Mar '17

20 Mar '17

Dear all, this is to announce a seminar which will be given by Matteo Basei (Université Paris VII) at the Mathematics Department of the University of Padova. The title and all the details follow: *Title* : *Coordination of centralized and distributed generation: a linear-quadratic McKean-Vlasov control problem* *Date and time*: 29 March 2017 at 13 *Room*: 2 BC 30 See you soon, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Annuncio di seminario
by Piccioni, Mauro 20 Mar '17

20 Mar '17

Seminario di probabilità e statistica matematica Lunedì 27 marzo, ore 16:00 Aula di Consiglio del Dipartimento di Matematica “Guido Castelnuovo” Sapienza Università di Roma MASSIMO CAMPANINO (Dipartimento di Matematica, Università di Bologna) Recurrcnce properties for random walks on a two-dimensional random graph. In [1] a random walk on a bi-dimensional random graph was studied. This model had been previously introduced in the physical literature. and studied numerically. It is established in [1] that, in contrast with the corresponding periodic graph, this random walk is transient with probability one with respect to the random environment. Subsequently several papers appeared on related models ([3], [4] [5] [6]). The results of [1] have been used in [7] to study a model of corner percolation on Z2. In [2] transience was obtained on a more general random environment and a transition from recurrence to transience has been proved to occur. At the moment work is going on in collaboration with G. Bosi to study the problem on a honeycomb random graph. [1] M. Campanino, D. Petritis. Random walks on randomly oriented lattices. Markov Process. Relat. Fields 9, 391-412 (2003). [2] M. Campanino, D. Petritis. Type transition of simple random walks on randomly directed regular lattices, J. Appl. Prob. 51, 1065-1080 (2014). [3] B. De Loynes. Marche aleatoire sur un di-graphe et frontière de Martin. C. R. Acad. Sci. Paris 350, 87-90 (2012). [4] A. Devuldier, F. Pene. Random walk in random environment in a two-dimensional stratified medium with orientation. Electron. J. Prob. 18, no. 18 (2013). [5] Guillotin-Plantard, A, Le Ny. A functional limit theorem for a 2D-random walk with dependent marginals. Electron. Commun. Prob. 13, 337-351 (2008). [6] Guillotin-Plantard, A, Le Ny. Transient random walks on 2D-oriented lattice. Theory Prob. Appl. 52, 699-711 (2008). [7] G. Pete. Corner percolation on Z2 and the square root of 17. Ann. Prob. 36, 1711-1747 (2008). Tutti gli interessati sono invitati ad intervenire. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Applied Bayesian Statistics School - Como- June 19-23, 2017
by Consonni Guido 19 Mar '17

19 Mar '17

We would like to remind you that April, 1st is the deadline for early registration to ABS17 - ABS (Applied Bayesian Statistics) Summer school on MODELING SPATIAL AND SPATIO-TEMPORAL DATA WITH ENVIRONMENTAL APPLICATIONS Villa del Grumello, Como, Italy --- 19-23 June 2017 www.mi.imati.cnr.it/conferences/abs17/home.htm There are many reasons to attend the school. We just mention three of them: 1) The 2017 lecturer is Prof. Bruno Sanso' (University of California at Santa Cruz, USA), an outstanding scholar in Bayesian analysis and modeling with special reference to time series and spatial data. He is the current Editor-in-Chief of Bayesian Analysis, the official ISBA (International Society for Bayesian Analysis) journal, former Member of the Executive Board of TIES (The International Environmetrics Society), former Chair of the ASA (American Statistical Association) Advisory Committee for Climate Change and former Chair of the ISBA Section on Environmental Sciences. 2) The ABS school has a solid reputation in organizing short intensive courses on topics of broad interest. It has been running every year since 2004 with leading researchers presenting state-of-the-art Bayesian methods for applications, combining theoretical lectures and practical sessions, and fostering intereaction among participants in a very stimulating environment. 3) Last but not least, the school will be held in Villa del Grumello, a magnificent villa facing Lake Como, a renowned Italian tourist attraction. Best regards Raffaele Argiento, Guido Consonni and Fabrizio Ruggeri Dipartimento di Scienze Statistiche Università Cattolica del Sacro Cuore Largo Gemelli, 1 20123 Milano; ITALY Ph: +39 02 7234 3049 https://sites.google.com/site/consonnibayes/home Master in Data Science for Management master.unicatt.it/datascience

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Avviso di seminario :: Rue@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 17 Mar '17

17 Mar '17

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 23 Marzo, ore 11:00am ----------------------------------------------------------------------------- Aula III (terzo piano) Dipartimento di Scienze Statistiche Sapienza Università di Roma HÅVARD RUE (KAUST, http://www.r-inla.org/) terrà un seminario dal titolo PENALISING MODEL COMPONENT COMPLEXITY: A PRINCIPLED PRACTICAL APPROACH TO CONSTRUCTING PRIORS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Saluti Pierpaolo Brutti --- ABSTRACT Setting prior distributions on model parameters is the act of characterising the nature of our uncertainty and has proven a critical issue in applied Bayesian statistics. Although the prior distribution should ideally encode the users’ uncertainty about the parameters, this level of knowledge transfer seems to be unattainable in practice and applied statisticians are forced to search for a “default” prior. Despite the development of objective priors, which are only available explicitly for a small number of highly restricted model classes, the applied statistician has few practical guidelines to follow when choosing the priors. An easy way out of this dilemma is to re-use prior choices of others, with an appropriate reference. In this talk, I will introduce a new concept for constructing prior distributions. We exploit the natural nested structure inherent to many model components, which defines the model component to be a flexible extension of a base model. Proper priors are defined to penalise the complexity induced by deviating from the simpler base model and are formulated after the input of a user-defined scaling parameter for that model component, both in the univariate and the multivariate case. These priors are invariant to reparameterisations, have a natural connection to Jeffreys’ priors, are designed to support Occam’s razor and seem to have excellent robustness properties, all which are highly desirable and allow us to use this approach to define default prior distributions. Through examples and theoretical results, we demonstrate the appropriateness of this approach and how it can be applied in various situations, like random effect models, spline smoothing, disease mapping, Cox proportional hazard models with time-varying frailty, spatial Gaussian fields and multivariate probit models, etc. Further, we show how to control the overall variance arising from many model components in hierarchical models. This is joint work with a lot of people related to the R-INLA project, and is still work in progress.

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Workshop in Robust Finance, 26-28 April 2017 in Zurich
by Matteo Burzoni 16 Mar '17

16 Mar '17

Dear Colleagues, on behalf of the organising committee it is a pleasure to announce that the workshop "Young Researchers in Robust Mathematical Finance" will take place in Zürich on 26-28 April 2017. The keynote speakers are: Beatrice Acciaio (London School of Economics) Francesca Biagini (LMU München) Rama Cont (Imperial College London and CNRS) Alex Cox (University of Bath) Yan Dolinsky (Hebrew University of Jerusalem) Additionally, 14 young researchers working on topics related to robust, model-independent or pathwise mathematical finance will give 30 minute presentations. The workshop will start at 9 a.m. on the 26th and finish around 2 p.m. on the 28th with a plenary discussion involving all the keynote speakers and some professors from ETH. You can find more detailed information on the website of the workshop: https://people.math.ethz.ch/~prodavi/workshop.html. The registration is free of charge, for organizational purposes we kindly ask you to send an email to david.proemel(a)math.ethz.ch no later than 8th of April if you wish to participate. Poster presentations are welcome and encouraged. If you wish to present a poster, please send us title and abstract in your registration email. We look forward to welcoming you in Zürich. Best regards, Matteo Burzoni (ETH Zürich) Ariel Neufeld (ETH Zürich) David Prömel (ETH Zürich) Candia Riga (University of Zürich)

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post-doc positions at Scuola Normale, Pisa
by Davide Erminio Pirino 16 Mar '17

16 Mar '17

Dear all, the Scuola Normale Superiore <http://en.sns.it/> (SNS) has opened two new post-doctoral positions (assegno di ricerca) financed under the SIR program "A New Measure of Liquidity" <https://davidepirino7.wixsite.com/davidepirino/projects> and the SNS <http://normalenews.sns.it/nasce-il-dynamics-and-information-research-instit…> -UniCredit <https://www.unicreditgroup.eu/it/press-media/press-releases/2014/nasce-il--…> collaboration "Dynamics and Information Research Institute". Please follow this link <http://en.sns.it/bando/research-contract-named-%E2%80%9Ctopological-time-se…> to apply for the position "Topological Time Series Analysis" and this link <http://en.sns.it/bando/research-contract-named-%E2%80%9Cmeasures-illiquidit…> to apply for the position "Measures of illiquidity in financial markets using infill asymptotics". The deadline is *April, 3, 2017*. Regards, Davide.

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Invitation to upcoming PhD course
by Daniele Marazzina 15 Mar '17

15 Mar '17

Con preghiera di diffusione To Whom It May Concern >>>>>> Upcoming PhD Course <<<<<<<<<<<<<<<<<<<<<<<<<<<< Giorgia Callegaro (Università degli Studi di Padova) Lucio Fiorin (Università degli Studi di Padova) Daniele Marazzina (Politecnico di Milano) Option Pricing: from Monte Carlo Methods to Quantization The PhD Course (5 CFU) will take place in the Seminar Room of the Third Floor of the Department of Mathematics, Politecnico di Milano, in via Bonardi, 9, Milano, according to the following calendar: > May, 8th: 11am-1pm and 2pm-6pm > May, 9th: 9am-1pm and 2pm-4pm > May, 15th: 11am-1pm and 2pm-6pm > May, 16th: 9am-1pm and 2pm-4pm > May, 17th: 10am-12pm and 1pm-3pm For further details, please contact Daniele Marazzina daniele.marazzina(a)polimi.it Giorgia Callegaro gcallega(a)math.unipd.it >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> Abstract: Monte Carlo methods are extensively used in finance to value and analyze complex instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value. The advantage of Monte Carlo methods over other techniques increases as the dimensions (sources of uncertainty) of the problem increase. However, it is well known that the disadvantage of Monte carlo methods is the slow convergence, and thus the high computational cost of the algorithms. Quantization is a way to approximate a random vector or a stochastic process using a nearest neighbour projection on a finite codebook. The birth of quantization dates back to the 1950s, when in the Bell laboratories ad hoc signal discretization procedures were developed for signal transmission. In the last years, Quantization has been deeply considered in numerical probability, especially for solving problems arising in mathematical finance, presenting itself as a de facto alternative to Monte Carlo methods. The purpose of the course is to highlight the characteristics of the two methodologies and to deeply analyze (and implement) their applications in financial context, mainly option pricing.

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UiO - PhD and PostDoc in stochastic analysis available
by Giulia Di Nunno 14 Mar '17

14 Mar '17

Dear Colleagues, this is to bring to your attention the available calls for 2 PhD positions and 1 PostDoc at the Department of Mathematics, University of Oslo. The descriptions are a little different from each other and can interest various candidates. https://www.jobbnorge.no/ledige-stillinger/stilling/135500/phd-research-fel… https://www.jobbnorge.no/ledige-stillinger/stilling/135491/phd-research-fel… https://www.jobbnorge.no/ledige-stillinger/stilling/134569/postdoctoral-res… Please help to distribute the information among your students and contacts. Thank you in advance for your help. Best regards, Giulia -- Giulia Di Nunno Professor Department of Mathematics University of Oslo http://folk.uio.no/giulian/

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PHD Lectures on Stochastic Processes - Prof. Youri Davydov
by Francesca Greselin 14 Mar '17

14 Mar '17

Nelle due prossime settimane, nelle giornate di martedì 21 -venerdì 24, e lunedi 27- giovedì 30 marzo, dalle 9.00 alle 12.00 si terrà un corso di Processi Stocastici, per il Dottorato in Statistica e Matematica per la Finanza, presso l'Università di Milano Bicocca. Le lezioni saranno tenute (in inglese) dal prof. Youri Davydov, del Laboratoire Painlevé, dell'Université Lille 1. La partecipazione al corso è aperta agli interessati, cui è chiesto solo di inviare una mail alla dott.ssa Nicoletta Alghisi, ( nicoletta.alghisi(a)unimib.it) per ragioni organizzative. (di seguito un breve sillabo del corso e bibliografia) PHD Lectures on Stochastic Processes Prof. Youri Davydov Laboratoire Painlevé - Université Lille 1 Syllabus • Definitions and general notions • Examples • Processes with independent increments • Stationary processes • Gaussian processes • Martingales. References 1. Gikhman, I. I., & Skorokhod, A. V. (1969). Introduction to the theory of random processes. Philadelphia: WB Saunders. 2. Lamperti, J. (2012). Stochastic processes: a survey of the mathematical theory (Vol. 23). Springer Science & Business Media. 3. Resnick, S. I. (1992). Adventures in Stochastic Processes, Birkhauser, Boston. -- Francesca Greselin Department of Statistics and Quantitative Methods University of Milano Bicocca Tel +39 02 6448 3118 Fax +39 02 6448 3105 *www.economia.unimib.it/ <http://www.economia.unimib.it/>GRESELIN* google scholar <http://scholar.google.com/citations?user=xOOTbBAAAAAJ&hl=en> researchgate <https://www.researchgate.net/profile/Francesca_Greselin> *Skype: francesca.greseli <francesca.greselin(a)unimib.it>n*

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Avviso di Seminario del Prof. Claudio Macci
by Enrica Pirozzi 14 Mar '17

14 Mar '17

AVVISO di SEMINARIO Asymptotic results for runs and empirical cumulative entropies Prof. Claudio Macci Dipartimento di Matematica Università di Roma Tor Vergata Abstract: We prove large and moderate deviations for two sequences of estimators based on the order statistics and, more precisely, on spacings. In the first case we deal with runs, and we have sums of independent Bernoulli distributed random variables. In the second case we deal with empirical cumulative entropies, and we have linear combinations of independent exponentially distributed random variables. Joint work with Rita Giuliano and Barbara Pacchiarotti. Il seminario si terrà il giorno 16 Marzo 2017 ore 15:00 nella Sala Professori secondo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. -- 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

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Seminario di Probabilità - Padova
by Paolo Dai Pra 13 Mar '17

13 Mar '17

Ho il piacere di invitarvi al seguente seminario, che si terrà Lunedì 20 Marzo, alle 14:15, in aula 1BC45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Francesca Nardi AFFILIATION: Università di Firenze TITLE: Hitting Time Asymptotics for Hard-Core Interactions on Grids ABSTRACT: We consider the hard-core model with Metropolis transition probabilities on finite grid graphs and investigate the asymptotic behavior of the first hitting time between its two maximum-occupancy configurations in the low-temperature regime. In particular, we show how the order-of-magnitude of this first hitting time depends on the grid sizes and on the boundary conditions by means of a novel combinatorial method. Our analysis also proves the asymptotic exponentiality of the scaled hitting time and yields the mixing time of the process in the low-temperature limit as side-result. In order to derive these results, we extended the model-independent framework in Manzo et al. (J Stat Phys 115(1/2):591–642, 2004) for first hitting times to allow for a more general initial state and target subset. Work in collaboration with A. Zocca S. C. Borst Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Seminario DE IORIO
by Matteo Ruggiero 10 Mar '17

10 Mar '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 17 Marzo 2017 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Maria DE IORIO (University College London) DEPENDENT GENERALISED DIRICHLET PROCESS PRIORS We propose a novel Bayesian nonparametric process prior for modelling a collections of random discrete distributions. This process is defined by combining a Generalised Dirichlet Process with a suitable Beta regression framework that introduces dependence among the discrete random distributions. This strategy allows for covariate dependent clustering of the observations. Some advantages of the proposed approach include wide applicability, ease of interpretation and efficient MCMC algorithms. The methodology is illustrated through two real data applications involving acute lymphoblastic leukaemia and London primary schools quality evaluations. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats <http://www.carloalberto.org/stats>) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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seminari Bernard e Vanduffel in Bicocca
by Fabio Bellini 10 Mar '17

10 Mar '17

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(senza oggetto)
by Piccioni, Mauro 09 Mar '17

09 Mar '17

Lunedì 13 marzo Ore 16:00, Aula di Consiglio, Dipartimento di Matematica, Università Roma La Sapienza Seminario di probabilità e statistica matematica Yosi Rinott, The Hebrew University and LUISS. Title: Differential Privacy applied to common methods of dissemination of frequency tables. When official data are to be disseminated to the public, the agency that releases the data must guarantee the privacy of individuals whose data are to be released. It is not clear how to define and measure privacy. I will explain a notion developed in computer science known as Differential Privacy, and my work (with others) on issues that arise in applying it to the dissemination of frequency tables. Tutti gli interessati sono invitati ad intervenire. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Reminder - Seminario CARLO SGARRA @ UniTo
by Federico Polito 07 Mar '17

07 Mar '17

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* *::..Reminder..::* Mercoledì 15 Marzo 2017 alle ore 11:30 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. CARLO SGARRA (Politecnico di Milano) terrà un seminario dal titolo A BRANCHING PROCESS-BASED APPROACH TO POWER MARKETS (The talk will be mainly based on a joint paper with Y. Jiao, C. Ma and S. Scotti). Abstract: Energy markets, and in particular, electricity markets, exhibit very peculiar features. The historical series of both futures and spot prices include seasonality, mean-reversion, spikes and small fluctuations. Very often a stochastic volatility dynamics is postulated in order to explain their high degree of variability. After the pioneering paper by Schwartz, where an Ornstein-Uhlenbeck dynamics is assumed to describe the spot price behavior, several different approaches have been investigated in order to describe the price evolution. High frequency trading, on the other hand, introduced some new features in commodity prices dynamics: in a recent paper by V. Filimonov, D. Bicchetti, N. Maystre and D. Sornette evidence is shown of endogeneity and structural regime shift, and in order to quantify this level the branching ratio is adopted as a measure of this endogenous impact and a Hawkes processes dynamics is assumed as a reasonable modelling framework taking into account the self-exciting properties. The purpose of the present investigation is to propose a new modeling framework including all the above mentioned features, still keeping a high level of tractability. The model considered allows to obtain the most common derivatives prices in closed or semi-closed form. Here with semi-closed we mean that the Laplace transform of the derivative price admits an explicit expression. The models we are going to introduce can describe the prices dynamics in two different forms, that can be proved to be equivalent: the first is a representation based on random fields, the second is based on Continuous Branching Processes with Immigration (CBI in the following). Tutti gli interessati sono invitati a partecipare. Un saluto, -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: fpolito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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PhD course in GeoStatistics
by Laura M. Sangalli 07 Mar '17

07 Mar '17

The following PhD course in Geostatistics will be held at the Department of Mathematics, Politecnico di Milano The course covers classical and advanced models and methods for the statistical analysis of data with spatial dependence. Lectures include tutorial sessions with the software R. Many case studies will be presented, with applications in the earth-sciences, in the neurosciences and more generally in the life-sciences (including medical imaging), and in the engineering. Lessons: 1 & 2) Kriging: stationary and isotropic random fields; structural properties of the variogram; valid variogram models; variogram estimation; kriging prediction for georeferenced data; drift estimation; kriging for data in Hilbert spaces. Lecturer: A. Menafoglio. 3) Non-parametric techniques. Lecturer: Simone Vantini. 4) Bayesian models for georeferenced data and areal data. Lecturer: A. Guglielmi. 5) Numerical methods for the analysis of spatially distributed data: thin-plate splines; tensor product splines. Lecturer: L. Sangalli. 6) Spatial regression with differential regularization. Lecturer: L. Sangalli. Essential bibliography: - N. Cressie. Statistics for Spatial data. John Wiley & Sons, New York, 1993. - S. Banerjee, B. P. Carlin, and A. E. Gelfand. Hierarchical Modeling and Analysis for Spatial Data. Chapman & Hall / CRC, 2004. - R. Bivand, E. Pebesma, V. Gomez-Rubio. Applied Spatial Data Analysis with R. Springer, 2008 Calendar: Tuesday 7/3, 14:30-17:30, aula del Consiglio, seventh floor; Kriging; Lecturer: Alessandra Menafoglio Thursday 9/3, 10:00-13:00, aula Seminari, sixth floor; Kriging; Lecturer: Alessandra Menafoglio Tuesday 21/3, 14:30-17:30, aula Seminari, sixth floor; Non-parametric techniques; Lecturer: Simone Vantini Thursday 23/3, 14:30-17:30, aula Seminari, sixth floor; Bayesian models for georeferenced data and areal data; Lecturer: Alessandra Guglielmi Tuesday 28/3, 14:30-17:30, aula Seminari, sixth floor; Numerical methods for the analysis of spatially distributed data; Lecturer: Laura Sangalli Thursday 30/3, 14:30-17:30, aula Seminari, sixth floor; Spatial regression with differential regularization; Lecturer: Laura Sangalli People interested to attend are kindly requested to write an email to laura.sangalli(a)polimi.it -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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de Finetti risk seminar - March 2017
by Emanuela Rosazza 06 Mar '17

06 Mar '17

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture TITLE: Duality formulas for robust pricing and hedging in discrete time Patrick Cheridito ETH Zurich ABSTRACT: In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating the shortfall risk completely, aim to reduce it to an acceptable level. This yields robust price bounds with tighter spreads. As applications we study strict super- and subhedging with general convex transaction costs and trading constraints as well as risk based hedging with respect to robust versions of the average value at risk and entropic risk measure. Our approach is based on representation results for increasing convex functionals and allows for general financial market structures. As a side result it yields a robust version of the fundamental theorem of asset pricing. Joint work with Michael Kupper and Ludovic Tangpi. LOCATION: The seminar will be held on Wednesday, March 15, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *****************************************************

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Fwd: Bocconi Summer School in Statistics & Probability, 10-22 July 2017
by Pietro Muliere 06 Mar '17

06 Mar '17

Oggetto: [Forum SIS] Bocconi Summer School in Statistics & Probability, 10-22 July 2017 --> CALL FOR APPLICATIONS Bocconi Summer School in Advanced Statistics and Probability: "Statistical Causal Learning", July 10-22, 2017 http://spas.lakecomoschool.org We are pleased to announce the "Bocconi Summer School in Advanced Statistics and Probability", organized and sponsored by Bocconi University, Milano, in collaboration with the Lake Como School of Advanced Studies. The aim of the Bocconi Summer School is to establish a track of high level courses on advanced and cutting-edge topics in Statistics and Probability and related areas. The school is open to all interested scholars, but is especially addressed to doctoral students, and possibly to brilliant MSc graduates interested in pursuing doctoral studies in Statistics, Probability, Computer Science, Applied Mathematics, Operation Research and related fields. The School is hosted yearly at Villa del Grumello, on the shores of the Lake of Como, usually in July. The 2017 edition, on "STATISTICAL CAUSAL LEARNING", will take place on 10-22 July, 2017. INSTRUCTORS: * Bernhard Schölkopf (Empirical Inference Department Director, Max Planck Institute for Intelligent Systems, Tubingen); * Ilya Tolstikhin (Research Scientist, Max Plank Institute for Intelligent Systems, Tubingen); * David Lopez-Paz (Researcher at Facebook AI Research, Paris). APPLICATIONS: The School will be open to 30 qualified and selected students. Applications can be submitted BY APRIL 7, 2017, through the form: http://spas.lakecomoschool.org/application-form/ REGISTRATION and FEES. Admitted participants should register by May 7, 2017. The registration fee (450 euro) covers all the school activities and course material; wi-fi connections; all work-days lunches in the beautiful park of Villa del Grumello and accommodation in the Guest House of the Villa and in other facilities in the immediate surroundings for the 2 weeks (July 9 – July 22, 2017). For any further information, please visit the website http://spas.lakecomoschool.org or contact BBS.statistics(a)unibocconi.it

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seminario Università Bicocca
by daniela.bertacchi 06 Mar '17

06 Mar '17

ANNUNCIO DI SEMINARIO Il giorno 13/3/2017 alle ore 15 esatte, in aula 3014 presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, il professor Rafael De Mattos Grisi (Universidade Federal do ABC -Brasile) terrà un seminario dal titolo A view on maximal spacings in several dimensions tutti gli interessati sono invitati a partecipare. Abstract: Let K be a compact subset of R^d and N a Poisson process on K. The maximal spacing of N on K is defined as the radius of the largest open ball in K, avoiding the points of N. Considering N homogenized with intensity t, Jason('87) studied the behaviour of the maximal spacing of N as t goes to infinity. In 1983, Deheuvels studied the asymptotic behaviour of the k-th maximal spacing considering K a hypercube and measuring the spaces also using hypercubes. More recently Fraiman et.al.('15) studied the non-homogeneous case. In this ongoing work, we try to generalize Jason's results, studying the behaviour of k-th maximal spacing for the homogeneous process. This is a joint work with Pablo Ferrari, from Universidad de Buenos Aires.

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Seminario di Probabilita, Pisa, Mercoledi 8 marzo, ore 11:00
by Carina Geldhauser 06 Mar '17

06 Mar '17

Annuncio Seminario di Probabilita, Pisa, Dipartmento di Matematica, Universita di Pisa Mercoledi, 8 marzo, ore 11:00, Aula Seminari Seminario di Probabilita SPEAKER 1 (ore 11:00): Francesca R. Nardi, University of Florence TITLE: Metastability for General Dynamics with Rare Transitions: Escape Time and Critical Configurations ABSTRACT: Metastability is an ubiquitous physical phenomenon in first order phase transitions. A fruitful mathematical way to approach this phenomenon is the study of rare transitions for Markov chains. For Metropolis chains associated with statistical mechanical systems, this phenomenon has been described in an elegant way through a pathwise approach in terms of the energy landscape associated to the Hamiltonian of the system. In the seminar we will first explain the main results and ideas of this approach and compare it with other existing ones. Then we will provide a similar description in the general rare transitions setup that can be applied to irreversible systems as well. Besides their theoretical content, we believe that our results are a useful tool to approach metastability for non-Metropolis systems such as Probabilistic Cellular Automata. Moreover, we will describe results pertaining to exponential hitting times which range of applicability includes irreversible systems, systems with exponentially growing volumes and systems with a general starting measure. (joint work with Emilio N. M. Cirillo, R. Fernandez, F. Manzo, E. Scoppola and J. Sohier). Dopo una pausa di circa 5min, proseguiamo con SPEAKER 2 (ore 12:00): Valeria De Mattei, Universita di Pisa TITLE: Mean field games with mean field and moderate interactions ABSTRACT: We consider a mean field game where N players interact both inthe cost functionals and in the dynamics. The new feature is that thedynamical interaction is of the so called "moderate" type, intermediatebetween the more classical mean field interaction and a strictly localinteraction. A modification of the classical mean field game scheme ispresented. Convergence to a system of PDEs, the mean field equation forour system, is discussed. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a carina.geldhauser(a)dm.unipi.it <mailto:carina.geldhauser@dm.unipi.it>

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Fwd: [World] Summer school on networks, in Berlin (Aug 21-Sep 1 2017)
by Gustavo Posta 06 Mar '17

06 Mar '17

Begin forwarded message: > From: Cécile Mailler <c.mailler(a)bath.ac.uk> > Date: 06 marzo 2017 12.03.15 GMT+01.00 > Subject: [World] Summer school on networks, in Berlin (Aug 21-Sep 1 2017) > > Dear all, > > This is the first announcement of the summer school on > > Probabilistic and statistical methods for networks > to be held at TU Berlin, 21 August - 1 September 2017. > > The summer school will focus on probabilistic and statistical methods for networks. This is an enormously rich topic that has many connections between branches of mathematics, and applications to many other scientific disciplines. The central theme is randomness that may arise in various forms: it can be used to construct models for networks, to analyse networks using statistical methods, or as part of stochastic processes on networks. One strand of the school will consider the theory of statistical physics models on networks; another strand will develop tools of statistical inference in network data; and a third strand investigates applications such as networks in neuroscience, traffic and telecommunication. > > The School is primarily aimed at graduate students, but also at postdocs, working in applied probability or in one of the application fields with strong probabilistic flavour. > > Speakers: > Shankar Bhamidi (North Carolina) > Benedikt Jahnel (Berlin) > Max Klimm (Berlin) > Peter Mörters (Bath) > Tiago Peixoto (Bath) > Jörg Polzehl / Karsten Tabelow (Berlin) > Klaus Obermayer / Wilhelm Stannat (Berlin) > Lenka Zdeborová (Saclay) > > For further details and registration, see https://www.math-berlin.de/academics/summer-schools/2017/randgraph. > Registration will be open from 1 April 2017 until 31 May 2017. > > The summer school is supported by the EPSRC via the Centre for Doctoral Training in Statistical Applied Mathematics (SAMBa) at the University of Bath, the DFG via the Berlin Mathematical School and by the Weierstrass Institute for Applied Analysis and Stochastics, Berlin. > > Please direct scientific questions about the school to the organisers. > We hope to see you in Berlin at the end of August. > > Best wishes, > > Wolfgang König, koenig(a)wias-berlin.de > Cécile Mailler, c.mailler(a)bath.ac.uk > Marcel Ortgiese, m.ortgiese(a)bath.ac.uk > Matt Roberts, mattiroberts(a)gmail.com > Tim Rogers, t.c.rogers(a)bath.ac.uk > _______________________________________________ > World mailing list > World(a)aleanetwork.net > http://aleanetwork.net/cgi-bin/mailman/listinfo/world

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International Conference in Venice - CALL FOR PAPERS - DEADLINE May 31, 2017
by Monica Billio 06 Mar '17

06 Mar '17

16^th INTERNATIONAL CONFERENCE CREDIT 2017 */INTEREST RATES, GROWTH and REGULATION /*Venice, Italy 28-29 September 2017 *GRETA Associati *(Venice, Italy), the *European Investment Fund* (Luxembourg) and *Intesa Sanpaolo* (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 28-29, 2017. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca' Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *sixteenth* of a series dedicated to various aspects of credit risk. Since 2007, the financial crisis has triggered deep changes of various kinds. Central banks have experimented new monetary policies (low interest rates, quantitative easing, forward guidance...). The banking industry has had to develop new asset management strategies and to adjust its credit allocation practices in order to cope with a new environment characterized, in particular, by a prolonged period of very low risk-free returns. Alternatives and complements to commercial banking have continued their progress. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines. All these changes have called for a substantial amount of research to improve the knowledge of the mechanisms at play during the crisis, to design adapted policy tools and to provide a better description of the new economic and financial environment. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Low interest rates and asset management: emergence of alternative asset classes; changes in banks asset management, repositioning towards wealth management services. * Low interest rates and econometric modelling: Zero Lower Bound; lift off; unconventional monetary policy; default risk; contagion and systemic risk. * Interest rates and alternative financing: venture capital; credit risk in p2p lending/crowdfunding, is there adverse selection? the financing of SMEs; impact on the real economy. * New regulation environment: impact of Basel 4; internal models versus standardized approach; international harmonization; impact of TLAC (total loss absorbent capacity) and IFRS9. The Scientific Committee for the Conference consists of: *Alain Monfort* (CREST-Paris, Programme Chair) *Monica Billio* (Ca' Foscari University of Venice) *Francesca Campolongo* (EU-JRC Unit 'Financial and Economic Analysis') *Helmut Kraemer-Eis* (Head EIF's Research & Market Analysis) *Jan Peter Krahnen* (SAFE - Goethe University) *Steven Ongena* (University of Zurich, SFI & CEPR) *Jean-Paul Renne* (University of Lausanne) *Fulvio Pegoraro* (Bank of France) *Bernd Schwaab* (European Central Bank) CALL FOR PAPERS The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Thomas Philippon *(New York University), *Manju Puri* (Duke University) and *Jean-Paul Renne* (University of Lausanne). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. Those wishing to present a paper at the Conference should submit by *May 31, 2017* to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *July 10, 2017*. The final version of accepted papers must be received by August 31, 2017. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> Local Organisers: *Davide Alfonsi* (Intesa Sanpaolo), *Monica Billio* (Ca' Foscari University of Venice & GRETA), *Andrea Giacomelli* (Knowshape & GRETA), *Pier Luigi Gilibert* (European Investment Fund) and *Domenico Sartore* (Ca' Foscari University of Venice & GRETA) IMPORTANT DATES May 31, 2017: Papers submission deadline July 10, 2017: Paper acceptance notification August 31, 2017: Deadline for sending final version of accepted papers More detailed information available on the Conference website: http://www.greta.it/credit/credit2017/credit2017.htm <http://www.greta.it/credit/credit2017/credit2017.htm>

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Seminario C. Ceci a Padova: cambio data e ora
by Giorgia Callegaro 06 Mar '17

06 Mar '17

Carissimi, mi scuso con i non interessati e scrivo per comunicarvi che il seminario della Prof.ssa Claudia Ceci (Università di Chieti-Pescara), dal titolo Credit derivatives and unit-linked life insurance contracts: optimal hedging in partially observable market models avrà luogo, diversamente da quanto indicato in una mia precedente mail, il giorno martedì *14 marzo *2017 alle ore *16.30* presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, aula 2BC30 (secondo piano). Grazie per l'attenzione, saluti a tutti, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Reminder -- First Italian Meeting on Probability and Mathematical Stastistics
by Federico Polito 04 Mar '17

04 Mar '17

*First Italian Meeting on Probability and Mathematical Statistics* *June 19-22, 2017, Torino, Italy* *Reminder* Website: http://calvino.polito.it/~probstat/torino2017/ The conference website is now updated with the latest available information. Please visit it for more details. *::..* Note that the registration is still open. *Deadline for registration: March 31, 2017* *..::* We are looking forward to meeting you in Torino next June. On behalf of the Organizing Committee, Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: fpolito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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Seminario Claudia Ceci a Padova
by Giorgia Callegaro 03 Mar '17

03 Mar '17

Carissimi, il giorno lunedì 13 marzo 2017 alle ore 12.30 presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, aula 2BC30 (secondo piano), la Prof.ssa Claudia Ceci dell'Università di Chieti-Pescara, terrà un seminario dal titolo Credit derivatives and unit-linked life insurance contracts: optimal hedging in partially observable market models Siete tutti benvenuti! Saluti a tutti, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Fwd: Fwd: Rutgers meeting on math-finance, probability, and pdes (fwd)
by Cecilia Mancini 02 Mar '17

02 Mar '17

-------- Messaggio Inoltrato -------- Oggetto: Fwd: Rutgers meeting on math-finance, probability, and pdes (fwd) Data: Thu, 2 Mar 2017 17:23:04 +0100 (CET) Mittente: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Date: Thu, 2 Mar 2017 10:44:51 -0500 From: Kasper Larsen <kasperl2andrew.cmu.edu(a)gmail.com> Subject: Rutgers meeting on math-finance, probability, and pdes To: Dear friends and colleagues: We are organizing a meeting on mathematical finance, probability theory, and partial differential equations to be held at Rutgers University, New Brunswick, May 17-19, 2017. We are hoping that you can help spread the word through your network. You can find more information here: http://finmath.rutgers.edu/partial-differential-equations-conference The conference seeks to encourage and promote early-career mathematicians: The conference schedule will allow for several contributed talks without parallel sessions. We have limited financial support available from NSF for junior US-located researchers (including graduate students, post docs, and tenure tracks). Priority for travel funding will be given to presenters who are graduate students, other junior mathematicians, and those from underrepresented groups. You can submit requests (for a presentation slot and/or funding) through the above conference webpage. Feel free to forward this email to other interested parties. We hope to see you! On behalf of the organizers, Kasper -- Cheers, Kasper Larsen Associate Professor Dept. of Mathematical Sciences Carnegie Mellon University http://www.math.cmu.edu/math/faculty/larsen.html ----- End forwarded message -----

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Seminario Nien-Lin Liu (Ritsumeikan University, Japan) a Firenze, 6/3/2017
by Cecilia Mancini 02 Mar '17

02 Mar '17

Nell'ambito del ciclo di seminari del Dipartimento di Scienze per l'Economia e l'Impresa (DISEI) dell'Universita' di Firenze, la prossima settimana si terrà il seguente seminario: Lunedì 6 Marzo 2017 (D6/Aula Bracco) ore 14.00: Nien-Lin Liu (Ritsumeikan University, Japan) "Fourier-Malliavin estimators based on discrete measures" Tutti gli interessati sono cordialmente invitati a partecipare. La lista dei seminari Disei è raggiungibile al seguente indirizzo: http://www.disei.unifi.it/vp-104-seminari.html

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Postdoctoral position at BCAM, Bilbao
by Enrico Scalas 02 Mar '17

02 Mar '17

Car* collegh*, Vi prego di diffondere il seguente annuncio alle persone potenzialmente interessate. Non ho inserito il documento con la descrizione del profilo richiesto, ma lo si puo' trovare a: http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM17-PostDoc_Pr… Cordiali saluti, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK -- *Dear Colleagues,* *The Basque Centre for Applied Mathematics (BCAM <http://www.bcamath.org/en/>) opened the position <http://www.bcamath.org/en/research/job/ic2016-winter-postdoctoral-fellowshi…> of Postdoctoral Fellow in Modelling and Simulation in Life and Materials Sciences (MSLMS) group*. The selected candidate will work on Bayesian analysis with Hamiltonian Monte Carlo methods in biomedical applications under the supervision of Elena Akhmatskaya <http://www.bcamath.org/en/people/eakhmatskaya> in collaboration with the members of MSLMS <http://www.bcamath.org/en/research/lines/MSLMS> as well as the Researchers in the Joint BioEnergy Institute (JBEI <https://www.jbei.org/>), US DOE, and the Brest Cancer Stem Cells Lab at CIC <http://www.cicbiogune.es/center/about>bioGUNE <http://www.cicbiogune.es/center/about>. The applications of interest include metabolic flux analysis and drug sensitivity prediction. The Hamiltonian Monte Carlo (HMC) and the Mix & Match HMC <https://bird.bcamath.org/handle/20.500.11824/323> implemented in BCAM in-house software HaiCS (*Ha*miltonians *i*n *C*omputational *S*tatistics) will be used as primary sampling tools in Bayesian analysis and developed further. The full description of the position is provided in the attached file. I will highly appreciate if you could distribute this announcement among your colleagues. Many thanks, Best Regards, Elena. Elena Akhmatskaya Ikerbasque Professor Group Leader BCAM - Basque Center for Applied Mathematics Mazarredo 14. 48009 Bilbao, Basque Country, Spain Tel.: +34 946 567 842 <+34%20946%2056%2078%2042> Fax: +34 946 567 843 <+34%20946%2056%2078%2043> e-mail: akhmatskaya(a)bcamath.org Web: www.bcamath.org/en/people/akhmatskaya

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Lecturer Position at Leeds - deadline 6 March
by Elena Issoglio 02 Mar '17

02 Mar '17

Dear Colleagues this is to announce that a Lecturer Position in Financial/Actuarial Mathematics is currently being advertised at the University of Leeds. Note that the deadline for applications is very soon, *Monday 6 March*. Previous research experience in financial mathematics is *not* essential. School/Institute: School of Mathematics, University of Leeds Position: Permanent Lecturer, grade 8 Salary: £39,324 to £46,924 p.a. Closing Date: Monday 06 March 2017 For more info and to apply online, please visit https://jobs.leeds.ac.uk/vacancy.aspx?ref=MAPMA1052 Best wishes, Elena Dr Elena Issoglio Lecturer in Financial Mathematics Office 11.02, School of Mathematics School of Mathematics, University of Leeds, Leeds, LS2 9JT E: e.issoglio(a)leeds.ac.uk<mailto:e.issoglio@leeds.ac.uk> T: 0113 34 3 4660

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Announcement: 8th AMaMeF Conference - MARK THE DATES! (fwd)
by Tiziano Vargiolu 02 Mar '17

02 Mar '17

---------- Forwarded message ---------- Date: Thu, 2 Mar 2017 12:03:29 +0100 From: Giulia Di Nunno <giulian(a)math.uio.no> Caro Tiziano, mi puoi girare questo annuncio sulla lista random? Grazie Un saluto Giulia --------------------------------------- Dear Colleague, on behalf of the organising committee is a pleasure to announce that the 8th AMaMeF Conference will take place in Amsterdam June 19-23, 2017, thanks to the joint efforts of groups at the University of Amsterdam, Radboud University, and ING Bank. With the participation of TopQuants. The conference features plenary lectures and parallel sessions covering the forefront areas of research in theoretical and quantitative finance, risk, insurance. Plenary speaker are: Fred Espen Benth (University of Oslo) Carole Bernard (Grenoble School of Management and Vrije Universiteit Brussel) Bruno Bouchard (Universit? Paris-Dauphine) S?ren Christensen (University of Hamburg) Christa Cuchiero (University of Vienna) Paul Glasserman (Columbia University) Xin Guo (UC Berkeley) Jan Ob??j (University of Oxford) Mikl?s R?sonyi (Alfr?d R?nyi Institute of Mathematics) Follow the developments, the registration procedures, the abstract submission and all see: http://8amamef.nl Please help to distribute this announcement among your all contacts. Welcome to Amsterdam in June! Best regards Giulia Di Nunno Professor Department of Mathematics University of Oslo

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Seminari di probabilità e statistica matematica
by Piccioni, Mauro 01 Mar '17

01 Mar '17

Lunedì 6 marzo Ore 16:00, Aula di Consiglio Seminario di probabilità e statistica matematica Mauro Piccioni Conditional iid structures in exchangeable multivariate distributions: from Marshall-Olkin to “load sharing” models The discovery of a conditional iid structure allows the understanding of the dependence contained in a d-variate distribution as generated by an exogenous latent factor . According to the celebrated de Finetti ‘s theorem this is equivalent to the possibility of defining an infinitely exchangeable sequence of random variables with the given d-marginal. In parametric classes of multivariate distributions, the determination of the values of the parameter corresponding to a structure of this type is a difficult problem which have been solved only in a few cases. In the talk the elegant theory developed by Mai and Scherer for the Marshall-Olkin distribution will be reviewed and some partial results for “load-sharing” models will be presented (joint work with Gerard Letac and Fabio Spizzichino). Tutti gli interessati sono invitati a partecipare. I seminari proseguiranno durante il secondo semestre ogni lunedì con cadenza settimanale.

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Fully Funded PhD Positions for International Students, University of Padova, Italy - Deadline March 28, 2017 1.00 pm (CEST)
by Patrizia Piacentini - PhD 01 Mar '17

01 Mar '17

For the academic year 2017/18 the University of Padova, Italy, offers 15 research fellowships fully funded by Fondazione Cariparo for foreign (non Italian) students to attend Doctoral Courses - *Deadline: 28 March 2017 (1.00 p.m. CEST)* The call for application is available at the following address: http://www.unipd.it/en/node/1053 The announcement concerns a limited number of fully funded grants for foreign (non-Italian) graduate students to be awarded on the basis of qualifications only and requiring no entry examination. The grants include all University and Department fees, full board at the University accommodation and provide an additional personal scholarship of 13.638,47 € per year for a total of 3 years. Doctoral courses will start on *October 1st, 2017* and will end on September 30st, 2020. Application is to be made following carefully the instructions in the announcement. The PhD Course in Statistics ( http://www.stat.unipd.it/fare-ricerca/dottorato-di-ricerca ) highly encourages foreign students to apply for admission. All lectures are given in English. Interested applicants are invited to contact the Course Coordinator (dottorato(a)stat.unipd.it) for any advice. Some summary information about grants and admission procedures for foreign students can be found at http://www.stat.unipd.it/fare-ricerca/ammissione. Prof. Nicola Sartori Coordinator Phd Course in Statistics University of Padova Italy -- Patrizia Piacentini Secretariat PhD Course in Statistics University of Padova tel +39 049 8274167 fax +39 049 8271524 dottorato(a)stat.unipd.it

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Fwd: Two postdoc positions in Roma Tre
by Pietro Caputo 28 Feb '17

28 Feb '17

ricevo e inoltro: ---------- Forwarded message ---------- From: <giuliani(a)mat.uniroma3.it> Date: Tue, Feb 21, 2017 at 2:16 PM Subject: Two postdoc positions in Roma Tre To: giuliani(a)mat.uniroma3.it Dear Colleague, I would like to draw your attention to two 2-years postdoc position in mathematical physics within the project "Universality in Condensed Matter and Statistical Mechanics", funded by an ERC Consolidator Grant (PI: Alessandro Giuliani). Interested candidates should have a strong background in the mathematics of quantum or classical statistical mechanics. The successful applicant will be expected to work on problems related to scaling limits in 2D systems at the critical point, broken phases in systems with continuous symmetry, quantum transport in interacting systems. The appointments are for two years, starting in September 2017 or earlier (we invite applications by March 22, 2017; the call will remain open until the two positions are filled). The position is based at the Department of Mathematics of the University of Roma Tre. It comes with no teaching duties and with traveling funds to attend conferences and workshops. A full description of the project and the position, including details about how to apply can be found on the web page of the project: http://www.mat.uniroma3.it/users/giuliani/public_html/erc_CoG/index.html I would be grateful if you could bring this advertisement to any interested candidate. Thank you in advance, With best regards, Alessandro Giuliani

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seminario Marcello Restelli in Bicocca
by Fabio Bellini 28 Feb '17

28 Feb '17

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Seminario Maren Schmeck a Padova
by Tiziano Vargiolu 27 Feb '17

27 Feb '17

Carissimi, il giorno martedi' 28 febbraio alle ore 15 presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, sala Riunioni VII piano, la dott.ssa Maren Diane Schmeck dell'Universita' di Colonia terra' un seminario dal titolo ELECTRICITY PRICE MODELING WITH STOCHASTIC TIME CHANGE (joint with SVETLANA BOROVKOVA (VU AMSTERDAM)) ABSTRACT. In this paper, we develop a novel approach to electricity price modeling, based on the powerful technique of stochastic time change. This technique allows us to incorporate the characteristic features of electricity prices (such as seasonal volatility, time varying mean reversion and seasonally occurring price spikes) into the model in an elegant and economically justifiable way. The stochastic time change introduces stochastic as well as deterministic (e.g., seasonal) features in the price process? volatility and in the jump component. We specify the base process as a mean reverting jump diffusion and the time change as an absolutely continuous stochastic process with seasonal component. The activity rate of the stochastic time change can be related to the factors that influence supply and demand. Here we use the temperature as a proxy for the demand and hence, as the driving factor of the stochastic time change, and show that this choice leads to realistic price paths. We derive properties of the resulting price process and develop the model calibration procedure. We calibrate the model to the historical EEX power prices and apply it to generating realistic price paths by Monte Carlo simulations. We show that the simulated price process matches the distributional characteristics of the observed electricity prices in periods of both high and low demand. Cordiali saluti a tutti Tiziano -------------------------------------------------------------------------- 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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Fwd: Postdoc-position in Stochastic Analysis at the University of Oslo
by Tiziano Vargiolu 27 Feb '17

27 Feb '17

---------- Forwarded message ---------- Date: Sun, 26 Feb 2017 18:35:01 +0100 From: Giulia Di Nunno <giulian(a)math.uio.no> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Cc: Giulia Di Nunno <giulian(a)math.uio.no> Subject: Fwd: Postdoc-position in Stochastic Analysis at the University of Oslo Dear Tiziano,could you please help circulate this info. Thank you in advance, Giulia Begin forwarded message: From: Bernt ?ksendal <oksendal(a)math.uio.no> Subject: Postdoc-position in Stochastic Analysis at the University of Oslo Date: 21 February 2017 at 12:15:46 GMT+1 Dear All; The new postdoc position in stochastic analysis at the University of Oslo has just been announced. The deadline is 31 March 2017. For more information see https://www.jobbnorge.no/ledige-stillinger/stilling/134569/postdoctoral-res earch-fellowship-in-stochastic-analysis Please help to distribute this to anyone interested :-) Best wishes, Bernt Professor Emeritus Bernt ?ksendal Department of Mathematics, University of Oslo, Box 1053 Blindern, N-0316 Oslo, Norway. Home page: http://www.mn.uio.no/math/english/people/aca/oksendal/index.html Email: oksendal(a)math.uio.no

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Second Announcement: Stochastic Analysis Day, Pisa, Monday, February 27
by Carina Geldhauser 24 Feb '17

24 Feb '17

Stochastic Analysis Day 2017 The Stochastic Analysis Day 2017 will take place on Monday, February 27 at the Department of Mathematics of the University of Pisa. Speakers: * J.C. Alfonso Lopez (Braunschweig) * L.Bianchi (Berlin) * T. Funaki (Tokyo) * C. Geldhauser (Pisa) * H. Hatzikirou (Braunschweig) *M. Maurelli (Berlin) More information can be found on the website http://www.dm.unipi.it/pages/romito/SPASS/workshop/20170227/ Registration is not obligatory, but highly recommended for organizational purposes. To register, please contact the organizers.

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ARPM job offer
by Elisa Appolloni 23 Feb '17

23 Feb '17

Dear all, I am reaching out to you because at ARPM (the company for which I work) we are looking to add new resources for our Advanced Risk and Portfolio Management program. Would you mind circulating the message below to interested and qualified candidates? Thank you, Elisa Appolloni *** *The firm* ARPM – Advanced Risk and Portfolio Management <https://www.arpm.co/> is a privately held research institution, directed by Attilio Meucci, based in New York City with virtual offices world-wide. ARPM’s mission is to set and disseminate the standards for advanced quantitative risk management and portfolio management across the financial industry: asset management, banking, and insurance. *The opportunity * ARPM is looking for a new researcher-in-training for a minimum period of 6 months, indefinitely extensible. The successful candidate will review and code practical case studies and theoretical examples in quantitative finance, contributing to the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The successful candidate will work full-time, remotely, constantly communicating via multi-media with the other members of ARPM. The ARPM researcher-in-training position represents a great opportunity for candidates with strong academic background, who wish to apply to real problems in finance the rigorous, research-oriented approach acquired in their schooling. *The progression* ARPM emphasizes the constant intellectual growth of its resources. For the first 6 months the researcher-in- training will be focused on specific projects. At the end of this period (s)he will conduct a presentation on the topics covered. Then, (s)he will start broadening his/her scope, attending the presentations of their peers and seniors, working on broader projects, and acquiring hands-on- knowledge of all the topics of the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The approximate time required to attain the required level of familiarity with the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14> is: two years for a recent master’s graduate; one year for a recent PhD graduate. When ready, the researcher-in-training will be tested on all such topics with an exam. If successful, (s)he will conclude his/her training period, attaining the title of ARPM researcher. The ARPM researcher will then engage in highly quantitative projects with ARPM clients, becoming a profit center. *The candidate* [image: arrow_20]Master’s degree in mathematics, physics, engineering, computer science, statistics, data science, quantitative economics. [image: arrow_20]PhD in hard sciences or master’s degree in quantitative finance is a plus. [image: arrow_20]Very strong command of foundational mathematics, including multivariate calculus and linear algebra. [image: arrow_20]Good knowledge of statistics and probability. [image: arrow_20]Proficiency in MATLAB, Python, or similar programming languages. [image: arrow_20]Good command of English. *Compensation* Competitive For more information, please visit arpm.co <https://www.arpm.co/> and/or contact us at info(a)arpm.co <info(a)arpm.co?Subject=job%20Post> -- *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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seminar announcement --- prof Cont, LUISS
by Sara 21 Feb '17

21 Feb '17

Thursday 2nd March from 12.00 to 13.00 LUISS room 207 viale Romania 32 00197 Roma. Speaker: Rama Cont (Imperial College and CNRS) Title: Fire sales, price-mediated contagion and systemic risk -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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Mini course in Verona - Simone Mattia Scotti: Real markets, microstructure, clusters and Hawkes with a Branching process point of view.
by Luca di persio 20 Feb '17

20 Feb '17

*Mini course announcement* Prof. Simone Mattia Scotti [ LPMA, Université Paris Diderot ] will give a mini course on *Real markets, microstructure, clusters and Hawkes with a Branching process point of view*, according with the following time table: 21st of March (2017) : Room I 1430-1730 23rd of March (2017) : Room M 1530-1730 24th of March (2017) : Room M 1430-1730 all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal located here https://goo.gl/maps/Yx2JU *Abstract and structure of the course* The analysis of real financial markets, along with the study of related economic time series, represents an increasing field of research and development of effective applications, from the stochastic processes point of views, as well as from the statistic and computational sides of the moon. In this mini-course, we first recall the classical framework behind the modern and mathematically rigorous, theory of finance, starting from the treatment of continuous-path stochastic processes. Then, we focus on the microstructure of market data, discussing both limit and market orders, along with correlated liquidity problems. In a second part, we will specialize our analysis on a particular feature of financial markets, namely the existence of jumps' cluster. It is worth to mention that the latter has been highlighted in recent literature in microstructure, showing to have a deep impact on real markets and representing a main research axis in the field. >From a mathematical point-of-view, we will first introduce point processes and then Hawkes processes. We will show that the self-exciting structure of Hawkes processes can easily explain some features exhibited by financial data, e.g. the cluster effects. In the third part, we will introduce the branching processes (CBI) showing that they can be seen as a natural extension (marked versions) of Hawkes processes. We will show that this class of models has very nice properties from computational as well as from analytical point of view, particularly by exploiting the Dawson-Li representation. Moreover, we will point out some unexpected features of the aforementioned approaches, such, e.g., the persistency of low interest rates and negative risk premium in electricity markets. A detailed bibliograpy will be given during the course. ___________ Do not hesitate to contact me for further details: luca.dipersio(a)univr.it LuCa -- __ 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 <+39%20045%20802%207968> Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686 <+39%200461%20281686>

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Mini course in Verona - Adrian Zalinescu : Introduction to SPDEs with applications
by Luca di persio 18 Feb '17

18 Feb '17

*Mini course announcement* Prof. Adrian Zalinescu [ Universitatea Alexandru Ioan Cuza - Iaşi, Romania ] will give a mini course on *Introduction to Stochastic Partial Di fferential Equations* (with applications to Finance, Biology, etc.), according with the following calendar 13 - 20 - 27 of March (2017) time table: from 1430 to 1730 all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal 2, first floor , *Room M* located here https://goo.gl/maps/Yx2JU The* tentative programme* is the following: 1. *Gaussian measure theory* Random vectors and Bochner integral. Some elements of probability in in nite-dimensional spaces are considered, with emphasis on the integration of random vectors with values in separable Banach-spaces and in operator spaces. Gaussian measures. We introduce cylindrical Gaussian random variables and Hilbert-spacevalued Gaussian random variables and then de ne cylindrical Wiener processes and Q-Wiener processes (i.e. with the covariance given by the trace-class operator Q) in a natural way. Stochastic integral and Ito's formula. The stochastic integral is constructed with respect to a cylindrical Wiener process, then with respect to a Q-Wiener process, by extending the integral of elementary processes. Some properties of the stochastic integral are given, including Ito's formula. 2. *Stochastic Di erential Equations* Semigroup Theory. In this section we review the fundamentals of semigroup theory. Stochastic Convolutions and Linear SPDEs. We derive existence and uniqueness of di erent types of solutions for linear SDEs driven by generators of C0-semigroups. The method is based on the study of the stochastic convolution. Solutions by Variational Method. The purpose is to study solutions of nonlinear SPDEs, which are seen as evolution equations in a Gelfand triplet, under assumptions of compact embedding or monotone coe cients. 3. *Applications* Along the abstract study of SDEs in in nite-dimensional spaces, various examples of SPDEs with applications in physics, biology and mathematical finance will be given. A detailed bibliograpy will be given during the course. ___________ Do not hesitate to contact me for further details: luca.dipersio(a)univr.it LuCa __ 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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Seminar announcement
by Marco Scarsini 17 Feb '17

17 Feb '17

Thursday 23 February from 12.00 to 13.00 LUISS room 207 viale Romania 32 00197 Roma. *Speaker:* Bruno Ziliotto (CNRS) *Title:* In zero-sum stochastic games, the payoff is constant *Abstract*: In a zero-sum stochastic game, at each stage, two adversary players take decisions and receive a stage payoff determined by these actions and by a random variable called state of nature. The total payoff is the discounted sum of the stage payoffs. Assume that players are very patient and use optimal strategies. We then prove that at any point in the game, players get essentially the same payoff: the payoff is constant. No game theory prerequisite of any kind is needed to understand this talk. (joint work with Miquel Oliu Barton) ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Seminario CARLO SGARRA @ UniTo
by Federico Polito 17 Feb '17

17 Feb '17

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* mercoledì 15 Marzo 2017 alle ore 11:30 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. CARLO SGARRA (Politecnico di Milano) terrà un seminario dal titolo A BRANCHING PROCESS-BASED APPROACH TO POWER MARKETS (The talk will be mainly based on a joint paper with Y. Jiao, C. Ma and S. Scotti). Abstract: Energy markets, and in particular, electricity markets, exhibit very peculiar features. The historical series of both futures and spot prices include seasonality, mean-reversion, spikes and small fluctuations. Very often a stochastic volatility dynamics is postulated in order to explain their high degree of variability. After the pioneering paper by Schwartz, where an Ornstein-Uhlenbeck dynamics is assumed to describe the spot price behavior, several different approaches have been investigated in order to describe the price evolution. High frequency trading, on the other hand, introduced some new features in commodity prices dynamics: in a recent paper by V. Filimonov, D. Bicchetti, N. Maystre and D. Sornette evidence is shown of endogeneity and structural regime shift, and in order to quantify this level the branching ratio is adopted as a measure of this endogenous impact and a Hawkes processes dynamics is assumed as a reasonable modelling framework taking into account the self-exciting properties. The purpose of the present investigation is to propose a new modeling framework including all the above mentioned features, still keeping a high level of tractability. The model considered allows to obtain the most common derivatives prices in closed or semi-closed form. Here with semi-closed we mean that the Laplace transform of the derivative price admits an explicit expression. The models we are going to introduce can describe the prices dynamics in two different forms, that can be proved to be equivalent: the first is a representation based on random fields, the second is based on Continuous Branching Processes with Immigration (CBI in the following). Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702862 Web: www.fpolito.eu

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seminario Matteo Burzoni in Bicocca
by Fabio Bellini 17 Feb '17

17 Feb '17

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Teaching assistantships at LUISS
by Marco Scarsini 16 Feb '17

16 Feb '17

LUISS is looking for teaching assistants for various courses in mathematics, statistics, and computer science for the academic year 2017/2018. Teaching assistants are expected to teach in either English or Italian (not necessarily both), hold office hours, and assist with exams. Whoever is interested should fill out the application form that can be found at the pages http://www.luiss.edu/ateneo/opportunita-di-lavoro/reclutamento-docenti-cont… (Department of Economics and Finance), http://www.luiss.edu/ateneo/opportunita-di-lavoro/reclutamento-docenti-cont… (Department of Management). The deadline is 02 March 2017. I would greatly appreciate if you could inform your graduate students of this opportunity. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Annuncio di seminari
by Piccioni, Mauro 15 Feb '17

15 Feb '17

Il giorno 21 febbraio 2017 presso l'Aula E del Dipartimento di Matematica, Sapienza Università di Roma si terranno i seguenti seminari di Probabilità e Statistica Matematica: Ore 14.30 Wolfgand Woess (TU Graz, Austria) Multidimensional reflected random walk - some results and many questions Abstract: Let (Y_n,V_n) be i.i.d. distributed, with the components r and s-dimensional, respectively. Reﬂected random walk starting at a point x of the positive r-dimensional orthant is deﬁned recursively by X_0 = x, X_n = |X_{n−1}−Y_n|, where |(a_1,...,a_r)| = (|a_1|,...,|a_r|). In R^s, consider the ordinary sum S_n = V_1 +···+V_n . We are interested in (topological) recurrence of the process (X_n,v+S_n) starting at (x,v). While this is quite well understood for refelcted random walk with r=1, in higher dimension (r \geq 2) or with some non-reﬂected coordinates (s \in {1,2}) we have a few basic results and various open questions with some partial answers. This is work with Judith Kloas, with input from Marc Peigne' and Wojciech Cygan. Ore 15.30 Oriane Blondel (CNRS Lyon, France) More random walks on random walks Abstract: We consider a Poissonian distribution of particles performing independent simple random walks. Simultaneously, on top of this system, a random walker evolves with a drift to the right when it is on top of (at least) a particle, to the left when it is on an empty site. We obtain a LLN, CLT and large deviation bounds in high and low density. Joint work with Marcelo Hilario, Renato dos Santos, Vladas Sidoravicius, Augusto Teixeira. Tutti gli interessati sono invitati a partecipare. per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Seminario Prof. Giorgio Ferrari
by Tiziano Vargiolu 15 Feb '17

15 Feb '17

Il giorno martedi' 21 febbraio alle ore 11 presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, aula 1AD/100, il prof. Giorgio Ferrari dell'Universita' di Bielefeld, e ospite del Dipartimento di Matematica in qualita' di professore visitatore nell'ambito del progetto YITP (Young Investigation Training Program), terra' un seminario dal titolo Controlling Public Debt without forgetting Inflation Abstract -------- Consider a government that wants to control its debt-to-GDP (gross domestic product) ratio, while taking into consideration the evolution of the inflation rate of the country. The uncontrolled inflation rate follows an Ornstein-Uhlenbeck dynamics and affects the growth rate of the debt ratio. The level of the latter can be reduced by the government through fiscal interventions. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the total expected cost of interventions on debt ratio. We model such problem as a two-dimensional singular stochastic control problem over an infinite time-horizon. We show that it is optimal for the government to adopt a policy that keeps the debt-to-GDP ratio under an inflation-dependent ceiling. This curve is the free-boundary of an associated fully two-dimensional optimal stopping problem, and it is shown to be the unique solution of a nonlinear integral equation. Finally, some economic conclusions are drawn. Tutti gli interessati sono invitati a partecipare. Tiziano -------------------------------------------------------------------------- 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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BISP10, Milano, June 2017-extended deadlines
by fabrizio＠mi.imati.cnr.it 15 Feb '17

15 Feb '17

The 10th workshop on Bayesian Inference for Stochastic Processes (BISP10) will take place in Milano, Italy, on June 13-15, 2017. ** The online abstract submission (for oral or poster presentation) is extended to the 28th of February ** Theoretical and applied contributions on Bayesian inference in stochastic processes are both welcome. A non-exhaustive list of topics includes Markov processes, temporal and spatial processes, computations and methods for complex structures, empirical processes, birth-death and branching processes, networks and relational data, queuing, signal processes, stochastic differential equations. BISP10 is dedicated to Pietro Muliere, on his 70th birthday. All information can be found on the website : www.unibocconi.eu/bisp10 If you have any questions, please contact the Chairs of the Local and Scientific Committees: Sonia Petrone sonia.petrone(a)unibocconi.it and Fabrizio Ruggeri fabrizio(a)mi.imati.cnr.it Best wishes, and we look forward to welcoming you in Milano at BISP10. Sonia Petrone & Fabrizio Ruggeri -- Fabrizio Ruggeri fabrizio AT mi.imati.cnr.it CNR IMATI tel +39 0223699532 Via Bassini 15 fax +39 0223699538 I-20133 Milano (Italy) web.mi.imati.cnr.it/fabrizio

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Seminario Dott.ssa Zehra Eksi
by Katia Colaneri 14 Feb '17

14 Feb '17

Il giorno giovedì 16 febbraio alle ore 16 presso il Dipartimento di Economia dell'Università di Perugia, la Dott.ssa Zehra Eksi, Assistant Professor presso la WU-Vienna University of Economics and Business, e ospite del Dipartimento di Economia in qualità di professore visitatore nell'ambito del progetto YITP (Young Investigation Training Program), terrà un seminario dal titolo "EM Algorithm for Markov Chains observed via Gaussian Noise and Point Processes Information" *Abstract*: In this paper we obtain an Expectation-Maximization (EM) algorithm for a setting in which the state variable follows a finite-state Markov chain observed via diffusive and point process information. Such a setting may arise, for example, in the modelling of sovereign credit risk where information stems from default history (jump component) and CDS spreads (diffusive component). Obtaining the EM algorithm amounts to the derivation of finite-dimensional filters for quantities such as number of jumps and sojourn times associated to the Markov chain. In this context, we obtain both exact and unnormalized filters for the related quantities. Moreover, we compute discretized robust versions of the unnormalized filters. Next, we introduce a novel goodness of fit test to check how well the estimated model explains a given data set. Finally, we run a simulation study to test speed and accuracy of the algorithm. In particular, we provide a comparison for the estimates resulting from the robust and naive discretization and the value of point process information (This is a Joint work with Camilla Damian and Ruediger Frey) Tutti gli interessati sono invitati a partecipare. Dott.ssa Katia Colaneri Department of Economics, University of Perugia Via A. Pascoli 20, Perugia 06123- Italy e-mail: katia.colaneri@unipg <katia.colaneri(a)gmail.com>.it

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Mini-workshop announcement: Stochastic Analysis Day 2017, Monday, February 27, Pisa
by Carina Geldhauser 13 Feb '17

13 Feb '17

Stochastic Analysis Day 2017 The Stochastic Analysis Day 2017 will take place on Monday, February 27, at the Department of Mathematics of the University of Pisa. Speakers: * J.C. Alfonso Lopez (Braunschweig) * L. Bianchi (Berlin) * T. Funaki (Tokyo) * C. Geldhauser (Pisa) * H. Hatzikirou (Braunschweig) *M. Maurelli (Berlin) More information can be found on the website http://www.dm.unipi.it/pages/romito/SPASS/workshop/20170227/ Registration is not obligatory, but highly recommended for organizational purposes. To register, please contact the organizers.

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WIRN 2017 - First Call for Papers - 27th Italian Workshop on Neural Networks
by Marco Corazza 13 Feb '17

13 Feb '17

*** WIRN 2017 - First Call for Papers *** *** 27th Italian Workshop on Neural Networks *** *** June 14-16, Vietri sul Mare, Salerno, Italy *** WIRN 2017 – PRELIMINAY CALL FOR PAPERS The Italian Workshop on Neural Networks (WIRN) is the annual conference of the Italian Society of Neural Networks (SIREN). The conference is organized in co-operation with the International Institute for Advanced Scientific Studies (IIASS) of Vietri S/M (Italy), and is a traditional event devoted to the discussion of novelties and innovations related to field of Artificial Neural Networks. In recent years, it also became a multidisciplinary forum on psychological and cognitive theories for modelling human behaviours. The 27th Edition of the Italian Workshop on Neural Networks (WIRN 2017) will be held at the IIASS of Vietri sul Mare, near Salerno, Italy. CALL FOR PAPERS, SPECIAL SESSIONS PROPOSALS: Prospective authors are invited to contribute high quality papers in the topic areas listed below and proposals for special sessions. Special sessions aim to bring together researchers in special focused topics. Each special session should include at least 3 contributing papers. A proposal for a special session should include a summary statement (1 page long) describing the motivation and relevance of the proposed special session, together with the article titles and author names of the papers that will be included in the track. Contributions should be high quality, original and not published elsewhere or submitted for publication during the review period. Please visit the web site for further details of the required paper format. Papers will be reviewed by the Program Committee, and may be accepted for oral or poster presentation. All accepted contributions will be published in a special volume printed by Springer and indexed by SCOPUS. Authors will be limited to one paper per registration. Manuscripts should not exceed the limit of 8 pages. The description of the submission procedure will appear soon on the SIREN Website www.associazionesiren.org TOPIC AREAS: Suggested topics for the conference include, but are not limited to, the following research and application areas: - General Topics of Interest about Computational Intelligence: Neural Networks, Fuzzy Systems, Evolutionary Computation and Swarm Intelligence, Support Vector Machines, Complex Networks, Bayesian and Kernel Networks, Consciousness and Models of Emotion Cognitive and Psychological Models of Human Behavior. - Algorithms & Architectures: Among others: Opportunist Networks, Metabolic Networks, ICA and BSS, Deep Neural Networks, Bio-inspired Neural Networks, Wavelet Neural Networks, Intelligent Algorithms for Signal (Speech, Faces, Gestures, Gaze, etc) Processing and Recognition. - Implementations: Among others: Hardware Implementations and Embedded Systems, Neuromorphic Circuits and Hardware, Spike-based VLSI NNs, Intelligent Interactive Dialogue Systems, Embodied Conversational Agents. - Applications: Among others: Finance and Economics, Big Data Analysis, Neuroinformatics and Bioinformatics, Brain-Computer Interface and Systems, Data Fusion, Time Series Modelling and Prediction, Intelligent Infrastructure and Transportation Systems, Sensors and Network of Sensors, Smart Grid, Process Monitoring and Diagnosis, Intelligent and Adaptive Systems for Human-Machine Interaction. PAPER SUBMISSION: Important Dates - Special Session/Workshop proposals: March 16, 2017; - Paper Submission deadline: April 16, 2017; - Notification of acceptance: May 16, 2017; - Camera-ready copy: on site, June 1, 2017; - Conference Dates: June 14-16, 2017. More detailed instructions will follow soon on the SIREN home page www.associazionesiren.org or in www.wirn2017.polito.it. -- Marco Corazza Department of Economics Ca' Foscari University of Venice San Giobbe, Cannaregio 873 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it --

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PhD in Financial Mathematics at the Scuola Normale Superiore (Pisa). Call 2017-2018
by Fabrizio Lillo 12 Feb '17

12 Feb '17

The call for applications to the 2017/2018 PhD program in Financial Mathematics at the Scuola Normale Superiore, Pisa, has been published on the web site http://phd.sns.it/call-2017-2018/, and on the home page of the institutional web site of the Scuola (www.sns.it) The deadline is February 20, 2017 Should you need any further information, please address your request to Fabrizio Lillo (fabrizio.lillo(a)sns.it) Thank you very much in advance. ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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seminario Cosimo Munari in Bicocca /2
by Fabio Bellini 10 Feb '17

10 Feb '17

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seminario Cosimo Munari in Bicocca /2
by Fabio Bellini 10 Feb '17

10 Feb '17

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2 Seminari Firenze 14/2/17 ore 10 al DISEI
by cecilia mancini 09 Feb '17

09 Feb '17

Nell'ambito del ciclo di seminari del Dipartimento di Scienze per l'Economia e l'Impresa (DISEI) dell'Universita' di Firenze, il giorno Martedì 14 Febbraio 2017 (Edificio D6/Aula Bracco, ossia 1.12): si terranno i seguenti 2 seminari ore 10 Francesca Lilla (Università di Bologna) OPTION PRICING WITH HIGH FREQUENCY ESTIMATES OF CONTINUOUS AND DISCONTINUOUS VOLATILITY COMPONENTS ore 11 Susana Martins, University of Minho & NIPE, Braga, Portugal MODELLING SOVEREIGN DEBT CONTAGION: A SMOOTH TRANSITION APPROACH Tutti gli interessati sono cordialmente invitati a partecipare. La lista dei seminari Disei è raggiungibile al seguente indirizzo: http://www.disei.unifi.it/vp-104-seminari.html Abstract dei seminari OPTION PRICING WITH HIGH FREQUENCY ESTIMATES OF CONTINUOUS AND DISCONTINUOUS VOLATILITY COMPONENTS Jump-diffusion model represents the popular approach to match return stylized facts. Its estimation is simplified since prices are observable quantities, but it does not appear to be sufficient to yield the rapid increases in volatility which have been historically experienced. Examining price evolution at ultra high frequency, traditional measures of jump variation tend to spuriously assign a burst in volatility to the jump components. What jump-diffusion model identifies as genuine price jumps are period of heightened volatility. Starting from these findings, I develop a new multifactor volatility model, labeled as VARG-J, in which volatility is decomposed in two components: continuous and discontinuous. The first involves small changes while the second occasional big moves. The VARG-J model belongs to the class of affine discrete-time models based on high frequency volatility measures. The pricing approach performed in this paper allows to incorporate risk premia in order to compensate for two new sources of risk concerning both volatility components, beyond the risk related to shocks in log-returns. Combining high-frequency returns and option data, the empirical analysis illustrates that volatility jump component is a key ingredient for reproducing the observed volatility smile and for improving the pricing performances of S&P 500 Index options. MODELLING SOVEREIGN DEBT CONTAGION: A SMOOTH TRANSITION APPROACH ABSTRACT: In this paper, we study the timing and extent of the European sovereign debt contagion across nine Eurozone countries from 2005 until 2016. In this setting, financial contagion is measured as a significant increase in cross-market correlations which are assumed to follow a Smooth Transition Conditional Correlation (STCC-) GARCH model. The cross-market correlations change smoothly between two extreme states according to an observable transition variable. This variable is specified both as a function of time and lagged returns. When using time, a pre-crisis and two crises sub-periods are identified. Our results suggest contagion effects within the periphery countries, notably from Greece and Portugal, and between the periphery and core countries.

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CLADAG 2017: Call for Papers
by Francesca Greselin 09 Feb '17

09 Feb '17

11th Scientific Meeting of the Classification and Data Analysis Group of the Italian Statistical Society CLADAG 2017 September 13rd to 15th, 2017 University of Milano-Bicocca, Milan, Italy We happily announce and invite paper submissions for the *11th Scientific Meeting of the Classification and Data Analysis Group of the Italian Statistical Society - CLADAG 2017* conference, which will take place at the University of Milano-Bicocca, from September 13th to 15th. Areas of interest to the conference include: • Classification Theory • Multivariate Data Analysis • Proximity Structure Analysis • Applied Classification and Data Analysis • Software Developments People who wish to submit a paper should send the title of their paper by February 28th. Details of title submission are available at http://www.cladag2017.unimib.it The conference will be a mix of plenary, invited and submitted talks and posters. Invited sessions details can be seen at the conference website. ::: CLADAG 2017 KEYNOTES ::: We are delighted of having the following keynote speakers: *Antony Davison,* <http://statwww.epfl.ch/davison/davison.html> Institute of Mathematics, Ecole Poytechnique Federale de Lausanne, Switzerland *Sunil J. Rao,* <http://www.biostat.med.miami.edu/people/primary-faculty/sunil-rao> Division of Biostatistics, Department of Public Health Sciences University of Miami, Florida, USA *Roberto Rocci <http://economia.uniroma2.it/faculty/145/rocci-roberto>, *Dipartimento di Economia e Finanza, Università degli studi di Tor Vergata, Rome, Italy ::: CLADAG 2017 PAPERS AND SPECIAL ISSUES ::: Book of Abstract: all the accepted short papers will be published in the CLADAG2017 Proceedings, with ISBN. After the Conference, authors will be encouraged to submit a full paper (up to 8 pages) for the publication in the Springer series "Studies in Classification, Data Analysis, and Knowledge Organization" to be released in 2018. All submitted papers will undergo a regular reviewing process. ::: CLADAG 2017 DEADLINES ::: - Title and pre-registration: *February 28th, 2017* - Short paper: *March 31th, 2017* - Notification of acceptance: *May 15th, 2017* - Revised short paper: *May 31th, 2017* - Payment of registration fee: *from May 1rst, 2017* ::: CLADAG 2017 YOUNG RESEARCHERS AWARD ::: A Call for Ideas has been issued for organizing an event for Young researchers, on September 12th, with excellent proposals that are now under finalization. Prizes for the challenge will be awarded during the Conference. Looking forward to seeing you at CLADAG 2017! Francesca Greselin Local Organizing Committee

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de Finetti Risk Seminar - February 2017
by Emanuela Rosazza 09 Feb '17

09 Feb '17

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Coalitionally Strategy Proof Social Choice Functions K.P.S. Bhaskara Rao Indiana University Northwest LOCATION: The seminar will be held on Wednesday, February 15, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *****************************************************

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Master and PhD offers - LAAS, Touluse
by Cecchi, F. 08 Feb '17

08 Feb '17

Inoltro con richiesta di diffusione: 2 posizioni per Master/Phd thhesis in Touluse at LAAS sui seguenti argomenti: 1) Vehicular Networks 2) Stochastic Modeling of Computing Systems Dettagli in allegato. Saluti, Fabio

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Fwd: 10th European Summer School in Financial Mathematics
by Carlo Sgarra 08 Feb '17

08 Feb '17

---------- Messaggio inoltrato ---------- Da: "Martin Keller-Ressel" <martin.keller-ressel(a)tu-dresden.de> Data: 03/feb/2017 15:31 Oggetto: 10th European Summer School in Financial Mathematics A: Cc: <summerschool2017.math(a)tu-dresden.de> Dear colleagues, We happily announce and invite applications for the 10th European Summer School in Financial Mathematics „Rough Volatility and Transaction Costs" which will be held at TU Dresden in Dresden, Germany from August 28 - September 1, 2017. Mini-courses will be given by Jim Gatheral Johannes Muhle-Karbe Mathieu Rosenbaum Walter Schachermayer More detailed information on the summer school and instructions for application can be found at: https://www.math.tu- dresden.de/euroschoolmathfi17 The application deadline is April 17, 2017. Successful applicants will be sponsored for travel and accommodation. Please bring the announcement to the attention of PhD-students, Post-Docs and other researchers who may be interested to attend. Martin Keller-Ressel, for the organizing committee: Bruno Bouchard, Stefano De Marco, Martin Keller-Ressel, Mathieu Rosenbaum, Nizar Touzi -------------------------------- Martin Keller-Ressel Professor für Stochastische Analysis und Finanzmathematik Technische Universität Dresden Institut für Mathematische Stochastik Willersbau B 316, Zellescher Weg 12-14 01062 Dresden --------------------------------

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Alcuni aggiornamenti sulla lista Random
by Marco Romito 06 Feb '17

06 Feb '17

Cari iscritti, alcune informazioni importanti relative alla lista Random. 1) C'è stato un piccolo problema tecnico sul server che ospita la lista (più dettagli in calce per gli interessati) per cui alcuni dei messaggi inviati tra il 26 gennaio ed il 5 febbraio potrebbero non essere stati recapitati a tutti gli iscritti (essenzialmente, non hanno ricevuto messaggi coloro la cui posta in un modo o nell'altro passa attraverso server Google). Il problema è attualmente risolto. 2) L'archivio dei messaggi inviati su Random è disponibile all'indirizzo seguente (riportato in calce a ogni messaggio inviato sulla lista): https://fields.dm.unipi.it/pipermail/random/ Chi invia un messaggio a Random è invitato a controllare tale archivio 15 minuti dopo l'invio, per assicurarsi che il proprio messaggio sia effettivamente passato. (Talvolta capita che chi invia un messaggio non lo riceva al proprio indirizzo. Se il messaggio compare in archivio, gli altri utenti lo hanno ricevuto.) 3) L'indirizzo a cui inviare i messaggi alla lista è random(a)fields.dm.unipi.it Ricordiamo che è importante inviare i messaggi dall'indirizzo con cui si è iscritti a Random, altrimenti i messaggi vengono bloccati. Buona giornata, Francesco e Marco _Dettagli tecnici per gli interessati_: nel fine settimana del 27-28 gennaio il numero IP del server che ospita la lista è stato cambiato. Contestualmente, il tecnico che gestisce il server ha attivato la posta sull'indirizzo IPv6 (e non su IPv4). In teoria nulla di grave, perché l'architettura attuale dei server (dns, etc) permette l'indirizzamento con entrambi i tipi. Purtroppo i server di Google si aspettano che il DNS abbia anche una chiave crittografica per garantire che l'indirizzo IPv6 in questione sia autorizzato a inviare posta. Questo, tragicamente, non è stato fatto dal tecnico. La soluzione più immediata è stata di riportare la posta sull'indirizzo IPv4.

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Fwd: open position in Eindhoven
by Bertini, Lorenzo 06 Feb '17

06 Feb '17

---------- Forwarded message ---------- From: Peletier, M.A. <M.A.Peletier(a)tue.nl> Date: 2017-02-03 21:55 GMT+01:00 Subject: open position in Eindhoven To: "bertini(a)mat.uniroma1.it" <bertini(a)mat.uniroma1.it> I’m contacting you now because we just opened a position that’s specifically aimed to be between analysis and stochastics: http://jobs.tue.nl/nl/vacature/crossdisciplinary-tenuretrack-assistant-prof…

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Fwd: posto di Assistant Professor - Università Carlos III di Madrid
by Antonio DI CRESCENZO 06 Feb '17

06 Feb '17

DE: "BERNARDO D AURIA ." <<mailto:bdauria@est-econ.uc3m.es>bdauria(a)est-econ.uc3m.es> ASUNTO: 1 POSTO DI RICERCATORE (TENURE TRACK PER PROF. ASSOCIATO) ALLA UNIVERSITÀ DI MADRID CARLOS III FECHA: 6 de febrero de 2017 13:18:17 GMT+1 PARA: Mailing list RANDOM <<mailto:random@mail.dm.unipi.it>random(a)mail.dm.unipi.it> L'Università Carlos III di Madrid, in particolare il dipartimento di Statistica e Ricerca Operativa, ha bandito un posto di Assistant Professor (Profesor Visitante) Vi passo l'annuncio sperando sia di vostro interesse, la scadenza è per il 28 di Febbraio. La pagina web del dipartimento è http::/<http://www.est.uc3m.es/>www.est.uc3m.es Un saluto Bernardo D'Auria Universidad Carlos III de Madrid email: <mailto:bernardo.dauria@uc3m.es>bernardo.dauria(a)uc3m.es tel: 91.624.9502 en: 3.2.06 - DECANATO (Getafe) tel: 91.624.8804 en: 7.3.J29 - JUAN BENET (Leganés)

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Annuncio di seminario
by Piccioni, Mauro 06 Feb '17

06 Feb '17

*Martedì 14 febbraio* *Ore 14:00, Aula di Consiglio* *Seminario di Probabilità e Statistica Matematica* *Lorenzo Bertini, Dipartimento di Matematica, Sapienza Università di Roma* *Titolo: *Grandi deviazioni rispetto al moto per curvatura media *Sunto: *Si consideri l'equazione di Allen-Cahn in dimensione d=2 o d=3. Effettuando un riscalamento diffusivo, per dati iniziali opportuni, la dinamica limite dell'interfaccia tra le due fasi stabili e' descritta dal moto per curvatura media. Verra' introdotta una perturbazione stocastica di tale equazione e analizzata la corrispondente asintotica di grandi deviazioni nel limite di interfacce concentrate. Il corrispondente funzionale di tasso e' analogo a quello ottenuto analizzando la convergenza variazionale dei funzionali d'azione. La dimostrazione della stima di grandi deviazioni utilizza strumenti di teoria geometrica della misura. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a: piccioni(a)mat.uniroma1.it

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seminario Cosimo Munari in Bicocca
by Fabio Bellini 06 Feb '17

06 Feb '17

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CALL FOR PAPERS: GDRR 2017 - Games and Decisions in Reliability and Risk
by fabrizio＠mi.imati.cnr.it 06 Feb '17

06 Feb '17

GDRR 2017 - 5th Symposium on Games and Decisions in Reliability and Risk Spanish Royal Academy of Sciences - Madrid, Spain June 7-9th, 2017 Following the meetings in Washington by George Washington University (2009), in Belgirate by CNR IMATI (2011), in Kinsale by Trinity College Dublin (2013), and in Istanbul by Yeditepe University (2015), the Fifth Symposium on Games and Decisions in Reliability and Risk (GDRR 2017) will take place in Madrid during June 7-9, 2017. The symposium is organised by ICMAT-CSIC and the Spanish Royal Academy of Sciences and is supported by ISBA and I2SDS at George Washington University. The objective of the symposium is to present novel uses of game and decision theory in reliability and risk analysis and to bring together researchers from diverse disciplines such as economics, engineering, finance, mathematics, medical sciences, probability and statistics. All sessions at this symposium will be plenary, with a mix of invited and contributed presentations. Some preliminary information about the symposium can be found at the web site: http://www.methaodos.org/congresos-methaodos/index.php/gdrr/GDRR17/ Authors interested in presenting a contributed talk are kindly invited to send a title and an abstract by e-mail to gdrr2017(a)icmat.es, by March 31st, 2017. A poster session is planned only if there will be a large number of submissions. A special issue of Applied Stochastic Models in Business and Industry http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1526-4025 is planned on the theme of GDRR. Best regards Fabrizio Ruggeri (on behalf of the Scientific Committee) -- Fabrizio Ruggeri fabrizio AT mi.imati.cnr.it CNR IMATI tel +39 0223699532 Via Bassini 15 fax +39 0223699538 I-20133 Milano (Italy) web.mi.imati.cnr.it/fabrizio

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prova tecnica
by Marco Romito 05 Feb '17

05 Feb '17

prova

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Seminario Sergio Albeverio: Asymptotic expansions, summability, SDEs and applications (DipInf - UniVr)
by Luca di persio 03 Feb '17

03 Feb '17

Mercoledì 8 Febbraio, ore 16:30 Presso: Dipartimento di Informatica (Sala Verde) Strada le Grazie, 15 https://goo.gl/maps/6mB9N2SSeqC2 Il prof. Sergio Albeverio (IAM and HCM, University of Bonn) terrà il seguente seminario Title: Asymptotic expansions, summability, SDEs and applications Abstract: Asymptotic series and Borel summability will be shortly recalled, as well as relations with the classical moment problem,with a view towards applications in the study of (S)DEs. Some examples from models of financial mathematics and mathematical physics will be discussed. Tutti gli interessati sono invitati a partecipare. Cordialmente, LuCa __ 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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seminario Emilio Porcu in Bicocca
by Fabio Bellini 03 Feb '17

03 Feb '17

ll giorno lunedì13 febbraio alle ore 11.00 presso la aula seminari del Dismeq al IV piano dell'edificio U7, il prof. Emilio Porcu del Department of Mathematics della University Federico Santa Maria di Valparaiso terrà un seminario su Estimation and Prediction using Wendland covariance functions under Infill Asymptotics Abstract We study estimation and prediction of Gaussian random fields with covariance models belonging to the generalized Wendland (GW) class, under fixed domain asymptotics. As the Matlern case, this class allows a continuous parameterization of smoothness of the underlying Gaussian random field, being additionally compactly supported. The paper is divided into two parts: first, we characterize the equivalence of two Gaussian measures with GW covariance function, and we provide sufficient conditions for the equivalence of two Gaussian measures with Matlern and GW covariance functions. We elucidate the consequences of these facts in terms of (misspecified) best linear unbiased predictors. In the second part, we establish strong consistency and asymptotic distribution of the maximum likelihood estimator of the microergodic parameter associated to GW covariance model, under fixed domain asymptotics. Our findings are illustrated through a simulation study: the former compares the finite sample behavior of the maximum likelihood estimation of the microergodic parameter with the given asymptotic distribution. The latter compares the finite-sample behavior of the prediction and its associated mean square error when using two equivalent Gaussian measures with Matlern and GW covariance model, using covariance tapering as benchmark. Tuti gli interessati sono invitati a partecipare.

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Summer school on "Mathematical Modelling in Life Sciences" in Pisa - save the date
by Luigi Amedeo Bianchi 02 Feb '17

02 Feb '17

Dear all, this is the first announcement for the summer school on *Mathematical Modelling in Life Sciences*, to be held at the Centro di Ricerca Matematica "E. De Giorgi" in Pisa, Italy, from September 13th to September 15th, 2017. The aim of the school is to introduce and discuss some recent developments in analytical and probabilistic modelling for life sciences. The school will feature two main courses, by *Benoit Perthame* (Université Pierre et Marie Curie in Paris) and *Sylvie Méléard* (Ecole Polytechnique Université Paris- Saclay), as well as additional lectures by *François Delarue* (Université de Nice). There will also be a limited number of short contributed talks by some of the participants. This summer school is intended for PhD students and young researchers, but open for everyone. Registration to the school is free, but compulsory for organisatorial purposes. Some funds are available to offer financial support to a limited number of selected students and young researchers (post-docs). The deadline for application is 29th June 2017.This school would not have been possible, without the support by Centro di Ricerca Matematica "E. De Giorgi", Università di Pisa and GNAMPA-INdAM. More information and the registration form are available on the website http://www.crm.sns.it/event/409/ We are looking forward to seeing you in Pisa. The organisers, Lisa Beck, Luigi Amedeo Bianchi, Dirk Blömker, Franco Flandoli, Marco Romito, Dario Trevisan

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position as Teaching Assistants
by Davide Erminio Pirino 02 Feb '17

02 Feb '17

Three positions as "Teaching Assistant", Faculty of Economics, University of Rome Tor Vergata. Deadline February, 9, 2017. http://economia.uniroma2.it/def/selezioni-e-bandi/175-619/bando-coadiutori-…

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Seminario Thomassey DipMat@UniTo
by Roberta Sirovich 01 Feb '17

01 Feb '17

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* *Giovedì 9 Febbraio 2017 alle ore 11:00 in Aula C* presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, si svolgerà il seguente seminario Sales forecasting in fashion industry: main issues and opportunities Sébastien Thomassey ENSAIT – Lille 1 University Roubaix – France *Abstract *The fashion industry is a very challenging market for the sales forecasting. Indeed, the volatile demand, the strong seasonality of sales, the wide number of items with short life cycle or the lack of historical data, make the traditional forecasting models, based on time series, unsuitable or at least very difficult to implement. Therefore, researchers and practitioners have investigated other techniques such as Artificial Intelligence. The emergence of the “big data” era has also opened new opportunities and generated new issues. In this presentation, we propose an overview of the different constraints related to the sales forecasting in the fashion industry. Some examples are introduced to illustrate the problematics and the potential solutions. Finally, the new opportunities which could be explored are discussed. -- --------------------------------------------------- Roberta Sirovich Department of Mathematics G. Peano University of Torino Via Carlo Alberto 10 10123 Torino (Italy) +390116702937 www.robertasirovich.it <http://www.personalweb.unito.it/roberta.sirovich/EN/Home.html> ---------------------------------------------------

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Fwd: conference announcement: "Statistical mechanics, random planar geometry and interacting random walks", Lyon, June 6-9, 2017
by Francesco Caravenna 30 Jan '17

30 Jan '17

Ricevo e inoltro. > Da: Fabio Toninelli <toninelli(a)math.univ-lyon1.fr> > Oggetto: conference announcement: "Statistical mechanics, random planar geometry and interacting random walks", Lyon, June 6-9, 2017 > Data: 30 gennaio 2017 11:32:30 GMT+01:00 > > > Dear colleagues, > > We are glad to announce the forthcoming workshop: > > "Statistical Mechanics, random planar geometry and interacting random walks" > > to be held on June 6-9, 2017 at the University Lyon 1, France. This workshop will be part of the thematic trimester "ProbabLYon" in probability theory (http://math.univ-lyon1.fr/~garban/ProbabLYon/) > > A list of speakers is avaible on the web-page > > http://math.univ-lyon1.fr/~garban/StatMech2017/ > > Registration is free but mandatory, and should be done here: > > https://indico.math.cnrs.fr/event/1958/registration/register#/register > > Graduate students, postdocs and early career researchers are encouraged to apply. Some financial support is available. Junior participants who wish to apply for financial support should do so before April 15th. and should arrange for a short support letter to be sent by e-mail by their supervisor to the organizers. > > Do not hesitate to forward this announcement to your potentially interested colleagues. > > Best regards, > Christophe Garban, Christophe Sabot, Fabio Toninelli > > Fabio Toninelli > Institut Camille Jordan, Universite' Lyon 1 > 43 bd du 11 novembre 1918 > 69622 Villeurbanne Cedex, France > > Office 105, tel: +33 (0) 4 26 23 44 41

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Numerical methods for stochastic models: control, uncertainty, quantification, mean-field
by Tiziano Vargiolu 30 Jan '17

30 Jan '17

Numerical methods for stochastic models: control, uncertainty quantification, mean-field July 17 - August 25, CIRM, Marseille http://smai.emath.fr/cemracs/cemracs17/ The goal of this event is to bring together scientists from both the academic and industrial communities and discuss these topics. During the first week, a classical summer school is proposed. It consists of several lectures given by leading scientists and related to the topics of the research projects. The remaining 5 weeks are dedicated to working on the rechearch projects, possibly after a morning seminar. Cemracs'17 will be the twenty-second of the series, devoted this year to the study of advanced numerical methods for the analysis of stochastic models associated with stochastic control problems, uncertainty propagation analysis or mean-field type interaction phenomena. These models are echoes many industrial applications (production optimization systems, life sciences, neuroscience, geophysics, fluid mechanics, risk management in finance, etc.). The main difficulty is the non-linearity or the high dimension of the problems encountered in practice. -- Stefano Pagliarani, DEAMS, Universit? di Trieste Via Tigor 22, 34124 Trieste, Italy Cell. Phone +39 338 1447398 stepagliara1(a)gmail.com, stefano.pagliarani(a)deams.units.it http://www.cmap.polytechnique.fr/~pagliarani/

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Seminario Thomassey @UniTo
by Roberta Sirovich 30 Jan '17

30 Jan '17

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* *Giovedì 9 Febbraio 2017 alle ore 11:00 in Aula C* presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, si svolgerà il seguente seminario Sales forecasting in fashion industry: main issues and opportunities Sébastien Thomassey ENSAIT – Lille 1 University Roubaix – France *Abstract *The fashion industry is a very challenging market for the sales forecasting. Indeed, the volatile demand, the strong seasonality of sales, the wide number of items with short life cycle or the lack of historical data, make the traditional forecasting models, based on time series, unsuitable or at least very difficult to implement. Therefore, researchers and practitioners have investigated other techniques such as Artificial Intelligence. The emergence of the “big data” era has also opened new opportunities and generated new issues. In this presentation, we propose an overview of the different constraints related to the sales forecasting in the fashion industry. Some examples are introduced to illustrate the problematics and the potential solutions. Finally, the new opportunities which could be explored are discussed. r. -- --------------------------------------------------- Roberta Sirovich Department of Mathematics G. Peano University of Torino Via Carlo Alberto 10 10123 Torino (Italy) +390116702937 www.robertasirovich.it <http://www.personalweb.unito.it/roberta.sirovich/EN/Home.html> ---------------------------------------------------

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Fwd: Two 3-year probability postdocs in Oxford
by Fabio Martinelli 27 Jan '17

27 Jan '17

---------- Forwarded message ---------- From: Christina Goldschmidt <goldschm(a)stats.ox.ac.uk> Date: Fri, Jan 27, 2017 at 1:00 PM Subject: Two 3-year probability postdocs in Oxford To: Christina Goldschmidt <goldschm(a)stats.ox.ac.uk> Dear colleagues, The Department of Statistics at Oxford is currently advertising two 3-year postdoctoral positions in probability, to work with me on a project concerning random graphs and their scaling limits. I would be very grateful if you could bring this to the attention of any suitable people that you know. Potential candidates should feel free to contact me directly. More details are available from the university's jobs page <https://www.recruit.ox.ac.uk/pls/hrisliverecruit/erq_jobspec_version_4.disp…> where there are links to a detailed job description and the online application form. The start date is flexible (but must be no later than January 2018). The closing date for applications is 12 noon (GMT) on 3 March 2017. Interviews will be held on 16 March 2017. Many thanks and best wishes, Christina Goldschmidt. -- Christina Goldschmidt | http://www.stats.ox.ac.uk/~goldschm Department of Statistics and Lady Margaret Hall, University of Oxford -- Fabio Martinelli Department of Mathematics and Physics Roma Tre University Lg. San Murialdo 1, 00146 Roma Italy tel +39 06 57338039 fax +39 06 57338039

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Avviso di seminario al Politecnico di Milano
by Giuseppina Guatteri 27 Jan '17

27 Jan '17

Si avvisa che in data 3/2/2017, alle ore 12:00 precise, presso Aula seminari del terzo piano del dipartimento di Matematica del Politecnico di Milano, nell'ambito delle iniziative della sezione di Probabilità e Statistica Matematica, si svolgerà il seguente seminario: Titolo: MIsure invarianti per l'equazione stocastica di Navier-Stokes nel piano/ Invariant measures for Navier Stokes equation in the plane Relatore: Benedetta Ferrario, Universita' di Pavia Abstract: Si presenta un risultato di esistenza di una misura invariante per l'equazione di Navier-Stokes nel piano con forzante di tipo rumore bianco nel tempo. Poiche' si lavora in un dominio spaziale illimitato, l'immersione dello spazio di Hilbert H^1 in H^0 non e` compatta e questo richiede una tecnica diversa dal caso di dominio spaziale finito per la dimostrazione dell'esistenza di una misura invariante. Invece del metodo di Krylov e Bogoliubov si ricorre al metodo di Maslowski e Seidler (On sequentially weakly Feller solutions to SPDE's. Atti Accad. Naz. Lincei, Cl. Sci. Fis. Mat. Natur. Rend. Lincei (9) Mat. Appl. 10 (1999), no. 2, 69-78). Questo lavoro e` in collaborazione con Z. Brzezniak (Universita` di York). The existence of an invariant measure for 2d Navier Stokes with white noise (in time) forcing term is given. Due to the unboundedness of the domain a different technique in proving this existence result used. In fact, rather then using Krylov-Bogoliubov method we follow the approach introduced by Maslowsly and Seidler (On sequentially weakly Feller solutions to SPDE\'s. Atti Accad. Naz. Lincei, Cl. Sci. Fis. Mat. Natur. Rend. Lincei (9) Mat. Appl. 10 (1999), no. 2, 69-78). This is a joint paper with Z. Brzezniak, University of York. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a giuseppina.guatteri(a)polimi.it. Giuseppina Guatteri Dipartimento di Matematica Politecnico di Milano Via Bonardi, 9 20133 Milano tel.: +390223994556 fax.:+390223994513 email: giuseppina.guatteri(a)polimi.it "Happiness can be found even in the darkest of times, if one only remembers to turn on the light" A. Dumbledore

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Giornata di studi in onore di Gabriella Salinetti [lunedì 6 febbraio]
by Luca Tardella 27 Jan '17

27 Jan '17

A tutti gli interessati: Il giorno lunedì 6 febbraio 2017 si terra' presso il Dipartimento di Scienze Statistiche di Sapienza Università di Roma la giornata di studi: "Advances in Probability, Statistics and Decision Theory" *** A Conference in Honor of Gabriella Salinetti*** Sul seguente sito http://stat-events.wixsite.com/gabriellaconference sono disponibili - il programma definitivo di tutta la giornata - una mappa per raggiungere la sede della conferenza L'iscrizione al convegno è gratuita, ma necessaria per ragioni organizzative. E' ancora possibile registrarsi sul sito compilando un semplice modulo on line. E' possibile anche registrarsi contattando gli organizzatori al seguente indirizzo: gabriellaconference(a)gmail.com. Cordiali saluti Luca Tardella Dipartimento di Scienze Statistiche Facoltà di Ingegneria dell'Informazione, Informatica e Statistica Sapienza Università di Roma Piazzale Aldo Moro,5 (00185) Roma (ITALY) - BOX 82

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SISbayes Final Announcement
by Brunero Liseo 25 Jan '17

25 Jan '17

Apologies for cross-posting SISbayes 2017 Workshop, Roma 7-8 February 2017. SISbayes 2017 is the first Workshop organized by the section on Bayesian Statistics of the Italian Statistical Society. Please find enclosed the FINAL PROGRAM of the Workshop If you plan to come and join us please visit the website http://stat-events.wixsite.com/sisbayes2017 Brunero Liseo (on behalf of the Scientific Committee and the Organizing Committee) -- ============================================ Brunero Liseo *Dip. di metodi e modelli per il territorio, l'economia e la finanza * *Sapienza Università di Roma* *Viale Castro Laurenziano, 9 Roma I-00161 *Tel. +39 06 49766973 Fax +39 06 4957606 *http://www.memotef.uniroma1.it/users/liseo-brunero <http://www.memotef.uniroma1.it/users/liseo-brunero>* =============================================

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AMMCS 2017 - Call for papers
by Enrico Scalas 25 Jan '17

25 Jan '17

Car* collegh*, durante l'AMMCS 2017 che si terra' a Waterloo in Ontario, Canada dal 20 al 25 agosto 2017, organizzo due sessioni di interesse per chi si occupa di probabilita' applicata: 1. Fractional Calculus and Applications http://www.ammcs2017.wlu.ca/special-sessions/fca/ 2. Modelling of socio economic dynamics http://www.ammcs2017.wlu.ca/special-sessions/msed/ Il sito del congresso con istruzioni e scadenze e' il seguente: http://www.ammcs2017.wlu.ca/ Cordiali saluti, Enrico Scalas

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1 posto di RTD di tipo a) del s.s.d. SECS-S/06 presso la Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 25 Jan '17

25 Jan '17

La Scuola Normale Superiore ha bandito un posto di ricercatore a tempo determinato di tipo a) nel s.s.d. SECS-S/06 Le informazioni, il bando e il modello della domanda si trovano al link http://www.sns.it/bando/ricercatore-tempo-determinato-ssd-secs-s06-metodi- matematici-delleconomina-e-delle-scienze-attuariali-e-finanziarie L'annuncio in inglese si trova al link http://en.sns.it/bando/fixed-term-researcher-mathematical- methods-economy-finance-and-actuarial-sciences Il termine di scadenza delle domande è il prossimo 6 marzo 2017. Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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Correzione
by piccioni＠mat.uniroma1.it 24 Jan '17

24 Jan '17

Mi scuso per le imprecisioni nell’annuncio dei seminari del 31 cm: Valentina Cammarota per il momento è ancora con il King’s College di Londra Il seminario di Sokol Ndreca ha per titolo On a problem of Kendall Vogliate scusarmi Mauro Piccioni Inviato dal mio telefono Windows 10

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Annuncio seminari
by Piccioni, Mauro 24 Jan '17

24 Jan '17

Martedì 31 gennaio 2017 Seminari di Probabilità e Statistica Matematica Aula G, Dipartimento di Matematica, Sapienza Università di Roma Ore 14 Valentina Cammarota (Sapienza Università di Roma) On the critical values of random spherical harmonics. Abstract: We study the limiting distribution, in the high energy limit, of critical points and extrema of random spherical harmonics. In particular, we first derive the density functions of extrema and saddles and then we provide analytic expressions for the variances. Our arguments require a careful investigation of the validity of the Kac-Rice formula in nonstandard circumstances, entailing degeneracies of covariance matrices for first and second derivatives of the processes being analyzed. It is well known that after proper rescaling random spherical harmonics converge to Berry's random plane waves; in the second part of the talk we focus on the spatial distribution of critical points of random plane waves. Based on joint works with Dmitry Beliaev, Domenico Marinucci and Igor Wigman. Ore 15 Sokol Ndreca (University Center of Belo Horizonte) Abstract: In this talk we consider a stochastic point process $i + \xi_i$, where $i\in \mathbb{N}$ and the $\xi_i's$ are i.i.d exponential random variables with standard deviation $\sigma$. Some properties of this process are investigated. We then study a discrete time single server queueing system with this process as arrival process and deterministic unit service time. We obtain a functional equation of the bivariate probability generating function of the stationary distribution for the system. The functional equation is quite singular, does not admit simple solution. We find the solution of such equation on a subset of its set of definition. Finally we prove that the stationary distribution of the system decays super-exponentially fast in the quarter plane. The queueing model, motivated by air and railway traffic, has been proposed by Kendall and others some five decades ago, but no solution of it has been found so far. This is a joint work with Gianluca Guadagni, Carlo Lancia and Benedetto Scoppola. Tutti gli interessati sono invitati a partecipare. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it.

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I: tenure track position at TU delft
by Francesca Collet - EWI 23 Jan '17

23 Jan '17

Ricevo ed inoltro. Mi scuso per eventuali post-crossing. Distinti saluti, Francesca Collet ________________________________ Da: stoch-ned-l-bounces(a)science.uu.nl [stoch-ned-l-bounces(a)science.uu.nl] per conto di Frank Redig - EWI [F.H.J.Redig(a)tudelft.nl] Inviato: lunedì 23 gennaio 2017 08.51 A: stoch-ned-l(a)science.uu.nl Oggetto: [stoch-ned-l] tenure track position at TU delft Included the announcement of a tenure-track position at Delft Institute of Applied Mathematics at the interface probability/analysis/differential geometr. Please spread the message among possibly interested colleagues. Tenure-track Position in Mathematics (Analysis/Probability Theory/Geometry) Department/faculty: Electrical Engineering, Mathematics and Computer Science Level: PhD degree Working hours: 38 hours per week Contract: Tenure track Salary: €3427 to €4691 per month gross U bekijkt een vacaturetekst die opgesteld is in het Engels. Electrical Engineering, Mathematics and Computer Science The Faculty of Electrical Engineering, Mathematics and Computer Science (EEMCS) is known worldwide for its high academic quality and the social relevance of its research programmes. The faculty’s excellent facilities accentuate its international position in teaching and research. Within this interdisciplinary and international setting the faculty employs more than 1100 employees, including about 400 graduate students and about 2100 students. Together they work on a broad range of technical innovations in the fields of sustainable energy, telecommunications, microelectronics, embedded systems, computer and software engineering, interactive multimedia and applied mathematics. The research at the Delft Institute of Applied Mathematics (DIAM) centers around the analysis of mathematical models arising in science and engineering. This research is both fundamental and applied in nature, and is often inspired by technical applications. The department plays an active role in translating research results into concrete, practical applications. It maintains intensive contacts with other TU Delft departments, the major technological institutes and the research laboratories of major companies. Within its own subject field, the department provides teaching for the Applied Mathematics BSc and MSc programmes, and also contributes to the teaching of mathematics courses within other academic programmes at the TU Delft as well as within national programmes such as “MasterMath”. Job description The successful candidate is expected to contribute significantly to the research and teaching portfolio of DIAM. He/she is encouraged to develop his/her own research line in a viable and promising area in the framework of the project "Stochastic Analysis on Riemannian Manifolds and Related Geometric Structures" funded by the Netherlands Organisation for Scientifc Research (NWO). A proven track record in - or affinity with - a relevant area of differential geometry will be considered a strong advantage. Depending on the candidate's profile, he/she will join the Analysis group led by Prof. Jan van Neerven or the Applied Probability group led by Prof. Frank Redig. A Tenure Track, a process leading up to a permanent appointment with the prospect of becoming an Associate or full Professor, offers young, talented academics a clear and attractive career path. During the Tenure Track, you will have the opportunity to develop into an internationally acknowledged and recognised academic. We offer a structured career and personal development programme designed to offer individual academics as much support as possible. For more information about the Tenure Track and the personal development programme, please visit www.tudelft.nl/tenuretrack<http://www.tudelft.nl/tenuretrack>. Requirements Applicants must have a PhD degree in Mathematics and at least three years of post-doctoral experience in an area relevant to the project at the moment of appointment. In addition, they must have a proven track record of research excellence, the ambition to strengthen and expand the research and teaching portfolio of DIAM, and good communication and social skills. Conditions of employment A tenure-track position is offered for six years. Based on performance indicators agreed upon at the start of the appointment, a decision will be made by the fifth year whether to offer you a permanent faculty position. The TU Delft offers a customisable compensation package, a discount for health insurance and sport memberships, and a monthly work costs contribution. Flexible work schedules can be arranged. An International Children’s Centre offers childcare and an international primary school. Dual Career Services offers support to accompanying partners. Salary and benefits are in accordance with the Collective Labour Agreement for Dutch Universities. The TU Delft sets specific standards for the English competency of the teaching staff. The TU Delft offers training to improve English competency. Inspiring, excellent education is our central aim. If you don't have a teaching certificate yet, we allow you up to three years to obtain one. Information and application For more information about this position, please contact Prof. Jan van Neerven, phone: +31 (0)15-2786599, e-mail: M.A.M.vanNeerven(a)TUDelft.nl<mailto:M.A.M.vanNeerven@TUDelft.nl>, or Frank Redig, phone: +31 (0)15-2789706, e-mail: F.H.J.Redig(a)TUDelft.nl<mailto:F.H.J.Redig@TUDelft.nl>. To apply, please send an application letter; a detailed curriculum vitae including a publication list, research and teaching statements; and the names of three references. Please e-mail your application by 15 March 2017 to P.T.M. van den Bergh, Hr-eemcs(a)tudelft.nl<mailto:Hr-eemcs@tudelft.nl>. When applying for this position, please refer to vacancy number EWI2017-02.

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Fwd: [World] Post doc position at KTH, Stockholm
by Gustavo Posta 23 Jan '17

23 Jan '17

Begin forwarded message: > From: Svante Linusson <linusson(a)math.kth.se> > Subject: [World] Post doc position at KTH, Stockholm > Date: 19 gennaio 2017 18:56:21 GMT+01:00 > To: world(a)aleanetwork.net > > Dear all, > > We are searching for a post doc in algebraic and/or probabilistic combinatorics at KTH during next academic year. > > Please spread information to all you might think could be interested. > > Best, > > Svante Linusson > > ---------- > https://www.kth.se/en/om/work-at-kth/stipendier/postdoc-scholarship-in-math… > > Qualifications > > The applicant should have a Ph.D. in mathematics (or equivalent) no older than 5 years and have conducted research in an area related to the project description. The applicant should not have been employed by KTH within the past 3 years. > > Application > > Apply to this scholarship by e-mail to jobs(a)math.kth.se. You are the main responsible to ensure that your application is complete according to the ad. Your complete application must be received at KTH no later than 2017-02-20. Mark your application with reference number S-2016-1444. > > The application must include the following documents: > > Curriculum vitae > Cover letter (detailing both your previous scientific work experience and your interest in this position) > Research statement (max 2 pages) > Contact information for three references > Please observe that you apply for a scholarship, not an employment. > > > > > -- > ------------------ > Svante Linusson > Professor of Mathematics > Department of Mathematics > KTH > SE-100 44, Stockholm > SWEDEN > linusson(a)math.kth.se > 070-444 7906 > _______________________________________________ > World mailing list > World(a)aleanetwork.net > http://aleanetwork.net/cgi-bin/mailman/listinfo/world

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Fwd: summer school
by Gustavo Posta 23 Jan '17

23 Jan '17

Begin forwarded message: > https://www.mimuw.edu.pl/~wssp/index.html

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Fwd: [mi-net_all] Research visits - funding available
by Alessandra Micheletti 20 Jan '17

20 Jan '17

---------- Forwarded message ---------- From: MI-NET <MI-NET(a)bath.ac.uk> Date: Fri, Jan 20, 2017 at 3:19 PM Subject: [mi-net_all] Research visits - funding available To: mi-net_all <mi-net_all(a)lists.bath.ac.uk> ****apologies for cross posting**** Dear All We are running a rolling call for research visits (STSMs) applications from anyone interested on carrying out a visit by 30th April 2017. *STSMs are exchange visits to an institution or laboratory in another COST country <http://www.cost.eu/COST_Actions/TDP/Actions/TD1409?parties> that is part of this Action. Their aim is to foster collaboration and sharing of new techniques and infrastructures, which may not be available at another participant’s institution or laboratory. Visits can last between 5-90 days for an established researcher and 5-180 days for an early career investigator (up to 8 years post PhD).* *An STSM grant is a fixed financial contribution of up to EUR 2000.* *https://mi-network.org/short-term-scientific-missions/ <http://%2522>* Please note that for this call all visits will have to be completed by 30th April 2017. Please follow us on twitter <https://twitter.com/Maths4Industry>, join us on Facebook <https://www.facebook.com/maths4industry/?hc_ref=SEARCH&fref=nf> and on LinkedIn <https://www.linkedin.com/groups/8454112> to be kept up to date on news about funding opportunities in industrial mathematics. Regards Filipa Dr Filipa Vance Project Manager/Grant Holder COST Action TD1409, Mathematics for Industry Network (MI-NET) 4 West Room 2.15, University of Bath, Bath, BA2 7AY, United Kingdom Tel: +44 (0)1225 385886 <+44%201225%20385886> | http://mi-network.org | @Maths4Industry | skype: maths4industry ------------------------------ ***MI-NET Funding Calls Now Open *** *Research visits (STSMs) <https://mi-network.org/short-term-scientific-missions/>* *Travel to conferences <https://mi-network.org/eci/>* Industrial Workshops <http://mi-network.org/industrial-workshops/> *Modelling Weeks <http://mi-network.org/modelling-weeks/>* Study Groups with Industry <http://mi-network.org/short-term-scientific-missions/> ------------------------------ -- ------------------------------------ Alessandra Micheletti Associate Professor - Probability and Mathematical Statistics Dept. of Mathematics and ADAMSS Centre Università degli Studi di Milano via Saldini 50, 20133 Milano, Italy phone: +39-02503-16130 fax: +39-02503-16090 http://users.mat.unimi.it/users/michel <http://www.mat.unimi.it/users/michel>

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school on Large Random Graphs, Bonn, April 2017
by Carina Geldhauser 20 Jan '17

20 Jan '17

Received from the organizer, Prof. Ngoc Tran ------------- April 2017 Hausdorff School: Large random graphs: geometry and applications https://www.hcm.uni-bonn.de/?id=2510 <https://www.hcm.uni-bonn.de/?id=2510> This summer school brings together researchers in both applied and theoretical aspects of random graphs. There are three mini-courses on the latest research progresses and questions on random graphs, their geometry and topology; as well as three contributory talks on the latest applications of random graphs, from ecology to cosmology. Our school is meant to rapidly introduce young researchers to this exciting field, and features extended open problem discussions sessions. *Travel support available*! Please register by*February 10th* the latest to receive full considerations https://www.hcm.uni-bonn.de/events/eventpages/hausdorff-school/wwwhcmuni-bo… <https://www.hcm.uni-bonn.de/events/eventpages/hausdorff-school/wwwhcmuni-bo…> ---------------

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Seminario BOUCHERON
by Matteo Ruggiero 20 Jan '17

20 Jan '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdì 27 Gennaio 2017 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Stéphane BOUCHERON (Université Paris-Diderot) CONCENTRATION INEQUALITIES IN THE INFINITE URN SCHEME FOR OCCUPANCY COUNTS AND THE MISSING MASS, WITH APPLICATIONS TO GOOD-TURING ESTIMATORS AND ADAPTIVE STATISTICAL TEXT COMPRESSION An infinite urn scheme is defined by a probability mass function over positive integers. A random allocation consists of a sample of N independent drawings according to this probability distribution where N may be deterministic or Poisson-distributed. We are concerned with occupancy counts, that is with the number of symbols with r or at least r occurrences in the sample, and with the missing mass that is the total probability of all symbols that do not occur in the sample. Without any further assumption on the sampling distribution, these random quantities are shown to satisfy Bernstein-type concentration inequalities. The variance factors in these concentration inequalities are shown to be tight if the sampling distribution satisfies a regular variation property. Among other applications, these concentration inequalities allow us to derive tight confidence intervals for the Good--Turing estimator of the missing mass. In statistical text compression, adaptive (or twice-universal) coding faces the following problem: given a collection of source classes such that each class in the collection has a non-trivial minimax redundancy rate, can we design a single code which is asymptotically minimax over each class in the collection? We deal with classes of sources over an infinite alphabet (that is with infinite urn schemes), that are characterized by a dominating envelope. We provide asymptotic equivalents for the redundancy of envelope classes enjoying a regular variation property. We construct a computationally efficient online code, which is shown to be adaptive, within a loglog(n) factor, over the collection of regularly varying envelope classes. 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 and Collegio Carlo Alberto www.matteoruggiero.it

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ENBIS Spring Meeting on Predictive Maintenance and Reliability with Big and Complex Data
by antonio.pievatolo＠cnr.it 19 Jan '17

19 Jan '17

Call for papers *ENBIS Spring Meeting on Predictive Maintenance and Reliability with Big and Complex Data* Monastery of Schlägl in Upper Austria, from 28th to 30th May, 2017 Abstract submission deadline: *26 February 2017* Web page: http://www.enbis.org/activities/events/current/533_ENBIS_Spring_Meeting_201… Description The meeting will focus on predictive maintenance and reliability with big and complex data. Industrial statistics and in particular reliability engineering is a strongly growing field of interest as technical products determine more and more our daily life (communication, mobility, logistics, energy, nutrition, etc.). This dependence motivates the importance of high reliability of processes and devices. The 2017 ENBIS Spring Meeting will contribute to the discussion of current problems and challenges in reliability and maintenance and to the exchange of knowledge among experts from industry, consultancy and academia. The meeting will focus on the application of statistical methods in the contemporary big data and internet of things context, where the sustained flow of failure and maintenance data can be of great value for prognosis and decision making if properly integrated with data analytic methods. Contributions are welcome on the illustration of particularly challenging reliability and maintenance problems, as well as on methodologies such as stochastic modelling, association modelling and data analysis methods designed for big data. -- Dr Antonio Pievatolo IMATI-CNR http://www.imati.cnr.it/joomla/index.php/people?layout=edit&id=101

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avviso di seminario Lente - Politecnico di Torino - lunedì 23 ore 11
by Enrico Bibbona 19 Jan '17

19 Jan '17

Lunedì 23 gennaio alle ore 11 in aula Buzano, DISMA, Politecnico di Torino si terrà il seguente seminario Gabor Lente (University of Debrecen, Hungary) Stochastic effects and the autocatalytic chemical systems Per abstract e ulteriori dettagli si veda http://calvino.polito.it/~probstat/seminars/seminars17.html Cordiali saluti, Enrico Bibbona -- Enrico Bibbona Probability, Statistics and Optimization group Department of Mathematical Sciences "G. L Lagrange" Politecnico di Torino

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Annuncio di seminario
by Piccioni, Mauro 18 Jan '17

18 Jan '17

*Lunedi 23 gennaio* *Ore 16:00, Aula di Consiglio* *Seminario di Probabilità e Statistica Matematica* *Domenico Marinucci, Dipartimento di Matematica, Università di Roma Tor Vergata* *Titolo: A Quantitative Central Limit Theorem for the Euler-Poincaré Characteristic of Random Spherical EigenfunctionsWe establish here a Quantitative Central Limit Theorem (in Wassersteindistance) for the Euler-Poincaré Characteristic of excursion sets ofrandom spherical eigenfunctions in dimension 2. Our proof is based upon adecomposition of the Euler-Poincaré Characteristic into differentWiener-chaos components: we prove that its asymptotic behaviour isdominated by a single term, corresponding to the chaotic component oforder two. As a consequence, we show how the asymptotic dependence on the threshold level u is fully degenerate, i.e. the Euler-PoincaréCharacteristic converges to a single random variable times a deterministicfunction of the threshold. This deterministic function has a zero at theorigin, where the variance is thus asymptotically of smaller order. Ourresults can be written as an asymptotic second-order Gaussian KinematicFormula for the excursion sets of Gaussian spherical harmonics.Based on a joint work with Valentina Cammarota.* *Prossimo seminario: Valentina Cammarota, 31/1* *Tutti gli interessati sono invitati ad intervenire.* *Per richieste di informazioni scrivere a piccioni(a)mat.uniroma1.it.*

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Fwd: PhD position at the University of Bath
by Francesco Caravenna 17 Jan '17

17 Jan '17

Ricevo e inoltro. > Da: Marcel Ortgiese <M.Ortgiese(a)bath.ac.uk> > Oggetto: PhD position at the University of Bath > Data: 17 gennaio 2017 12:46:42 GMT+01:00 > > Dear all, > > I am currently advertising a PhD position in networks at the University of Bath, for details see below. > I’d be grateful if you could pass the message on to anyone who you think might be interested. > For further details, please contact me at m.ortgiese(a)bath.ac.uk. > > Thank you, > Marcel > > ====================================================== > > Topic: Preferential attachment networks with fitness > Application deadline: Tuesday, January 31, 2017 > Anticipated start date: 2 October 2017 > > > UK and EU students may apply for a University Research Studentship which will cover Home/EU tuition fees, a training support fee of £1000 per annum and a tax-free maintenance allowance of £14,296 (2016/17 rate) for 3.5 years. > > See also https://www.findaphd.com/search/ProjectDetails.aspx?PJID=80623 and follow the link to apply online (choose “PhD programme in Statistics (full-time)” and mention the project title). > > > Project description: > This PhD project is based in a modern area of probability at the intersection of random graphs, branching processes and processes in random environments. > > The main topic of the project is the analysis of growing network models. Following the paradigm of preferential attachment, these models offer a simple explanation to why power laws can be observed in real-life networks such as the world wide web. The basic rule is that when new nodes are introduced into the network, they prefer to establish connections to old nodes that already have many connections. In this project we will consider the preferential network model with fitness. Here, the classical preferential attachment mechanism is modified by equipping each node with a random fitness. This models the fact that not every new node in a real-life network has the same initial attractiveness. The aim of the project is to understand how this extra randomness modifies the structure of the network. The mathematical analysis is closely related to studying processes in random environment and in particular to non-homogeneous branching processes. > > The project will be based at the internationally recognised probability laboratory at the University of Bath and the PhD candidate would benefit from a vibrant research environment and the interaction with other postgraduate students and other specialists working on closely related topics. >

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de Finetti Risk Seminar - January 24, 2017
by Emanuela Rosazza 17 Jan '17

17 Jan '17

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture TITLE: Partial Differential Equations (PDEs) in Infinite Dimension: Economic and Financial models Fausto Gozzi LUISS, Italy ABSTRACT: "PDEs in Infinite Dimension" seems, already from the name, a very abstract and difficult subject. We aim to show how it can be very useful in treating, in particular, economic and financial models. We start by presenting some motivating problems in Economic and Finance (e.g. Growth and Pricing/Hedging) which can be naturally attacked using, as main mathematical tools, infinite dimensional PDEs. We then point out the state of the art on these kind of problems and present some recent results on them. Finally we will discuss the applicability of such results to the motivating problems and give some ideas on possible future developments. LOCATION: The seminar will be held on Tuesday, January 24, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 19.00. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *****************************************************

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Annuncio Seminario di Probabilità, Pisa, Mercoledi 18 gennaio, ore 11:00
by Carina Geldhauser 16 Jan '17

16 Jan '17

----- Annuncio Seminario di Probabilità, Pisa ---- Dipartmento di Matematica, Università di Pisa Mercoledi, 18 gennaio, ore 11:00, Sala Riunioni. Seminario di Probabilità SPEAKER 1: Dario Trevisan, Universita di Pisa TITLE: A PDE approach to a 2-dimensional matching problem ABSTRACT: We prove asymptotic results for 2-dimensional random matching problems. In particular, we obtain the leading term in the asymptotic expansion of the expected quadratic transportation cost for empirical measures of two samples of independent uniform random variables in the square. Our technique is based on a rigorous formulation of the challenging PDE ansatz by S. Caracciolo et al. (Phys. Rev. E, 90, 012118, 2014) that linearizes the Monge-Ampère equation. Moreover, it provides a new approach to classical bounds due to Ajtai et al. (Combinatorica, 4, 1984). Joint work with L. Ambrosio and F. Stra. Dopo una pausa di circa 15min, proseguiamo con SPEAKER 2: Franco Flandoli, Università di Pisa TITLE: Sistemi di particelle (proseguimento): l'idea dell'equilibrio locale. ABSTRACT. Si prosegue la breve introduzione ai limiti macroscopici in diversi regimi approfondendo, pur solo euristicamente, il caso del limite idrodinamico, basato sull'idea di equilibrio locale. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a carina.geldhauser(a)dm.unipi.it

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Annuncio di seminario
by Piccioni, Mauro 12 Jan '17

12 Jan '17

*Dipartimento di Matematica, Sapienza Università di Roma * *Martedì 17 gennaio* *Ore 14:00, Aula di Consiglio* *Seminario di Probabilità e Statistica Matematica* *Mauro Mariani, Dipartimento di Matematica, Sapienza Università di Roma* *Titolo: Metastable regimes of diffusion processes* *Abstract: *I will discuss some old and new results concerning a classical example featuring a metastable behavior: finite-dimensional diffusion processes in the vanishing noise limit. Sharp estimates have been introduced during the '60s. More recently, similar ideas appeared in the context of potential theory and calculus of variations. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a: piccioni(a)mat.uniroma1.it

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Seminario Tiziano De Angelis 19 gennaio 2017 presso Università Cattolica sede di Milano
by Marina Di Giacinto 12 Jan '17

12 Jan '17

Seminario di Tiziano De Angelis (School of Mathematics - The University of Leeds) Giovedi' 19 gennaio 2017 - ore 11:00 - aula 200 Università Cattolica del Sacro cuore, Milano, Dipartimento di di Discipline matematiche, Finanza matematica ed Econometria Viale Necchi, 9 - Milano TITLE: The dividend problem with a finite horizon ABSTRACT: We characterize the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realized by a Skorokhod reflection of the fund's value at a time-dependent optimal boundary. Our results are obtained by establishing for the first time a new connection between singular control problems with an absorbing boundary and optimal stopping problems on a diffusion reflected at an elastic boundary. Joint work with Erik Ekstrom (Uppsala Universitet) Paper available at http://arxiv.org/abs/1609.01655 Tutti gli interessati sono invitati a partecipare.

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Convegno in memoria di Enza Orlandi, Roma Tre 20-21 gennaio 2017
by Pietro Caputo 10 Jan '17

10 Jan '17

CONVEGNO in memoria di Enza Orlandi "Dynamics and Hydrodynamic Limits in Statistical Mechanics" 20-21 Gennaio 2017 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA F - Largo San L. Murialdo,1 - ROMA in memoria della nostra collega e amica Enza Orlandi. Per maggiori informazioni rimandiamo al sito web: https://enzaorlandi.wordpress.com/ Invitiamo gli interessati che non si siano ancora registrati a farlo appena possibile, inviando una mail a: giuliani(a)mat.uniroma3.it Segnaliamo inoltre che venerdi' 20 gennaio avra' luogo una cena sociale presso il ristorante "Al Pompiere" (http://www.alpompiereroma.com/) Invitiamo gli interessati a partecipare alla cena a segnalarlo inviando una mail a: giuliani(a)mat.uniroma3.it ENTRO VENERDI 13 GENNAIO. Poiche' il locale ha posti limitati, nel caso in cui si superasse il numero massimo di richieste, verra' data precedenza ai primi iscritti. Alessandro Giuliani Elisabetta Scoppola Pierre Picco

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Fwd: [Statlist] PhD position at Leiden University
by Ester Mariucci 10 Jan '17

10 Jan '17

Buongiorno, ricevo ed inoltro l'annuncio di una borsa di dottorato all'Università di Leiden. Buon anno a tutti, Ester Mariucci ---------------------------------------------------- From: Schmidt-Hieber, A. Johannes <schmidthieberaj(a)math.leidenuniv.nl> The mathematics department of Leiden University in the Netherlands invites applications for a four-year PhD position in statistics. Topic: The successful candidate will be working on fundamental questions in nonparametric Bayes theory. Nonparametric Bayes is a very active field within mathematical statistics with various applications ranging from biology to machine learning. The theory has been developed largely during the past years but remains a topic of active research with many challenging open problems. The PhD position is financed by a TOP II grant from the Dutch science foundation. The grant gives some flexibility in the choice of the projects that will be addressed allowing to adapt to the background and interests of the candidate. Team: The PhD project will be carried out with Johannes Schmidt-Hieber. There is a large research community including many PhD students in the Netherlands (and in particular in Leiden) closely collaborating on similar projects. Regularly, joint nationwide seminars are organised. University: Information about Leiden University can be found here http:// www.leidenuniv.nl. For more information about the mathematics department, please see https://www.math.leidenuniv.nl/nl/home/ Terms of employment: There is no fixed starting date for the position. The terms of employment are governed by the Collective Labour Agreement of Universities in The Netherlands, with a monthly salary starting at 2083 Euro in the first year, and increasing to 2664 Euro in the fourth year, and an additional 8% holiday allowance and 8% end-of-year bonus. An extensive fringe benefits package is included. An individual choices model gives you some freedom to assemble your own set of terms and conditions. Candidates from outside the Netherlands may be eligible for a substantial tax break. Additional budget allows for research visits abroad and attendance of international conferences. Application: If you are interested in the position, please send an email with cv and a letter outlining research interests to Johannes Schmidt-Hieber ( schmidthieberaj(a)math.leidenuniv.nl ). Upon selection, letters of recommendation, evaluating the candidate's research experience, will be required from two or more references. If you have further questions do not hesitate to send an email to schmidthieberaj(a)math.leidenuniv.nl .

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Tenure track position at NTNU in Trondheim, Norway (fwd)
by Tiziano Vargiolu 10 Jan '17

10 Jan '17

---------- Forwarded message ---------- Date: Fri, 6 Jan 2017 13:48:28 +0100 From: Helge Holden <holden(a)math.ntnu.no> To: holden(a)math.ntnu.no Subject: Tenure track position at NTNU in Trondheim, Norway Dear colleague, Thanks to a generous donation, we have an opening for a tenure track position here at NTNU in Trondheim. Applicants should not be older than 40 years (compensation for broken careers) working in pure mathematics (widely interpreted), and the contract will be for up to 6 years. During this period one will be considered for tenure. Successful candidates will be given funds to support 1 post doc and 2 PhD positions! See http://bfstiftelse.no/wp-content/uploads/2016/12/CALL-Matematikk.pdf for further information. [Similar positions will be advertised in Oslo and Bergen, but applications will be treated separately at the three universities.] The math. dept. at NTNU is the largest in Norway, and is a very international department with more then 10 nationalities among the permanent faculty. If you have candidates for a such a position, please let me know by 20 Jan 2017, as the preparation of an application will require some time. Female candidates are especially encouraged to apply. Regards Helge

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PhD course di Mustafa Pinar in Bicocca
by Fabio Bellini 09 Jan '17

09 Jan '17

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Fwd: GSSI Call Expressions of Interest in Probability
by Gustavo Posta 09 Jan '17

09 Jan '17

> > Call for Expressions of Interest in Probability at GSSI > > http://www.gssi.infn.it/communication/announcements/item/1195-expression-of > -interest-for-faculty-position-in-probability > > > CONTACT: eoi-math(a)gssi.it > > > > -- > GSSI MATHEMATICS DivisionExpressions of Interest Calls > > Gran Sasso Science Institute > School for Advanced Studies > V.le Crispi 7 > 67100 L'AQUILA - Italy >

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Announcement: 8th AMaMeF Conference - MARK THE DATES!
by cecilia mancini 09 Jan '17

09 Jan '17

-------- Messaggio Inoltrato -------- Oggetto: Announcement: 8th AMaMeF Conference - MARK THE DATES! Data: Fri, 6 Jan 2017 09:20:51 +0100 Mittente: Giulia Di Nunno <giulian(a)math.uio.no> A: Giulia Di Nunno <giulian(a)math.uio.no> CC: Giulia Di Nunno <giulian(a)math.uio.no> Dear Colleague, on behalf of the organising committee is a pleasure to announce that the *8th AMaMeF Conference* will take place in *Amsterdam June 19-23, 2017, *thanks to the joint efforts of groups at the University of Amsterdam, Radboud University, and ING Bank. With the participation of TopQuants. The conference features plenary lectures and parallel sessions covering the forefront areas of research in theoretical and quantitative finance, risk, insurance. Registration and possibility for contributed talks and posters is open soon. Follow the development at the website (in continuous development):*http://8amamef.nl <http://8amamef.nl/>* * * Please help to distribute this announcement among your all contacts. * * Welcome to Amsterdam in June! Best regards and warmest season's greetings Giulia Di Nunno Professor Department of Mathematics University of Oslo * * * *

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annuncio di seminario: D. Cappelletti presso Politecnico di Torino
by Enrico Bibbona 09 Jan '17

09 Jan '17

Martedì 10 gennaio alle ore 11 in Aula Buzano, DISMA, Politecnico di Torino si terrà il seguente seminario Daniele Cappelletti (University of Wisconsin - Madison) Titolo: Reaction networks in the determistic and the stochastic settings per l'abstract e altri dettagli si rimanda alla pagina web http://calvino.polito.it/~probstat/seminars/seminars17.html Cordiali saluti, Enrico Bibbona -- Enrico Bibbona Probability, Statistics and Optimization group Department of Mathematical Sciences "G. L Lagrange" Politecnico di Torino

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job advertisement: Queen Mary, London
by Eva Riccomagno 06 Jan '17

06 Jan '17

Dear All the School of Mathematics in Queen Mary, London is advertising various positions in statistics and applied mathematics. Please feel free to forward the following link to suitable candidates http://www.maths.qmul.ac.uk/about-us/vacancies <http://www.maths.qmul.ac.uk/about-us/vacancies> Best regards, Eva Riccomagno ————————————————————————————— Prof. Eva Riccomagno Dipartimento di Matematica - Universita` degli Studi di Genova Via Dodecaneso, 35 - 16146 Genova - ITALIA Tel: +39 - 010 - 353 6938 Fax: +39 - 010 - 353 6960 www.dima.unige.it/~riccomag

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CORRECTION Final Announcement: Third STAR workshop on Random Graphs (Registration Deadline: 16 January)
by Ben Hansen 05 Jan '17

05 Jan '17

Final Announcement: Third STAR workshop on Random Graphs (Registration Deadline: 16 January) The workshop will take place on Thursday 26 and Friday 27 January 2017 on the campus of the University of Utrecht. This will be the 3rd STAR Workshop on Random Graphs. The first took place in 2012 and the second in 2015. We are very pleased to announce the following prominent researchers have agreed to deliver plenary talks: - Marián Boguñá (Barcelona) - Mihyun Kang (Graz) - Vincent Tassion (Geneva/Zürich) - Shariefuddin Pirzada (Kashmir) - Daniel Valesin (Groningen) - Nick Wormald (Melbourne) The workshop is open to all and free of charge, however registration is required to ensure sufficient catering. The deadline for registration is the 16th of January. Registration can be done by emailing: benhansen09(a)gmail.com The website of the workshop can be found at the address: http://www.math.uu.nl/stochsem/WorkshopRGs2017/

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Final Announcement: Third STAR workshop on Random Graphs (Registration Deadline: 16 January)
by Ben Hansen 05 Jan '17

05 Jan '17

Final Announcement: Third STAR workshop on Random Graphs (Registration Deadline: 16 January) The workshop will take place on Thursday 26 and Friday 27 January 2017 on the campus of the University of Utrecht. This will be the 3rd STAR Workshop on Random Graphs. The first took place in 2012 and the second in 2015. We are very pleased to announce the following prominent researchers have agreed to deliver plenary talks: - Marián Boguñá (Barcelona) - Mihyun Kang (Graz) - Vincent Tassion (Geneva/Zürich) - Shariefuddin Pirzada (Kashmir) - Nick Wormald (Melbourne) The workshop is open to all and free of charge, however registration is required to ensure sufficient catering. The deadline for registration is the 16th of January. Registration can be done by emailing: benhansen09(a)gmail.com The website of the workshop can be found at the address: http://www.math.uu.nl/stochsem/WorkshopRGs2017/

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Fwd: [iwfos2017] IWFOS 2017. Third Announcement: extended deadline and possibility for submitting short abstracts (one page)
by enea giuseppe bongiorno 05 Jan '17

05 Jan '17

*4th International Workshop on Functional and Operatorial Statistics (IWFOS 2017)* *Third Announcement: extended deadline and possibility for submitting short abstracts (one page)* Dear Colleagues, Dear Friends, We announce that: *SUBMISSIONS: *Authors can choose between submitting short contributions (6-8 pages in the required format, as up to now) or short abstracts (one page). Accepted short contributions will be collected in a book published by *Springer* <http://www.springer.com/gp/>, but not the short abstracts. *DEADLINE TO SUBMIT SHORT CONTRIBUTIONS: *December 31st, 2016. January 23rd, 2017. *DEADLINE TO SUBMIT SHORT ABSTRACTS FOR ORAL PRESENTATION: *January 23rd, 2017. *DEADLINE TO SUBMIT SHORT ABSTRACTS FOR POSTER PRESENTAT.: *May 18th, 2017. More information can be found at the* WEBSITE: *http://iwfos2017.udc.es *CONTACT: *iwfos2017(a)udc.es <iwfos2017(a)udc.xn--es-qia> Thank you for your attention. Hoping to see you in A Coruña, Sincerely Yours, On behalf of the Scientific and Organizing Committees, Ricardo Cao Philippe Vieu Germán Aneiros Enea Bongiorno

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11/01/17 Seminario di Boguslaw Zegarlinski a Roma Tre
by Pietro Caputo 05 Jan '17

05 Jan '17

********** SEMINARIO Probabilita' Prof. Boguslaw Zegarlisnki (Imperial College, London UK) Titolo: Dissipative Dynamics for Large Interacting Systems" Mercoledi' 11 gennaio 2017 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Largo San Leonardo Murialdo,1 - Pal.C, Aula 311 Abstract: I will review recent results and open problems concerning constructions and ergodicity of dissipative dynamics for classical large interacting systems. In particular I will talk about dynamics defined by formally hypoelliptic generators and some generalised Dunkl type extensions, and how to control their long time behaviour (by use of coercive inequalities or generalised gradient type bounds). *************

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annuncio di seminario
by Piccioni, Mauro 03 Jan '17

03 Jan '17

*Dipartimento di Matematica, Sapienza Università di Roma * *Martedì 10 gennaio* *Ore 14:00, Aula di Consiglio* *Seminario di Probabilità e Statistica Matematica* *Antonio Lijoi, Dipartimento di Economia e Management, Università di Pavia* *Titolo: Bayesian nonparametric inference with heterogeneous data* *Abstract: * *The talk provides an overview of some recent work on random probability measure vectors and their role in Bayesian statistics. Indeed, dependent nonparametric priors are useful tools for drawing inferences on data that arise from different, though related, studies or experiments and for which the usual exchangeability assumption is not satisfied. The presentation will focus on models based on completely random measures, or suitable transformations thereof, that have an additive, a hierarchical and a nested structure. Some of their distributional properties relevant for prediction will be discussed. These theoretical results are, then, used for devising Markov chain Monte Carlo algorithms that will be implemented within some illustrative examples for analyzing data in the contexts of species sampling problems and survival analysis.* *Tutti gli interessati sono invitati ad intervenire.* *Per richieste di informazioni scrivere a piccioni(a)mat.uniroma1.it <piccioni(a)mat.uniroma1.it>.*

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Fwd: Searching fot PhD candidates - announcement
by enea giuseppe bongiorno 30 Dec '16

30 Dec '16

Gent.mi colleghi, ricevo ed inoltro l'annuncio di posizioni aperte all'Università di A Coruna. Buone feste a tutti, E.Bongiorno ---------- Forwarded message ---------- From: Ana Almécija Pereda <ana.almecija(a)udc.es> Date: 29 December 2016 at 13:03 Subject: Searching fot PhD candidates - announcement To: ana.almecija(a)udc.es Dear Sir/Madam: On behalf of professors Ricardo Cao Abad and Juan Vilar Fernández, coordinators of the research group Modeling, Optimization and Statistical Inference (MODES) of the University of A Coruña (UDC), I forward the attached announcement in order to select candidates to perform their PhD in the group MODES. The profile of candidates is that of a graduate or an engineer with a solid background in mathematics and sttistics, who has completed or is completing a master's degree. He/she should be able to enroll in a doctoral program in 2017, if possible in February. Those selected may be hired under one of the research projects in force in the MODES group. In addition, they will be able to request, together with the MODES group, an aid for the training of university professors (FPU), the Training and Mobility subprograms included in the State Program for Promotion of Talent and their Employability, within the framework of the Spanish State Plan Scientific and Technical Research and Innovation 2013-2016. Please, would you be so kind as to spread this announcement among potential candidates? Do not hesitate to contact me for any further information you may need. Thank you very much in advance. Kind regards, -- Ana Almécija Pereda Técnico de Gestión de Proyectos Departamento de Matemáticas Facultade de Informática Universidade da Coruña Campus de Elviña s/n 15071 A Coruña Tfn: (+34) 981 167 000 (ext. 1308) ana.almecija(a)udc.es

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Seasons Greetings and First Reminder: Australasian Commodity Markets Conference, 6-7 April, 2017 at Macquarie University, Sydney, Australia (fwd)
by Tiziano Vargiolu 29 Dec '16

29 Dec '16

---------- Forwarded message ---------- Date: Sat, 24 Dec 2016 01:24:17 +0000 From: Stefan Trueck <stefan.trueck(a)mq.edu.au> To: Stefan Trueck <stefan.trueck(a)mq.edu.au> Cc: Lurion De Mello <lurion.demello(a)mq.edu.au>, Linda Drake <linda.drake(a)mq.edu.au> Subject: Seasons Greetings and First Reminder: Australasian Commodity Markets Conference, 6-7 April, 2017 at Macquarie University, Sydney, Australia We wish you and your family a Merry Christmas and a Happy New Year! Please find attached the 'Call for Papers' for the 1st Australasian Commodity Markets Conference to be held on 6-7 April, 2017 at Macquarie University, Sydney, Australia. The conference will be organized by Macquarie University's Centre for Financial Risk and will be held in conjunction with the Journal of Commodity Markets. The deadline for submission of papers is January 20, 2017. Decisions on accepted manuscripts will be announced by January 31, 2017. Further information about the conference can be found here: https://www.mq.edu.au/research/research-centres-groups-and-facilities/prosp… Please feel free to forward this invitation to others who might be interested in the conference. The Conference Organizing Committee, Linda Drake, Lurion De Mello and Stefan Trueck Stefan Trueck Professor of Finance Co-Director, Centre for Financial Risk Macquarie University email: stefan.trueck(a)mq.edu.au<mailto:stefan.trueck@mq.edu.au> Tel. +61 (0)2 9850 8483<tel:%2B61%20%280%292%209850%208483>

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5th International Symposium on Environment and Energy Finance Issues (ISEFI-2017) (fwd)
by Tiziano Vargiolu 29 Dec '16

29 Dec '16

---------- Forwarded message ---------- Date: Wed, 28 Dec 2016 08:05:25 +0000 From: Frederic Teulon <frederic.teulon(a)dbmail.com> To: Fr?d?ric Teulon <f.teulon(a)ipag.fr> Subject: 5th International Symposium on Environment and Energy Finance Issues (ISEFI-2017) CALL FOR PAPERS 2017 INTERNATIONAL SYMPOSIUM ON ENVIRONMENT & ENERGY FINANCE ISSUES 22-23 May 2017 IPAG Business School, Paris Campus, 184 Boulevard Saint-Germain, 75006 Paris, France The 5th International Symposium on Environment and Energy Finance Issues (ISEFI-2017), jointly organized by the IPAG Center for Energy Economics and Environment (IPAG Business School) and the Centre of Geopolitics of Energy and Raw Materials (Paris Dauphine University) with the support of the International Association for Energy Economics (IAEE), will take place on 22-23 May 2017 in Paris, France. It aims to provide academics, policymakers, and practitioners with a valuable forum for discussion and critical analysis of the major issues and challenges that interrelate energy, environment, macroeconomics and financial markets. TOPICS The conference organizers would like to invite the submission of both theoretical and empirical papers (in PDF files) relating to all aspects of environment, and energy markets as well as their interactions with financial markets. We welcome submissions in the following, but not limited to, topics: * Climate negotiations and scenarios for a +2? world * Corporate finance analysis for energy companies * Econometrics of energy markets * Energy and climate models * Energy and environment * Energy derivatives: pricing and hedging * Energy and financial market interactions * Energy issues in developing and emerging markets * Energy policies for low carbon transportation * Energy prices: modeling and forecasting * Energy risks: assessment and modeling * Electricity networks, smart-grids, electricity demand * Financial and economic analysis of energy markets * Financial regulation of energy and environmental markets * Finance and investment in renewable energy * Intergenerational choices under global environmental change * Hydroelectricity and water management * Natural resources, risk, welfare and social preferences * Oil and shale gas * Poverty and environmental impacts of electritcity price reforms * Renewable and low carbon technologies policy * Speculation and energy prices * State regulation and energy governance * Transportation charges in oil and natural gas industries GUEST KEYNOTE SPEAKERS * Professor Amy Myers Jaffe, University of California, United States * Professor Richard S.J. Tol, University of Sussex, United Kingdom PAPER SUBMISSION PROCEDURE Interested authors can submit their research papers (in PDF files), no later than March 5, 2017 via the Symposium website. https://isefi.sciencesconf.org/ SPECIAL ISSUE OF ENERGY POLICY A selection of high-quality papers submitted to the ISEFI-2017 Symposium will be published in a Special Issue of Energy Policy on the theme ?Energy and Environment: Transition Models and New Policy Challenges in the Post Paris Agreement?. IMPORTANT DATES * March 5, 2017: Submission deadline (full papers, PDF files) * March 25, 2017: Notification of acceptance/rejection * April 20, 2017: Registration deadline * May 22-23, 2017: Symposium event Please visit the conference website for more details: http://isefi.sciencesconf.org/. For general inquiries, please contact Anna Creti (anna.creti(a)dauphine.fr) Khaled Guesmi (khaled.guesmi(a)ipag.fr) or Duc Khuong Nguyen (duc.nguyen(a)ipag.fr)

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Simone Scotti seminar [ Comp.Science Dept. UniVr ; January 11, 2017 - 3:00 PM ]
by Luca di persio 28 Dec '16

28 Dec '16

Prof. Simone Scotti [ LPMA, Université Paris Diderot ], will be hosted by the Computer Science Department of the University of Verona (Strada le Grazie, 15, Verona) https://goo.gl/maps/7uSSJWCiZtC2 the next 11st of January 2017 (Wednesday). He will give the seminar *Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling* scheduled at the *Green Hall*, *starting from 15:00*, with the following *Abstract* We introduce a class of interest rate models, called the alpha-CIR model, which gives a natural extension of the standard CIR model by adopting the alpha-stable Lévy process and preserving the branching property. This model allows to describe in a unified and parsimonious way several recent observations on the sovereign bond market such as the persistency of low interest rate together with the presence of large jumps at local extent. We emphasise on a general integral representation of the model by using random fields, with which we establish the link to the CBI processes and the affine models. Finally we analyse the jump behaviours and in particular the large jumps, and we provide numerical illustrations. This is a joint work with Ying Jiao and Chunhua Ma. *Here you can find more details*: http://www.di.univr.it/?ent=seminario&id=3847&lang=en Do not hesitate to contact me for further infos: luca.dipersio(a)univr.it Best, LuCa __ 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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One-day workshop on Algebraic Statistics
by Eva Riccomagno 27 Dec '16

27 Dec '16

Buongiorno a Tutti, Si informa che lunedi’ 23 gennaio presso il Dipartimento di Matematica dell’Universita’ di Genova, aula 705, si terra’ un workshop di Statistica Algebrica con il programma in calce. Gli interessati sono cordialmente invitati a partecipare. Cordiali saluti, Eva Riccomagno ore 10.:30 Gherardo Varando, Computational Intelligence Group, Department of Artificial Intelligence, Technical University of Madrid http://cig.fi.upm.es/CIGmembers/gherardo_varando <http://cig.fi.upm.es/CIGmembers/gherardo_varando> TITLE: Polynomial representations of Bayesian network classifiers ABSTRACT: We briefly review our previous works on how to define families of polynomial that sign-represent decision functions induced by Bayesian network classifiers (BNCs). We show how to use those representations to bound the number of decision representable by BNCs and to study some extensions of BNCs to multi-label classification problems. We then expose the connections with algebraic statistic and in particular with the algebraic representation of discrete probability and conditional independence models. We conclude with some possible future lines of research. ore 11:30 Luigi Malago', Romanian Institute of Science and Technology - RIST TITLE: On the Geometry of Neural Networks: from 20-year-old Amari's natural gradient to these days ABSTRACT: Artificial neural networks consist of interconnected computational units, called neurons, which act as mathematical functions. From a mathematical perspective, a neural network is commonly defined as a composition of non-linear weighted sums, which transform input vectors to output vectors. Equivalently, from a probabilistic perspective, given an unknown probability distribution for the inputs, the network encodes a parametric conditional probability distribution, where the parameters are given by the connection weights. Information Geometry studies the geometry of statistical models with tools from differential and Riemannian geometry. Not surprisingly, one of the first applications of Information Geometry was related to the training of neural networks using the natural gradient. Neural networks were quite promising in the 80s in the machine learning community, but later on other methods gradually became more popular. More recently, starting from 2011-12, neural networks and their use in deep learning architectures have become prominent, thanks to their state-of-the-art performance in several different fields. In this talk we review the geometry of neural networks from the perspective of Information Geometry after almost 20 years from its conception, and we present some more recent applications of natural gradient-based methods for the training of deep neural networks. ore 14:00 Giovanni Pistone, ', de Castro Statistics, Collegio Carlo Alberto, Moncalieri TITLE: Geometries of the Gaussian Model ABSTRACT: In Information geometry, it is possible to define a number of different geometrical structures on the full Gaussian model: the Fisher-Rao Riemannian Manifold (S.T. Skovgaard 1981), the Wasserstein Riemannian Manifold (A. Takatsu 2011), the Exponential and Mixture Affine manifolds (G. Pistone & C. Sempi 1995). We discuss the features of these geometries, including the second order properties (e.g. Hessians), with special emphasis of the Wasserstein case. This turns out to be a special case of a more general set-up introduced in 2001 by R. Otto. Applications, due to L. Malagò (in progress), are presented. ————————————————————————————— Prof. Eva Riccomagno Dipartimento di Matematica - Universita` degli Studi di Genova Via Dodecaneso, 35 - 16146 Genova - ITALIA Tel: +39 - 010 - 353 6938 Fax: +39 - 010 - 353 6960 www.dima.unige.it/~riccomag

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postdoc
by davide gabrielli 22 Dec '16

22 Dec '16

Da: "karel netocny" <netocny(a)fzu.cz> A: "Karel Netocny" <netocny(a)fzu.cz> Inviato: Mercoledì, 21 dicembre 2016 16:21:06 Oggetto: Postdoctoral position Dear colleagues, I have recently got a 3-year grant from the Czech Science Foundation entitled "Stochastic thermodynamics of molecular systems: from classical to quantum" (2017-19). Included is a postdoctoral position for which I am now looking for a suitable candidate; see the attached announcement. I would be very grateful if you could announce this opening to possible candidates in your institution. The exact start date of the position can be negotiated (say, February - May 2017), however I would like to hear of a suitable person as soon as possible. Thank you very much in advance. Kind regards and best Christmas wishes from Prague. Karel Netocny

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Post doctoral position in probability - Paris
by pietro caputo 21 Dec '16

21 Dec '16

---------- Forwarded message ---------- From: Cristina Toninelli <cristina.toninelli(a)upmc.fr> Date: Wed, Dec 21, 2016 at 1:53 PM Subject: Post doctoral position in probability - Paris Dear friends and colleagues, I am currently advertising a postdoctoral position in Probability in University Paris Diderot, at the Laboratoire de Probabilites et Modeles Aleatoires. The position is funded by my European project MALIG. Main areas of research include interacting particle systems, bootstrap percolation cellular automata and glassy dynamics. The position is for two years. The expected starting date is september 2017, but a different date may be arranged. The successful candidate will not have teaching duties and will have substantial fundings for travel. I would be grateful if you would bring this announcement to the attention of potential candidates and distribute it via local mailing lists. I apologise if you receive this email more than once. The deadline for applications is 31th January 2017. Candidates can contact me directly for any additional informations cristina.toninelli(a)upmc.fr or visit the postdoc announcement on my website http://www.proba.jussieu.fr/~toninelli/postdoc.html Best regards, Cristina Toninelli

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2-years research grant
by Tiziano Vargiolu 21 Dec '16

21 Dec '16

Dear all, the Interdepartmental Centre "Giorgio Levi Cases" for Energy, Economics and Technology (University of Padova) issues a research grant on the topic "Capacity markets and the definition of the value of Reliability Options" to be performed at the Department of Mathematics under the supervision of Prof. Tiziano Vargiolu (as the scientific responsible), in cooperation with Prof. Fulvio Fontini, of the Department of Economics and Management. - duration: 24 month; - deadline: January 16, 2017 - topic: In energy markets, it is of particular interest the problem of a fair evaluation of Reliability Options (RO), namely, physical call options derived on electricity, issued by generators and acquired by a subject to hedge adequacy risk of power generation. The aim of this grant is to define a fair pricing of RO, which requires techniques which go beyond those classically used in financial markets to price and hedge derivative assets. - call for grant: http://www.math.unipd.it/it/news/?id=1962 The English version is at the bottom (3 downloadable files). The successful candidate will not have teaching duties (however there is in principle the possibility to teach if wanted) and will have access to the Department's fundings for travel. For further information, feel free to contact me (vargiolu(a)math.unipd.it) Please circulate -------------------------------------------------------------------------- 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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BISP10: Tenth Workshop on Bayesian Inference in Stochastic Processes
by fabrizio＠mi.imati.cnr.it 19 Dec '16

19 Dec '16

WORKSHOP announcement: BISP10, June 13-15, 2017, Milano, Italy We are glad to announce the 10th international workshop on BAYESIAN INFERENCE IN STOCHASTIC PROCESSES (BISP10), that will take place at Bocconi University, Milano, Italy, on June 13-15, 2017. The preliminary conference web page is www.unibocconi.eu/bisp10 The scientific program will feature invited and contributed sessions (from June 13, 9am, to June 15, 1pm) and a poster session on June 13, at 5:30pm - with a welcome cocktail and gathering. A social dinner is also planned on June 14. Invited speakers include, so far, Nial Friel, Peter Mueller, Nick Polson, Ananda Sen, Mark Steel, Rebecca Steorts, Matteo Borrotti, Annalisa Cadonna, Daniele Durante, Didem Egenem, David Ginsbourger, Sara Heaps, Julia Palacios, Lorenzo Trippa, Victor Veitch, Frank Wood and Giacomo Zanella. There will be also a special session organised by Richard Wilkinson on paleoclimate problems. Theoretical and applied contributions on Bayesian inference in stochastic processes are both welcome. A non-exhaustive list of topics includes Markov processes, temporal and spatial processes, empirical processes, birth-death and branching processes, queueing, computations and methods for complex structures, networks and relational data, signal processes, stochastic differential equations. The 2017 edition of BISP is dedicated to Pietro Muliere, on his 70th birthday, to honour his influential research contributions to the theory and the applications of stochastic processes and Bayesian inference. BISP10 will be preceded by a one-day conference on "Recent Developments in Bayesian Theory and Stochastic Processes", in honor of Pietro. www.unibocconi.eu/muliereconference IMPORTANT DEADLINES: - 15/2/2017: Abstract submission (for oral or poster presentation) - 01/3/2017: Decision on acceptance - 30/3/2017: Early registration at discounted rate The workshop is organised by Bocconi University, with the endorsement of ISBA and, very likely, other societies. Details on past BISP workshops can be found at http://www.maoner.com/bisp9.htm and http://www.mi.imati.cnr.it/conferences/BISP8/ We look forward to welcoming you at BISP10 in Milano in June! Best regards, Sonia Petrone and Fabrizio Ruggeri Chairs, Local and Scientific Committees -- Fabrizio Ruggeri fabrizio AT mi.imati.cnr.it CNR IMATI tel +39 0223699532 Via Bassini 15 fax +39 0223699538 I-20133 Milano (Italy) web.mi.imati.cnr.it/fabrizio

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Fwd: Postdoc positions @ Warwick
by Marco Formentin 15 Dec '16

15 Dec '16

-------- Messaggio originale -------- Oggetto: Postdoc positions @ Warwick Data: 2016-12-15 14:10 Mittente: Martin Hairer <M.Hairer(a)WARWICK.AC.UK> Destinatario: APPLIEDPROB(a)JISCMAIL.AC.UK Dear friends and colleagues, I am currently advertising a two-year postdoctoral position in my group at Warwick, funded by the Philip Leverhulme Trust. The expected starting date for both positions is either August or September 2017, but this is relatively flexible, so a different date may be arranged. The successful candidates will not have teaching duties (however there is in principle the possibility to teach if wanted) and will have access to fundings for travel. Additional information and detailed instructions on how to apply are available at https://goo.gl/FupDk0 The deadline for application is the 15th of January 2017 and interviews are expected to take place mid-February. I would be grateful if you would bring this announcement to the attention of potential candidates and distribute it via local mailing lists. My apologies if you receive this email more than once. Best wishes, Martin -- Prof. Martin Hairer Department of Mathematics The University of Warwick http://www.hairer.org/ -- Marco Formentin, Post Doc Researcher Dept. Mathematics, University of Padova Padova, Italy Tel. +39 049 8271461 or + 39 3486431404

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ABS17 Applied Bayesian Statistics School
by Raffaele Argiento 14 Dec '16

14 Dec '16

Please find below the announcement of the 14th edition of the ABS (Applied Bayesian Statistics) Summer school on MODELING SPATIAL AND SPATIO-TEMPORAL DATA WITH ENVIRONMENTAL APPLICATIONS with Bruno SANSO', Professor of Statistics, University of California Santa Cruz, as lecturer. Like in the past four years, the 2017 school will be held in the magnificent Villa del Grumello, in Como (Italy), on the Lake Como shore. Raffaele Argiento ABS17 Executive Director Guido Consonni and Fabrizio Ruggeri ABS17 Directors ------------------------------------------------------------------------ ******************************* * ABS17 * ******************************* Applied Bayesian Statistics School MODELING SPATIAL AND SPATIO-TEMPORAL DATA WITH ENVIRONMENTAL APPLICATIONS June 19-23, 2017 Villa del Grumello, Como, Italy Lecturer: Bruno Sanso', Professor of Statistics, University of California Santa Cruz https://users.soe.ucsc.edu/~bruno/ The conference webpage is >>>> web.mi.imati.cnr.it/conferences/abs17.html <<<< Registration is now open. Please note that the conference room allows only for a limited number of participants. The ABS17 Secretariat can be contacted at abs17(a)mi.imati.cnr.it COURSE OUTLINE This course is intended for students who have a background in statistical methods and modeling. The course is focused on models for data that are spatially referenced and that evolve in time. We will develop models for stochastic processes that are indexed at irregularly scattered, fixed, locations. We will look into the theoretical properties of those models as well as into the computational issues involved in the estimation of their parameters. We will extend the analysis of fields of spatial observations that are collected in time. In particular, we will consider dynamically varying process where space and time interact. Real-data applications of Bayesian methods with MCMC techniques will be illustrated. Day 1: Introduction to Bayesian methods and hierarchical models. Examples of spatially referenced data. Basic properties of Gaussian random fields. Graphical exploration of spatial fields. Day 2: Variograms. Examples of families of correlations functions. Bayesian approach to estimation and prediction of spatial random fields. Day 3: The big data problem: reduced rank models and other modern approaches to dimension reduction. Day 4: Spatio-temporal models. Dynamic linear models: integro-differential equations. Day 5: Extensions PRACTICAL INFORMATION The school will replicate the successful format of the previous years, and will feature lectures and practical sessions (run by a junior researcher), as well as participants' talks. It will start on Monday after lunch and end on Friday before lunch; Wednesday afternoon is free. Accommodation is available either at the Villa guesthouse or in downtown hotels (info will appear soon on the website). Como can be easily reached by train from Milan and its airports. More details are available on the website. -- Dr. Raffaele Argiento University of Torino and Collegio Carlo Alberto www.raffaeleargiento.it

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seminario Volodin a Pisa
by RITA GIULIANO 14 Dec '16

14 Dec '16

Scusandomi in anticipo per lo scarsissimo preavviso, comunico che Mercoledì 14 dicembre alle ore 12.00 presso l’aula Seminari del Dipartimento di Matematica di Pisa, il Prof.Andrei Volodin (Universita' di Regina, Canada) terra' un seminario dal titolo "Negative Dependence of Random Variables” Cordiali saluti -- Rita Giuliano

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[iwfos2017] Reminder: IWFOS 2017. Call for Contributions (deadline: December 31st, 2016)
by enea giuseppe bongiorno 13 Dec '16

13 Dec '16

*4th International Workshop on Functional and Operatorial Statistics (IWFOS 2017)* *LOCATION AND DATES: *A Coruña (SPAIN), June 15th - 17th, 2017. *DEADLINE TO SUBMIT SHORT CONTRIBUTIONS (6-8 pages in the required format): *December 31st, 2016. *PUBLICATIONS:* *Book of Proceedings:* Short versions (6-8 pages in the required format) of the accepted contributions (oral or poster) will be collected in a book published by *Springer* <http://www.springer.com/gp/>. *Special Issues in Scientific Journals*: This meeting will be the starting point for two Special Issues devoted to Functional Data Analysis: one in the *Journal of Multivariate Analysis* <http://www.journals.elsevier.com/journal-of-multivariate-analysis/call-for-…> and one in *Computational Statistics* <http://www.springer.com/statistics/journal/180>. It is worth mentioning that these Special Issues are not only open to the best presentations in IWFOS 2017, but also to any other innovative contributions in the field. *WEBSITE: *http://iwfos2017.udc.es Thank you for your attention. Hoping to see you in A Coruña, Sincerely Yours, On behalf of the Scientific and Organizing Committees, Ricardo Cao Philippe Vieu Germán Aneiros Enea Bongiorno -- 4th International Workshop on Functional and Operatorial Statistics IWFOS 2017, A Coruña (SPAIN) http://iwfos2017.udc.es

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probability postdoc position in Bristol, starting 1 Oct 2017
by Pietro Caputo 12 Dec '16

12 Dec '16

ricevo e inoltro ---------- Messaggio inoltrato ---------- Da: "Balint Toth" <Balint.Toth(a)bristol.ac.uk> Data: 11 Dic 2016 11:41 Oggetto: probability postdoc position in Bristol, starting 1 Oct 2017 A: "Balint Toth" <Balint.Toth(a)bristol.ac.uk> Cc: Dear Colleagues and Friends, I would very much appreciate if you could bring the following announcement of a position of Post-Doctoral Research Associate (shortly: postdoc position) at the School of Mathematics, University of Bristol, to the attention of relevant and interested applicants. *CLOSING DATE FOR APPLICATIONS 13 JANUARY 2013* \\\\\\\\\\\\\\\\\ Applications are invited for a 3 year Research Associate role in Mathematics, tenable from 1 October 2017 (or a nearby date to be agreed). The aim of this project, funded by EPSRC UK, is to perform cutting edge research in the following two fields of modern probability theory and stochastic processes: (a) random walks and diffusions with long memory (including self-interacting walks, walks in random environment, tracer diffusion in interacting particle systems); (b) stochastic representations in statistical mechanics with special emphasis on quantum spin and particle systems. The Research Associate will work with Professor Balint Toth <https://people.maths.bris.ac.uk/~mabat/> at the School of Mathematics <http://www.bristol.ac.uk/maths/>, University of Bristol <http://www.bristol.ac.uk/>. The applicant should have, or expect to hold shortly, a PhD in Mathematics or Theoretical Physics and experience in some aspect of probability theory, stochastic processes and/or mathematical statistical physics. The School of Mathematics <http://www.bristol.ac.uk/maths/>, University of Bristol <http://www.bristol.ac.uk/> is a leading centre of mathematical research in the UK and worldwide. The vibrant research atmosphere, seminars, colloquia and workshops held regularly there will secure an optimal professional environment for the prospective post holder. The School will occupy its new home, the fully renovated Fry Building <http://www.bristol.ac.uk/estates/projects/fry/> of the University at about the starting time of this position. This will be one of the few most stunning mathematics buildings of a UK university. The School of Mathematics is a supporter of the LMS Good Practice Scheme <http://www.bristol.ac.uk/maths/about/working-environment/> aiming at advancing women's careers in mathematics. For informal enquiries please contact: Professor Balint Toth <https://people.maths.bris.ac.uk/~mabat/> at <balint.toth(a)bristol.ac.uk> \\\\\\\\\\\\\\\\\ *CLOSING DATE FOR APPLICATIONS 13 JANUARY 2013* For full information about the job and online application click here <http://www.bristol.ac.uk/jobs/find/details.html?nPostingId=5266&nPostingTar…> . With best wishes, Balint ------------------------ Prof Balint Toth Heilbronn Chair of Probability School of Mathematics, University of Bristol http://www.maths.bris.ac.uk/~mabat/

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Saint-Flour Summer School
by Elvira Di Nardo 12 Dec '16

12 Dec '16

---------- Forwarded message ---------- Date: Mon, 12 Dec 2016 09:31:28 +0100 From: Saint-Flour Summer School <stflour(a)math.univ-bpclermont.fr> To: saintflour(a)math.univ-bpclermont.fr Subject: Saint-Flour 2017, July 2-14 FIRST ANNOUNCEMENT Dear colleagues The 47th Saint-Flour Probability Summer School will be held on July 2-14, 2017. This year, the three courses will be: Thierry Bodineau (Ecole Polytechnique): Large-scale dynamics of dilute gases Remco van der Hofstad (University of Technology, Eindhoven): Stochastic processes on random graphs Gabor Lugosi (Graduate School of Economics, Barcelona): Elements of combinatorial statistics Further information can be found on the conference website: recherche.math.univ-bpclermont.fr/stflour/stflour-en.php Online registration will open in February. You will receive another announcement at that time. Please give the information to anyone else who might be interested. Best regards, The organizing committee Christophe Bahadoran, Arnaud Guillin, Laurent Serlet ------------------------------------------------- Laboratoire de Mathematiques Blaise Pascal, CNRS UMR 6620 Universite Clermont-Auvergne, Campus des Cezeaux 3, place Vasarely TSA 60026 CS 60026 63178 Aubiere cedex, France Tel: +33 (0)4 73 40 70 50 Fax: +33 (0)4 73 40 54 50 mailto:stflour@math.univ-bpclermont.fr -- %------------------------------------------------------- Elvira Di Nardo Dept. Mathematics "G. Peano" University of Torino Via Carlo Alberto 10 10123 Torino, Italia tel. +39 0116702862 fax +39 0116702878 http://www.elviradinardo.it %-------------------------------------------------------

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visitatore a Pisa
by RITA GIULIANO 09 Dec '16

09 Dec '16

Il Prof. Andrei Volodin (Universita' di Regina, Canada) e' ospite del Dipartimento di Matematica a Pisa fino al 3 gennaio 2017. Terra' prossimamente un seminario; titolo e data saranno comunicati appena possibile. -- Rita Giuliano

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Announcement for the IHES Summer School "Spectral Properties of large random objects"
by Pietro Caputo 08 Dec '16

08 Dec '16

ricevo e inoltro: --------------------------------- Dear Colleagues, This is an announcement for the Summer School "*Spectral Properties of large random objects*" which will be held at the Institut des Hautes Études Scientifiques (IHÉS) from July 17 to July 28, 2017. IHÉS is located in Bures-sur-Yvette, south of Paris (40 minutes by train from Paris). There will be 8 mini-courses *Charles BORDENAVE* (Université de Toulouse) *Spectrum of random graphs* *Paul BOURGADE* (New York University) *Universality and quantum unique ergodicity in random matrix theory* *Frédéric KLOPP* (Université Pierre et Marie Curie) *Large systems of interacting quantum particles in a random field* *Eyal LUBETZKY* (New York University) *Spectral vs. geometric approaches to random walks on random graphs* *Yuval PERES* (Microsoft Research) *The cutoff phenomenon and rate of escape for Markov chains* *Christophe SABOT* (Université de Lyon 1) *Self-interacting processes and random Schrödinger operators* *Balint VIRAG* (University of Toronto) *TBA* *Simone WARZEL* (Technische Universität München) *Topics in random operator theory* The IHÉS hopes to be able to provide partial financial support to cover housing for most accepted graduate students and postdocs. Some limited amount of additional funds will be available for special circumstances. Applications should be made using the webpage mentioned below. The deadline is March 15, 2017. All information about the summer school can be found at https://indico.math.cnrs.fr/event/1751/ <http://www.math.ubc.ca/Links/ssprob17/>. The school is open to everybody but intended primarily for young participants, including PhD students and postdoctoral fellows. Questions can be directed to jasserand(a)ihes.fr <jasserand@ihes.fr?subject=Spectral%20properties%20of%20large%20random%20objects> Do not hesitate to broadcast this announcement! -- ----------------------------------------------------------------- Hugo Duminil-Copin Permanent professor Email: duminil(a)ihes.fr Institut des Hautes Études Scientifiques (IHÉS) Phone: +33-160926643 Le Bois-Marie, 35 route de Chartres Fax: +33-160926669 91440 BURES-SUR-YVETTE (FRANCE) www: http://www.ihes.fr/~duminil/

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seminario Prof. Sergio Albeverio
by Emanuela Rosazza 08 Dec '16

08 Dec '16

Si avvisa che il giorno mercoledì 14 dicembre 2016 alle ore 15 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula seminari 4154) si terrà il seguente seminario: Speaker: Prof. Sergio Albeverio (Università di Bonn, Germania) Titolo: “Infinite dimensional integrals, asymptotics and some models in Mathematical Finance” Abstract: We present general ideas for infinite dimensional integrals, having in mind applications to solutions and asymptotics for (stochastic) partial differential equations arising in areas like mathematical physics and finance. Some recent developments are also mentioned. Tutti gli interessati sono invitati a partecipare. Un saluto e a presto, Emanuela ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Avviso di seminari Prof. Eva LÖCHERBACH
by Enrica Pirozzi 07 Dec '16

07 Dec '16

Prof. Eva LÖCHERBACH Département de Mathématiques Faculté des Sciences et Techniques Université de Cergy-Pontoise TITLE: Modeling spike trains by systems of interacting Hawkes processes with (or without) memory of variable length Tuesday, December 13 at 15:30 Part I Wednesday, December 14 at 15:00 Part II Friday, December 16 at 11:00 Part III at Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. ABSTRACT: Let us consider a class of non Markovian processes with a countable number of interacting components, both in discrete and continuous time. Each component is represented by a point process indicating if this component has a spike or not at a given time. The system evolves as follows. For each component, the rate (in continuous time) or the probability (in discrete time) of having a spike depends on the entire time evolution of the system since the last spike time of the component. In discrete time this class of systems extends in a non trivial way both Spitzer's interacting particle systems, which are Markovian, and Rissanen's stochastic chains with memory of variable length which have finite state space. In continuous time they can be seen as a kind of Rissanen's variable length memory version of the class of self-exciting point processes which are also called ``Hawkes processes'', however with infinitely many components. These features make this class a good candidate to describe the time evolution of networks of spiking neurons. In the lectures, I will present the model, both in discrete and in continuous time. I will then sketch results concerning perfect simulation and existence issues, de-correlation between successive interspike intervals, the longtime behavior of finite systems and propagation of chaos in mean field systems. ------ -- 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

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Seminario RAO
by Matteo Ruggiero 07 Dec '16

07 Dec '16

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Mercoledì 14 Dicembre 2016 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Vinayak RAO (Purdue University) PATH AND PARAMETER INFERENCE FOR MARKOV JUMP PROCESSES A variety of phenomena are best described using dynamical models which operate on a discrete state-space and in continuous time. The most common example is the Markov jump processes whose applications range from systems biology, genetics, computing networks and human-computer interactions. Posterior computations typically involve approximations like time discretization and can be computationally intensive. In the first half of this talk, I will describe some previous work (joint with Yee Whye Teh) on a class of Markov chain Monte Carlo methods that allow efficient computations while still being exact. The core idea builds on the idea of 'uniformization', and is an auxiliary variable Gibbs sampler that alternately resamples a random discretization of time given the state-trajectory of the system, and then samples a new trajectory given this discretization. In the second half, I will talk about more recent work (joint with Boqian Zhang) that extends these ideas to allow efficient Bayesian inference over the process parameters. Here we reformulate the earlier idea to develop an efficient Metropolis-Hastings algorithm that more naturally exploits the symmetry of the problem. In our experiments, we show improved performance over the current state of the art. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats <http://www.carloalberto.org/stats>) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it <http://www.matteoruggiero.it/>

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PhD course on "Rough Paths and Stochastic Differential Equations"
by Francesco Caravenna 06 Dec '16

06 Dec '16

This email is to announce a Ph.D. course on "Rough Paths and Stochastic Differential Equations" in the framework of the Pavia - Milano Bicocca - Indam PhD program in Mathematics. The course is devoted to students interested in analysis and/or probability (see below for the abstract). The course will last 30 hours and will be given in the period February-March 2017 at the University of Milano-Bicocca. In order to fix the precise dates, we kindly ask all interested people to contact us by Tuesday 13 December 2016 and let us know of their engagements in that period. Best regards, Francesco Caravenna and Gianmario Tessitore %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Title: Rough Paths and Stochastic Differential Equations Place: University of Milano-Bicocca Period: February-March 2017 Prerequisites: A basic knowledge of Holder functions and Brownian motion. Abstract: This course is an introduction to rough paths, a modern theory which provides an analytic counterpart to the probabilistic theory of stochastic integration. Rough paths allow to define a notion of integral with respect to the derivative of a Holder function, generalizing the usual Riemann-Steltjes integral. A key motivation of rough paths is to shed new light on the stochastic integration with respect to Brownian motion and on the corresponding stochastic differential equations. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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(senza oggetto)
by Fabio Martinelli 04 Dec '16

04 Dec '16

Il Prof. A. Smith dell'universita' di Ottawa terra' tre lezioni nell'ambito del dottorato in matematica presso il Dip. di Matematica e Fisica di Roma Tre con il seguente programma: *MIXING OF MARKOV CHAINS ON MANIFOLDS* Martedi 6 Dicembre ore 11:00-13:00 aula 311 *Mixing Properties of Hamiltonian Monte Carlo* Abstract:* Hamiltonian Monte Carlo (HMC) and its variants are extremely popular Markov chain Monte Carlo algorithms in statistical computing. In practice, they seem to outperform classical algorithms such as the Gibbs sampler and the Metropolis-Hastings algorithm. Unfortunately, the characteristic long moves made by HMC also make it difficult to analyze. I will survey some existing results on HMC and competitor algorithms, including some recent results of myself and Mangoubi, and present open problems.* Mercoledi 7 Dicembre ore 14:30-16:30 aula 311 *Convex Sets, Conductance and Curvature.* Abstract: Geometric random walks are popular tools for sampling from the interior or boundary of convex sets. I will introduce some popular geometric random walks and describe the mathematical techniques developed by Dieker, Kannan, Lovasz, Vempala and others to analyze them. I will then describe how some recent work takes advantage of ideas from geometry and convex optimization to propose and analyze algorithms that can have improved performance. Martedi 13 Dicembre ore 11:00-13:00 aula 311 *Kac's Walks and Couplings.* Abstract: Kac's walks on the sphere and on the special orthogonal group. introduced in 1953 and 1970, have long histories in the statistical physics and computational statistics literatures. I will describe the history of these walks and review some of the many results on the mixing properties of these processes. I then present some recent work of myself and Pillai, which uses connections to random matrix theory to obtain substantially improved bounds on the mixing times of these two walks. -- Fabio Martinelli Department of Mathematics and Physics Roma Tre University Lg. San Murialdo 1, 00146 Roma Italy tel +39 06 57338039 fax +39 06 57338039

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Mini corso di A. Smith a Roma Tre
by Pietro Caputo 04 Dec '16

04 Dec '16

Il Prof. A. Smith dell'universita' di Ottawa terra' tre lezioni nell'ambito del dottorato in matematica presso il Dip. di Matematica e Fisica di Roma Tre con il seguente programma: *MIXING OF MARKOV CHAINS ON MANIFOLDS* Martedi 6 Dicembre ore 11:00-13:00 aula 311 *Mixing Properties of Hamiltonian Monte Carlo* Abstract:* Hamiltonian Monte Carlo (HMC) and its variants are extremely popular Markov chain Monte Carlo algorithms in statistical computing. In practice, they seem to outperform classical algorithms such as the Gibbs sampler and the Metropolis-Hastings algorithm. Unfortunately, the characteristic long moves made by HMC also make it difficult to analyze. I will survey some existing results on HMC and competitor algorithms, including some recent results of myself and Mangoubi, and present open problems.* Mercoledi 7 Dicembre ore 14:30-16:30 aula 311 *Convex Sets, Conductance and Curvature.* Abstract: Geometric random walks are popular tools for sampling from the interior or boundary of convex sets. I will introduce some popular geometric random walks and describe the mathematical techniques developed by Dieker, Kannan, Lovasz, Vempala and others to analyze them. I will then describe how some recent work takes advantage of ideas from geometry and convex optimization to propose and analyze algorithms that can have improved performance. Martedi 13 Dicembre ore 11:00-13:00 aula 311 *Kac's Walks and Couplings.* Abstract: Kac's walks on the sphere and on the special orthogonal group. introduced in 1953 and 1970, have long histories in the statistical physics and computational statistics literatures. I will describe the history of these walks and review some of the many results on the mixing properties of these processes. I then present some recent work of myself and Pillai, which uses connections to random matrix theory to obtain substantially improved bounds on the mixing times of these two walks. -- Fabio Martinelli Department of Mathematics and Physics Roma Tre University Lg. San Murialdo 1, 00146 Roma Italy tel +39 06 57338039 <+39%2006%205733%208039> fax +39 06 57338039 <+39%2006%205733%208039>

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Seminario SAMUEL HERRMANN @ UniTo
by Cristina Zucca 02 Dec '16

02 Dec '16

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Martedì 6 dicembre alle ore 12:00 in aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. SAMUEL HERRMANN (Université de Bourgogne) terrà un seminario dal titolo Initial-Boundary Value Problem for the heat equation - A stochastic algorithm Abstract: The Initial-Boundary Value Problem for the heat equation is solved using a new algorithm based on a random walk on heat balls. Even if it represents a sophisticated generalisation of the Walk on Spheres (WoS) algorithm introduced to solve the Dirichlet problem for Laplace's equation, its implementation is rather easy. The definition of the random walk is based on a new mean value formula for the heat equation. The convergence results and different numerical examples permit to emphasize the efficiency and accuracy of the algorithm. Tutti gli interessati sono invitati a partecipare. -- Dr. Cristina Zucca Department of Mathematics University of Torino Via Carlo Alberto 10 10123 Torino, Italy tel: +39-011-6702850 fax: +39-011-6702878

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Bando RTDA 13/D1, Sapienza Università di ROMA
by Brunero Liseo 28 Nov '16

28 Nov '16

CON PREGHIERA DI DIFFUSIONE Si comunica che presso il dip. di Metodi e Modelli per l’Economia, il Territorio e la Finanza, Sapienza Università di Roma, è indetta una procedura di valutazione a 1 posto di ricercatore a tempo determinato di tipo A per il settore scientifico concorsuale 13/D1 Statistica (ssd SECS-S/01). Data di scadenza bando: 27-12-2016 Link: http://www.memotef.uniroma1.it/sites/dipartimento/files/Bando_RTD_%20A_SECS… Non esiste una traduzione in inglese del bando; per informazioni sommarie si veda http://bandi.miur.it/jobs.php/public/job/id_job/45583 Cordialmente Brunero LISEO -- ============================================ Brunero Liseo *Dip. di metodi e modelli per il territorio, l'economia e la finanza * *Sapienza Università di Roma* *Viale Castro Laurenziano, 9 Roma I-00161 *Tel. +39 06 49766973 Fax +39 06 4957606 *http://www.memotef.uniroma1.it/users/liseo-brunero <http://www.memotef.uniroma1.it/users/liseo-brunero>* =============================================

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Two postdocs jobs, Barcelona : deadline: January 8th (fwd)
by Tiziano Vargiolu 27 Nov '16

27 Nov '16

The Barcelona Graduate School of Mathematics (BGSMath) opens a call for two postdoctoral positions in the areas: 1. Algebra, Combinatorics, Geometry and/or Logic. 2. Analysis, Dynamical Systems, and/or Probability Theory. Succesful applicants will join the BGSMath research group of their choice in one of the five BGSMath institutions in Barcelona: Universitat Aut?noma de Barcelona, Universitat de Barcelona, Universitat Polit?cnica de Catalaunya, Universitat Pompeu Fabra or Centre de Recerca Matem?tica. We summarize the details of the call which can be found at http://bgsmath.cat/bgsmath-postdoctoral-call-2017-2019/ - Two year contracts. - Annual gross salary of 26.250?, plus 2000? mobility (to be provided by the research group) - Requirements: To hold a Ph.D. degree at the time of application and at least two years of doctoral or postdoctoral experience outside of Catalonia. - Deadline: January 8th

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HCM Winter School "Recent developments in singular stochastic PDEs"
by Francesco Caravenna 26 Nov '16

26 Nov '16

Ricevo e inoltro. > Da: Massimiliano Gubinelli <gubinelli(a)iam.uni-bonn.de> > Oggetto: HCM Winter School "Recent developments in singular stochastic PDEs" > > Dear colleagues, > we are organising a specialised Hausdorff Winter School entitled > > Recent developments in singular stochastic PDEs > > to be held at the > > Hausdorff Institute for Mathematics at the University of Bonn > > from 20 - 24 February 2016. > > http://www.hcm.uni-bonn.de/stochastic-pdes-2017/ > > The aim of the school is to introduce motivated graduate students and postdocs to > some of the recent developments in the theory of singular stochastic PDE. > > Following Hairer’s work on regularity structures (for which he was awarded the 2014 > fields medal) interest in this field has literally exploded over the last years and a large > number of results were obtained within a short time. Among these are universality > results for scaling limits of particle models from statistical physics, links to perturbative > quantum field theory and to the regularity theory for PDE. In this school we aim to introduce > the participants to these recent developments. There will be four short courses taught by > > Ajay Chandra (Warwick) > Nicolas Perkowski (Berlin) > Hendrik Weber (Warwick) > Lorenzo Zambotti (Paris) > > In addition to these courses, a key part of the programme will be a number of interactive > exercise sessions in which the participants will have the opportunity to get hands on > experience of working with these equations. > > Online registration for the school is now open at > > https://www.hcm.uni-bonn.de/stochastic-pdes-2017/ > > Registration closes on January 15, 2017. Precedence will be given to applications submitted before December 15, 2016. There will be limited funding to support participants travel and accommodation. > > > Hope to see you soon in Bonn, > > Massimiliano Gubinelli > Hendrik Weber >

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Seminari JARA and BRODERICK
by Matteo Ruggiero 25 Nov '16

25 Nov '16

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Venerdi 2 Dicembre 2016, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terranno i seguenti seminari: ----- h 11.00 Alejandro JARA (Pontificia Universidad Católica de Chile) BAYESIAN NONPARAMETRIC APPROACHES FOR THE ANALYSIS OF COMPOSITIONAL DATA BASED ON BERNSTEIN POLYNOMIALS ----- h 12.00 Tamara BRODERICK (MIT) FAST QUANTIFICATION OF UNCERTAINTY AND ROBUSTNESS WITH VARIATIONAL BAYES ----- Gli abstract delle relazioni sono disponibili alla pagina http://www.carloalberto.org/events/seminars/statistics/ 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 and Collegio Carlo Alberto www.matteoruggiero.it

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PhD positions at the Institute of Science and Technology Austria (IST Austria)
by Giovanni Zanco 24 Nov '16

24 Nov '16

Dear Colleague, The *Institute of Science and Technology Austria (IST Austria)* is looking for highly qualified candidates to apply for our ISTScholar PhD program. We offer *fully-funded PhD positions* in the natural and mathematical sciences in a world-class research environment on the outskirts of Vienna. The research topics that might interest students in your department include: *Mathematics* - Nick Barton: Mathematical Models of Evolution - Herbert Edelsbrunner: Algorithms, Computational Geometry and Topology - Lászlá Erdős: Mathematical Physics, Probability - Julian Fischer: Theory of Partial Differential Equations, Applied and Numerical Analysis - Tamas Hausel: Geometry and its Interfaces - Jan Maas: Stochastic Analysis, Optimal Transport - Robert Seiringer: Quantum Statistical Mechanics, Mathematical Physics - Uli Wagner: Discrete and Computational Geometry and Topology Our PhD program is characterized by innovative training with a special focus on interdisciplinarity, close mentoring by outstanding faculty within small research groups, and access to first-rate facilities. Students spend the first year completing coursework and rotations before choosing a thesis group and passing the qualifying exam. Our PhD graduates have gone on to top positions in academia and industry all over the world. Students with a *bachelor’s* *or* *master’s* degree in a relevant field are encouraged to apply. We offer *internationally competitive salaries* co-funded by an EU Marie Sklodowska-Curie grant, full health benefits, and subsidized on-campus housing in the first year. For more information about the ISTScholar PhD program and application process, as well as faculty profiles, please visit our website at http://phd.ist.ac.at. *The deadline for PhD applications is January 8th 2017 for a start date in September 2017*. Yours sincerely, *Hania Köver* Head of the Graduate School Office *Giovanni Zanco* Stochastic Analysis Group Institute of Science and Technology Austria gradschool(a)ist.ac.at

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Annuncio seminario
by Piccioni, Mauro 24 Nov '16

24 Nov '16

*Dipartimento di Matematica, Sapienza Università di Roma * *Martedì 29 novembre* * Ore 14:00, Aula di Consiglio* * Seminario di Probabilità e Statistica Matematica* *Pietro Caputo, Dipartimento di Matematica, Università di Roma Tre* *Titolo: Random walk on sparse random directed graphs* *Abstract: **A random walk on a finite graph exhibits cutoff if its distance from stationarity remains close to the initial value for a certain number of iterations and then abruptly drops to near zero on a much shorter time scale. Originally discovered in the context of card shuffling by Aldous and Diaconis in 1986, this remarkable phenomenon is now rigorously established for many reversible chains. Here we consider the non-reversible case of random walks on sparse random directed graphs, for which even the stationary distribution is far from being understood. We establish the cutoff phenomenon, determine its time window and prove that the cutoff profile approaches a universal gaussian shape. Moreover, we determine an explicit recursive equation characterizing the stationary distribution. This talk is based on joint work with Charles Bordenave and Justin Salez.* *Tutti gli interessati sono invitati a partecipare.* *Per qualsiasi richiesta di informazioni rivolgersi a **piccioni(a)mat.uniroma1.it <piccioni(a)mat.uniroma1.it>.*

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Annuncio di seminario
by Piccioni, Mauro 24 Nov '16

24 Nov '16

*Dipartimento di Matematica, Sapienza Università di Roma * *Martedì 29 novembre* * Ore 14:00, Aula di Consiglio* * Seminario di Probabilità e Statistica Matematica* *Pietro Caputo, Dipartimento di Matematica, Università di Roma Tre* *Titolo: Random walk on sparse random directed graphs* *Abstract: **A random walk on a finite graph exhibits cutoff if its distance from stationarity remains close to the initial value for a certain number of iterations and then abruptly drops to near zero on a much shorter time scale. Originally discovered in the context of card shuffling by Aldous and Diaconis in 1986, this remarkable phenomenon is now rigorously established for many reversible chains. Here we consider the non-reversible case of random walks on sparse random directed graphs, for which even the stationary distribution is far from being understood. We establish the cutoff phenomenon, determine its time window and prove that the cutoff profile approaches a universal gaussian shape. Moreover, we determine an explicit recursive equation characterizing the stationary distribution. This talk is based on joint work with Charles Bordenave and Justin Salez.* *Tutti gli interessati sono invitati a partecipare.* *Per qualsiasi richiesta di informazione scrivere a piccioni(a)mat.uniroma1.it*

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Posto da associato per esterni bandito dall'Università di Udine (fwd)
by Tiziano Vargiolu 23 Nov '16

23 Nov '16

---------- Forwarded message ---------- Date: Wed, 23 Nov 2016 15:26:15 +0100 From: Marcellino Gaudenzi <gaudenzi2(a)gmail.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Posto da associato per esterni bandito dall'Universit? di Udine Caro Tiziano, ti chiedo gentilmente di rendere noto che l'Universit? di Udine ha bandito un posto da professore associato per il settore SECS-S/06 riservato a candidati esterni all'Universit? di Udine (possono partecipare solo candidati che nel corso del triennio precedente la scadenza del bando non hanno prestato servizio, n? hanno ottenuto assegni di ricerca dell'Universit? di Udine). Allego il link al bando http://web.uniud.it/ateneo/normativa/albo_ufficiale/758%20-%202016/file Grazie, cari saluti Marcellino Gaudenzi

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Seminario di Tiziano De Angelis presso la Luiss, Mercoledi' 23 Novembre ore 18 e 10
by Fausto Gozzi 23 Nov '16

23 Nov '16

Luiss, Roma, Dipartimento di Economia e Finanza Viale Romania 32, Roma Mercoledi' 23 Novembre ore 18.10 aula 106 b Seminario di Tiziano De Angelis (University of Leeds) TITLE: The dividend problem with a finite horizon ABSTRACT: We characterize the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realized by a Skorokhod reflection of the fund's value at a time-dependent optimal boundary. Our results are obtained by establishing for the first time a new connection between singular control problems with an absorbing boundary and optimal stopping problems on a diffusion reflected at an elastic boundary. Link al paper <http://arxiv.org/abs/1609.01655>http://arxiv.org/abs/1609.01655 Tutti gli interessati sono invitati a partecipare. Per qualsiasi richiesta di informazione scrivere a faustogozziluiss(a)gmail.com Fausto Gozzi Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old addresses: Fausto Gozzi Dipartimento di Matematica per le Decisioni Economiche Finanziarie e Assicurative Facolta' di Economia Universita' di Roma La Sapienza via del Castro Laurenziano 9 00161 Roma Italy tel 06/49766275 (office) FAX 06/49766765 and also Fausto Gozzi Dipartimento di Matematica Universita' di Pisa via Filippo Buonarroti n. 2 56127 Pisa Italy tel 050/2213270 FAX 050/2213224 e-mail: GOZZI(a)DM.UNIPI.IT

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Deadlines Reminder -- First Italian Meeting on Probability and Mathematical Stastistics
by Federico Polito 22 Nov '16

22 Nov '16

Dear Colleagues, This is a reminder of the upcoming deadlines of the "First Italian Meeting on Probability and Mathematical Stastistics" which will be held in Torino from June 19-th to 22-nd, 2017: - Deadline for submission of Contributed Sessions: *December 15, 2016* - Deadline for request of financial support: *December 15, 2016* - Deadline for abstract submission (contributed talks/posters/contributed sessions talks): January 31, 2017 - Deadline for registration: March 31, 2017 More information on the Meeting's website at http://calvino.polito.it/~probstat/torino2017 On behalf of the organizing Committee, Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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EFI2, December 5-6, Padova, Italy: deadline approaching for registration
by Tiziano Vargiolu 22 Nov '16

22 Nov '16

(sorry for cross-postings) Dear all, we wish to remind you that the deadline for the registration as attendee to the workshop Energy Finance Italia (Padova, Italy, December 5-6, 2016) is approaching (November, 25). You can find more details on the workshop's website: http://events.math.unipd.it/efi2/ See you in Padova! Tiziano -------------------------------------------------------------------------- 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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PhD opportunities in Warwick (in Statistics, Probability, Mathematical Finance)
by Elisabetta Candellero 21 Nov '16

21 Nov '16

Dear all, The University of Warwick is advertising several new PhD opportunities in the fields of *Statistics*, *Probability* and *Mathematical Finance*, with funding available *especially* for UK and EU students. PhD applications are considered on a rolling basis, but the deadline to apply for *funding* is early 2017 (see http://www2.warwick.ac.uk/fac/sci/statistics/postgrad/research/fees-funding/ for details). More precise information can be found at: http://www2.warwick.ac.uk/fac/sci/statistics/postgrad/research. Please forward this message to all potentially interested students. Thank you very much. Elisabetta Candellero

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Workshop on Quantitative Finance 2017 - deadline approaching (fwd)
by Tiziano Vargiolu 19 Nov '16

19 Nov '16

---------- Forwarded message ---------- Date: Sat, 19 Nov 2016 13:48:56 +0100 From: Fabio Bellini <fabio.bellini(a)unimib.it> To: fabio.bellini(a)unimib.it Subject: Workshop on Quantitative Finance 2017 - deadline approaching Dear colleagues, as you know the traditional end-of-January Workshop on Quantitative Finance will be held this year at the University of Milano-Bicocca. All the information is available on the official website https://sites.google.com/site/qfw2017/ We have funding for accommodation of foreign PhD students, please send your application with a full CV to qfw2017(a)unimib.it. We also strongly encourage participation from the financial industry; the Workshop will be closed by a round table on Blockchain Finance. Participation to the conference and to the round table is free, but registration on the official website is mandatory. The deadline for submitting the full paper or an extended abstract is 1/12/2016. Notification of acceptance will be given by 23/12/2016. The full paper for the discussant will have to be provided in any case by 8/1/2017. Looking forward to seeing you in Milan! 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 http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it

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postdoc position available on probabilistic approaches in non-equilibrium statistical mechanics
by Francesco Caravenna 18 Nov '16

18 Nov '16

Ricevo e inoltro. > Da: Fabio Toninelli <toninelli(a)math.univ-lyon1.fr> > Oggetto: postdoc position available on probabilistic approaches in non-equilibrium statistical mechanics > Data: 18 novembre 2016 08:53:17 GMT+01:00 > > Dear Colleague, > > A post-doctoral position is available from April 2017 or later within our research group on probabilistic approaches in non-equilibrium statistical mechanics: > > http://math.univ-lyon1.fr/homes-www/toninelli/LSD.html > > The duration is one year, with possible extension for another year. The post-doctoral fellow will be working on one of the following topics: > > - Macroscopic transport phenomena > - Slow and disordered dynamics > - Interface dynamics and KPZ equation > > Depending on the topic, the research will be conducted in one of the institutes associated to our research group (see the web page). > The post-doctoral fellow will receive a net salary of 2400 euros per month and benefit from health insurance. > > Applications with a curriculum vitae and a brief research statement should be sent by the candidate before January 15, 2017 to Stefano Olla (olla(a)ceremade.dauphine.fr) > The candidate will require at least one recommendation letter to be sent directly to Stefano Olla. > > We would be grateful if you could publicize this offer among the PhD graduates of your department. > > Yours sincerely > > S. Olla, T. Bodineau, F. Toninelli. > —————————————————- > > -- > Fabio Toninelli > Institut Camille Jordan, Universite' Lyon 1 > 43 bd du 11 novembre 1918 > 69622 Villeurbanne Cedex, France > > Office 105, tel: +33 (0) 4 26 23 44 41

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Seminario SCARPA
by Matteo Ruggiero 18 Nov '16

18 Nov '16

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Venerdi 25 Novembre 2016 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Bruno SCARPA (Università di Padova) BAYESIAN MODELLING OF NETWORKS IN BUSINESS INTELLIGENCE PROBLEMS Complex network data problems are increasingly common in many fields of application. Our motivation is drawn from strategic marketing studies monitoring customer choices of specific products, along with co-subscription networks encoding multiple purchasing behavior. Data are available for several agencies within the same insurance company, and our goal is to efficently exploit co-subscription networks to inform targeted advertising of cross-sell strategies to currently mono-product customers. We address this goal by developing a Bayesian hierarchical model, which clusters agencies according to common mono-product customer choices and co-subscription networks. Within each cluster, we efficiently model customer behavior via a cluster-dependent mixture of latent eigenmodels. This formulation provides key information on mono-product customer choices and multiple purchasing behavior within each cluster, informing targeted cross-sell strategies. We develop simple algorithms for tractable inference, and assess performance in simulations and an application to business intelligence. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats <http://www.carloalberto.org/stats>) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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[Am-l] 5th Heidelberg Laureate Forum, September 24 - 29, 2017 // Call for Applications (fwd)
by Tiziano Vargiolu 17 Nov '16

17 Nov '16

===================================================================================================================================================================00 Calling Outstanding Young Researchers ? Application Tool Open! The application process for the 5th Heidelberg Laureate Forum has started. Young researchers in computer science and mathematics from all over the world can apply for one of the 200 coveted spots to participate in the Heidelberg Laureate Forum (HLF), an annual networking event. The HLF offers all accepted young researchers the great opportunity to personally interact with the laureates of the most prestigious prizes in the fields of mathematics and computer science. For one week, the recipients of the Abel Prize, the ACM A.M. Turing Award, the ACM Prize in Computing, the Fields Medal, and the Nevanlinna Prize engage in a cross-generational scientific dialogue with young researchers in Heidelberg, Germany. The application period for the 5th HLF runs from November 14, 2016 until February 14, 2017. Young researchers at all phases of their careers (undergrad, PhD or postdoc) are encouraged to complete and submit their applications by February 14 (midnight at the dateline) via the following link: http://application.heidelberg-laureate-forum.org The 5th HLF will take place from September 24 to 29, 2017 (with young researcher registration on September 23). This prominent, versatile event combines scientific, social and outreach activities in an informal atmosphere, fueled by comprehensive exchange and scientific inspiration. Laureate lectures, young researcher workshops and a structure welcoming unfettered discussions are the elements that compose the Forum?s platform. Over the course of the week-long HLF, young researchers will be given the exclusive possibility to profoundly connect with their scientific role models and find out how the laureates made it to the top of their fields. As described by a young researcher at the 4th HLF, ?The best professional experience of my life. I thought that receiving my PhD was the most ultimate event and highlight, but the HLF tops even that.? All applications that are completed and submitted by the deadline are meticulously reviewed by an international committee of experts to ensure that only the most qualified candidates are invited. There are 100 spaces available for each discipline of mathematics and computer science. All applicants will be notified by the end of April 2017 whether or not they will be invited. For questions regarding requirements and the application process, please contact Young Researchers Relations at: yr(a)heidelberg-laureate-forum.org<mailto:yr@heidelberg-laureate-forum.org> For more information, please visit: www.heidelberg-laureate-forum.org<http://www.heidelberg-laureate-forum.org> Background The Heidelberg Laureate Forum Foundation (HLFF) annually organizes the Heidelberg Laureate Forum (HLF), which is a networking event for mathematicians and computer scientists from all over the world. The 5th Heidelberg Laureate Forum will take place from September 24 to 29, 2017. The HLFF was established and is funded by the German foundation the Klaus Tschira Stiftung (KTS), which promotes natural sciences, mathematics and computer science. The Scientific Partners of the HLFF are the Heidelberg Institute for Theoretical Studies (HITS) and Heidelberg University. The HLF is strongly supported by the award-granting institutions, the Association for Computing Machinery (ACM), the International Mathematical Union (IMU), and the Norwegian Academy of Science and Letters (DNVA). HLF Images https://www.flickr.com/photos/hlforum/sets/72157672915109901 Press Inquiries/Contact for Journalists Wylder Green Christiane Schirok Communications Heidelberg Laureate Forum Foundation Schloss-Wolfsbrunnenweg 33, 69118 Heidelberg, Germany media[at]heidelberg-laureate-forum.org Telephone: +49-6221-533-384 Applicant Inquiries Julia Eberhardt Young Researcher and International Academic Relations Heidelberg Laureate Forum Foundation Schloss-Wolfsbrunnenweg 33, 69118 Heidelberg, Germany yr[at]heidelberg-laureate-forum.org Telephone: +49-6221-533-387 I _______________________________________________ Am-l mailing list Am-l(a)science.uu.nl http://mailman.science.uu.nl/mailman/listinfo/am-l

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Seminario ISAAC MEILIJSON @ UniTo
by Federico Polito 16 Nov '16

16 Nov '16

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Martedi 22 novembre alle ore 14:30 in aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. ISAAC MEILIJSON (Tel Aviv University) terrà un seminario dal titolo PLACING A BET ON MORE THAN ONE HOLE AT THE ROULETTE TABLE Abstract: In Dynamic Programming, mixed strategies consist of randomizing the choice of actions. In some problems, such as portfolio management, it makes sense to diversify actions rather than choosing among them purely or randomly. Optimal betting in casinos and roulette by a gambler with fixed goal was studied by Dubins and Savage 1965 and their school without the element of diversification (betting simultaneously on different holes of the roulette), once it was proved (Smith's theorem - Smith 1967, Dubins 1972 and Gilat and Weiss 1976) that diversification doesn't increase the probability of reaching the goal. We question the scope of this finding, that was based on the assumption that the holes on which gamblers can bet are disjoint, such as 1 and BLACK in regular roulette. A counterexample is provided in which holes are nested, such as 1 and RED. Thus, it may be rational for gamblers with fixed goal to place chips on more than one hole at the table. Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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Seminario di Probabilità - Padova
by alessandra bianchi 16 Nov '16

16 Nov '16

Ho il piacere di invitarvi al seguente seminario, che si terrà Giovedì 24 novembre, alle 14:30, in aula 2BC30 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Sander Dommers AFFILIATION: University of Bochum TITLE: Metastability in the reversible inclusion process ABSTRACT: In the reversible inclusion process with N particles on a finite graph each particle at a site x jumps to site y at rate (d+\eta_y) r(x,y), where d is a diffusion parameter, \eta_y is the number of particles on site y and r(x,y) is the jump rate from x to y of an underlying reversible random walk. When the diffusion d goeas to 0 as N goeas to infinity, the particles cluster together to form a condensate. It turns out that these condensates only form on the sites where the underlying random walk spends the most time. Once such a condensate is formed the particles stick together and the condensate performs a random walk itself on much longer timescales, which can be seen as metastable behavior. We study the rates at which the condensate jumps and show that in the reversible case there are three time scales on which these jumps occur depending on how far (in graph distance) the sites are from each other. This generalizes work by Grosskinsky, Redig and Vafayi who study the symmetric case where only one timescale is present. Our analysis is based on potential theory and the martingale approach by Beltrán and Landim. This is joint work with Alessandra Bianchi and Cristian Giardinà. -- 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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Annuncio di seminario
by Piccioni, Mauro 16 Nov '16

16 Nov '16

Dipartimento di Matematica, Sapienza Università di Roma Martedì 22 novembre Ore 14:00, Aula di Consiglio Seminario di Probabilità e Statistica Matematica Carlo Orrieri, Dipartimento di Matematica, Sapienza Università di Roma *Controlled Vlasov-type dynamics* *Abstract: The aim of the talk is to connect the optimal control of Vlasov-type PDEs with large systems of controlled interacting particles/agents. The main difference towards the classical mean-field theory, where the particle are freely interacting with each other, is the presence of a central planner influencing the dynamics. In this situation it is not obvious that the mean field limit should commute with the optimization. In order to develop a rigorous limit theory for this problem we employ the well-known concept of Gamma convergence.* *The talk is based on a work in project with M. Fornasier, S. Lisini and G. Savaré* Tutti gli interessati sono invitati a partecipare. Per qualsiasi richiesta di informazione scrivere a piccioni(a)mat.uniroma1.i <piccioni(a)mat.uniroma1.it>

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Open PhD position at Ghent University
by Elvira Di Nardo 15 Nov '16

15 Nov '16

%---------------------------------------------------------------------------------------------- ----- Messaggio inoltrato da Christophe.Ley(a)UGent.be ----- Data: Mon, 14 Nov 2016 16:15:02 +0000 Da: Christophe Ley <Christophe.Ley(a)UGent.be> Oggetto: Open PhD position at Ghent University Dear colleagues, I hope you are doing well. I am writing you to ask you the following: could you please forward the attached advertisement to your students who might be interested in doing a PhD in statistics at Ghent University? I am searching for a PhD student with mathematical/statistical background to work with me on the effect of the prior in Bayesian statistics. All details are in the attached document. I thank you very much in advance for your help. Best regards Christophe %------------------------------------------------------------------------------------ PhD Position in Statistics/Probability at Ghent University Department of Applied Mathematics, Computer Science and Statistics Promoter : Prof. Christophe Ley Duration: max. 4 years Requirement: Master degree in mathematics or statistics. Starting date: As soon as possible from 1st February onwards Description: This is a PhD position related to the BOF Starting Grant "Probabilistic distances and Bayesian statistics: new insights on and methods for the choice of the prior" obtained by the promoter. The choice of the prior is a key aspect in Bayesian statistics. In the literature there exist many different proposals of priors and diverging opinions on which prior to use when. The goal of this project is to tackle this problem from a new angle by importing probabilistic distances from probability theory. The PhD position also includes a short research stay at Oxford University. Application: A full application consists of ONE SINGLE PDF file which contains • a cover/motivation letter, • a comprehensive CV, • two names of reference persons. Please, submit your application via email to christophe.ley(a)ugent.be. Applications will be accepted until the position is filled, but all applications received before January 15, 2017 will receive full consideration. %------------------------------------------------------- Elvira Di Nardo Dept. Mathematics "G. Peano" University of Torino Via Carlo Alberto 10 10123 Torino, Italia tel. +39 0116702862 fax +39 0116702878 http://www.elviradinardo.it %-------------------------------------------------------

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Seminario di Giorgio Ferrari presso la Luiss, Mercoledi' 16 Novembre
by Fausto Gozzi 15 Nov '16

15 Nov '16

Luiss, Roma, Dipartimento di Economia e Finanza Viale Romania 32, Roma Mercoledi' 16 Novembre ore 18.10 aula 106 b Seminario di Giorgio Ferrari (Universitat Bielefeld) TITLE: Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ABSTRACT: In this talk I present a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain 2-player nonzero-sum games of singular control. I show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover a differential link between the players' value functions holds across the two games. An application to a problem of pollution control is finally discussed. The talk is based on a joint work with Tiziano De Angelis (The University of Leeds). Tutti gli interessati sono invitati a partecipare. Per qualsiasi richiesta di informazione scrivere a faustogozziluiss(a)gmail.com Fausto Gozzi Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old addresses: Fausto Gozzi Dipartimento di Matematica per le Decisioni Economiche Finanziarie e Assicurative Facolta' di Economia Universita' di Roma La Sapienza via del Castro Laurenziano 9 00161 Roma Italy tel 06/49766275 (office) FAX 06/49766765 and also Fausto Gozzi Dipartimento di Matematica Universita' di Pisa via Filippo Buonarroti n. 2 56127 Pisa Italy tel 050/2213270 FAX 050/2213224 e-mail: GOZZI(a)DM.UNIPI.IT --- Questa e-mail è stata controllata per individuare virus con Avast antivirus. https://www.avast.com/antivirus

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FCPNLO 2016
by Enrico Scalas 14 Nov '16

14 Nov '16

Car* collegh*, Vi segnalo la quarta edizione di Fractional Calculus, Probability and Non-Local Operators (FCPNLO 2016): 4th Workshop on Fractional Calculus, Probability and non-local Operators: Applications and recent Developments November 23-25, 2016 BCAM-Basque Center for Applied Mathematics, Bilbao, Basque Country, Spain http://www.bcamath.org/en/workshops/fcpnlo2016 Cordiali saluti, Enrico Scalas

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[Fwd: Post-doc position openings ERC-TRANSITION (ENS de Lyon, France)]
by davide gabrielli 14 Nov '16

14 Nov '16

---------------------------- Original Message ---------------------------- Subject: Post-doc position openings ERC-TRANSITION (ENS de Lyon, France) From: "Freddy Bouchet" <freddy.bouchet(a)ens-lyon.fr> Date: Sun, November 13, 2016 5:10 pm To: "Freddy Bouchet" <freddy.bouchet(a)ens-lyon.fr> -------------------------------------------------------------------------- Dear friends and colleagues, May I ask you to forward the following post-doc position announcement to your colleagues ? Best regards, Freddy Bouchet Post-doc position openings ERC-TRANSITION (ENS de Lyon, France) Positions 2 Postdoc positions Title Post doc 1: Large deviation theory and computation of rare events in climate dynamics Post doc 2: Computation of the probabilities of rare events in solar system dynamics TRANSITION Project The research project TRANSITION aims at developing statistical mechanics tools, mainly based on large deviation theory, in order to compute rare events which are essential in the understanding of complex dynamical systems. The problems studied span a complete range between theoretical and applied mathematics issues in developing large deviation theory for complex dynamical systems, their numerical computations, and their application to real systems. The project applications focus mainly on turbulent flows relevant for climate dynamics, but applications to other turbulent flows and the solar system dynamics are also considered. Start date Spring 2017, or Fall 2017 Please see more in the two attached descriptions. Freddy Bouchet Freddy Bouchet Laboratoire de physique (LR2 041) ENS de Lyon et CNRS 46, allée d'Italie (Site Monod) 69364 Lyon Cedex 07 Web: http://perso.ens-lyon.fr/freddy.bouchet/ Phone: (+33) (0)4 26 23 39 54 Mobile phone: (+33) (0)6 69 04 05 67 G -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

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[iwfos2017] Remainder: IWFOS 2017. Call for Contributions
by Enea Bongiorno 11 Nov '16

11 Nov '16

*4th International Workshop on Functional and Operatorial Statistics (IWFOS 2017)* *LOCATION AND DATES: *A Coruña (SPAIN), June 15th - 17th, 2017. *DEADLINE TO SUBMIT SHORT CONTRIBUTIONS (6-8 pages in the required format): *December 31st, 2016. *PUBLICATIONS:* *Book of Proceedings:* Short versions (6-8 pages in the required format) of the accepted contributions (oral or poster) will be collected in a book published by *Springer* <http://www.springer.com/gp/>. *Special Issues in Scientific Journals*: This meeting will be the starting point for two Special Issues devoted to Functional Data Analysis: one in the *Journal of Multivariate Analysis* <http://www.journals.elsevier.com/journal-of-multivariate-analysis/call-for-…> and one in *Computational Statistics* <http://www.springer.com/statistics/journal/180>. It is worth mentioning that these Special Issues are not only open to the best presentations in IWFOS 2017, but also to any other innovative contributions in the field. *WEBSITE: *http://iwfos2017.udc.es Thank you for your attention. Hoping to see you in A Coruña, Sincerely Yours, On behalf of the Scientific and Organizing Committees, Ricardo Cao Philippe Vieu Germán Aneiros Enea Bongiorno -- 4th International Workshop on Functional and Operatorial Statistics IWFOS 2017, A Coruña (SPAIN) http://iwfos2017.udc.es --

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seminar announcemnt
by Marco Scarsini 10 Nov '16

10 Nov '16

Thursday 17 November from 12.00 to 13.00 LUISS room 207 viale Romania 32 00197 Roma. Speaker: Sylvain Gibaud (Institut de Mathématiques de Toulouse) Title: Demographic prisoner's dilemma: A probabilistic framework Abstract: I will present an evolutionary game model based on a multi-agent system. In it the evolution will not be managed by a generation system whereby after play a new population is drawn but instead by the fact that agents who perform poorly will die. Our model represents a spatialized prisoner's dilemma where the players move on a torus and play against other players only if they are at the same location. As it is usually done in evolutionary games, the action of the players will be fixed. A player will be either a cooperative player (who always cooperates) or a defecting player (who always defects). This system has been explored using simulations (or approximations). The presentation will show a probabilistic framework in which we can prove theoretical results. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Annuncio di seminario
by Piccioni, Mauro 09 Nov '16

09 Nov '16

Dipartimento di Matematica, Sapienza Università di Roma Martedì 15 novembre Ore 14:00, Aula di Consiglio Seminario di Probabilità e Statistica Matematica Random dynamical systems: contraction and recurrence propertie Marc Peigné, Université de Tours Abstract: Consider a proper metric space X and a sequence (Fn) of i.i.d. random continuous mappings X → X. It induces the stochastic dynamical system (SDS) Xn = Fn ◦ · · · ◦ F1(x) starting at x ∈ X. We study existence and uniqueness of invariant measures, under some assumptions of contraction on the Fn, as well as recurrence and ergodicity of this process. We will consider two main examples: the case where the Fn are affine maps of the real line and the case where Xn is the reflected random walk on the positive real line. Tutti gli interessati sono invitati a partecipare. Per qualsiasi richiesta di informazione scrivere a piccioni(a)mat.uniroma1.it

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CEMRACS 2017 - Announcement (fwd)
by Tiziano Vargiolu 07 Nov '16

07 Nov '16

********************************************** ** ** CEMRACS 2017 SUMMER SCHOOL ** ** July 17 - August 25 ** MARSEILLE FRANCE ** ********************************************** The 2017 session of the CEMRACS summer school will be held from July 17 to August 25, at CIRM, Luminy (Marseille). This annual summer school on numerical methods has been existing for 20 years. The 2017 session will be dedicated to numerical methods for stochastic problems, including: * control problems, * uncertainty quantification, * mean field models, see the web page of the school for more information: http://smai.emath.fr/cemracs/cemracs17/ The summer school is organized as follows: * The first ten days are dedicated to lectures on numerical methods, including HPC training on computers. * During the next five weeks, Phd or Postdoc students work in groups of 2 or 3 on a numerical project that has been proposed by an industrial or a research department. Specialists of numerical methods and IT will support them. We are currently making three calls: *Call 1. Call 1 is for attending the lectures of the summer school (July 17-26), see the program at http://smai.emath.fr/cemracs/cemracs17/summerschool.html. *Call 2. Call 2 regards the submission of numerical projects: research departments and industrials can submit their own numerical projects. It is a way for them to accelerate the study of a numerical problem or of a numerical method. A project may include students who will work on it, or it may not include students. In the latter case, we will assign students to the project, see Call 3 below. More information is available at http://smai.emath.fr/cemracs/cemracs17/projects.html. Examples from the 2016 edition can be found at http://smai.emath.fr/cemracs/cemracs16/research/conf.php. *Call 3. Call 3 concerns students without a project who would like to work on a project, as defined in Call 2. So, this call is dedicated to Phd students and postdoc students that are not already part of a submitted project. They will be assigned to one of the projects without students (or with not enough students). Projects may end up with a publication, on the underlying numerical method or on some corresponding application. Proceedings will be edited after the event. The registration/accommodation fees are detailed on http://smai.emath.fr/cemracs/cemracs17/. For hosting a project, a participation to global expenses of CEMRACS is asked. For further details, please contact us. Emails should be sent to one of the organizers (see the list below) or at the email address cemracs17(a)smai.emath.fr Could you please circulate the information to colleagues and to industrial contacts that might be interested ? Best regards, the organizing committee: Bruno Bouchard (bouchard(a)ceremade.dauphine.fr) Jean-Fran?ois Chassagneux (chassagneux(a)univ-paris-diderot.fr) Fran?ois Delarue (delarue(a)unice.fr) Emmanuel Gobet (emmanuel.gobet(a)polytechnique.edu) Jer?me Lelong (jerome.lelong(a)imag.fr) - - - - - - - - - - - - - - - - - - - - - - - - - - Fran?ois Delarue Professeur Universit? Nice Sophia-Antipolis Laboratoire Dieudonn? Parc Valrose France-06108 Nice Cedex 02 (33) (0)4 92 07 62 80 http://math.unice.fr/~delarue

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Annuncio Sisbayes 2017 Workshop, Roma 7-8 febbraio 2017
by Brunero Liseo 07 Nov '16

07 Nov '16

SISbayes 2017 Workshop, Roma 7-8 February 2017. SISbayes 2017 is the first Workshop organized by the section on Bayesian Statistics of the Italian Statistical Society. SISbayes main goals are - To promote and coordinate applied and theoretical research in the statistical field - To encourage and organize specialized sessions and ad hoc tutorials at national and international statistical meetings - To disseminate Bayesian ideas and methods among young students and scholars in both Statistics and other fields. - To foster the application of the Bayesian paradigm in science, industry, business, finance, and official statistics. The workshop will consists of * Two tutorials delivered by prof. Alessandra Guglielmi - Politecnico di Milano: Bayesian Nonparametrics. prof. Michela Cameletti - Università di Bergamo: An Introduction to Bayesian Computing with INLA. * Five invited sessions * A Poster presentation session followed by a Poster exhibition. The website http://stat-events.wixsite.com/sisbayes2017 contains all the necessary information and it will be periodically updated. SISbayes 2017 is hosted and financially supported by Sapienza Università di Roma. Participants can register on the website. The registration fee (100 Euros; 60 Euros for students) includes admission to tutorials and conference sessions, congress materials, coffee breaks, poster session aperitif (Tuesday 7th) and lunch (Wednesday 8th) Brunero Liseo (on behalf of the Scientific Committee and the Organizing Committee) -- Organizing Committee S. Arima (Sapienza) M. Barbieri (Roma Tre) P. Brutti (Sapienza) F. De Santis (Sapienza) C. Grazian (Sapienza) S. Gubbiotti (Sapienza) B. Liseo (Sapienza) M. Perone Pacifico (Sapienza) S. Polettini (Sapienza) V. Sambucini (Sapienza) A. Tancredi(Sapienza) L. Tardella (Sapienza) Scientific Committee F. Corradi (Firenze) B. Liseo (Sapienza) A. Mattei (Firenze) A. Mira (Lugano) A. Ongaro (Milano Bicocca) S. Petrone (Bocconi) L. Ventura (Padova) ============================================ Brunero Liseo *Dip. di metodi e modelli per il territorio, l'economia e la finanza * *Sapienza Università di Roma* *Viale Castro Laurenziano, 9 Roma I-00161 *Tel. +39 06 49766973 Fax +39 06 4957606 *http://www.memotef.uniroma1.it/users/liseo-brunero <http://www.memotef.uniroma1.it/users/liseo-brunero>* =============================================

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Giornata di studi in onore di Gabriella Salinetti
by Luca Tardella 07 Nov '16

07 Nov '16

Il giorno 6 febbraio 2017 si terra' presso il Dipartimento di Scienze Statistiche di Sapienza Università di Roma la giornata di studi: "Advances in Probability, Statistics and Decision Theory" *** A Conference in Honor of Gabriella Salinetti*** E' disponibile il seguente sito web dedicato alla giornata con l'elenco dei relatori invitati e un programma preliminare http://stat-events.wixsite.com/gabriellaconference Nelle prossime settimane sarà aggiornato con ulteriori dettagli. L'iscrizione al convegno è gratuita, ma necessaria per ragioni organizzative. E' già possibile registrarsi sul sito compilando un semplice modulo on line. E' inoltre possibile contattare gli organizzatori al seguente indirizzo: gabriellaconference(a)gmail.com. Cordiali saluti

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Second Announcement : Third STAR workshop on Random Graphs
by Ben Hansen 04 Nov '16

04 Nov '16

Second Announcement : Third STAR workshop on Random Graphs The workshop will take place on Thursday 26 and Friday 27 January 2017 on the campus of the University of Utrecht (more details of the location and schedule will be added later). This will be the 3rd STAR Workshop on Random Graphs. The first took place in 2012 and the second in 2015. We are very pleased to announce the following prominent researchers have agreed to deliver plenary talks: - Marián Boguñá (Barcelona) - Mihyun Kang (Graz) - Vincent Tassion (Geneva/Zürich) - Nick Wormald (Melbourne) A limited number of slots for contributed talks are available. If you would like to propose a short talk, please let us know by e-mailing Ben Hansen at benhansen09(a)gmail.com. (In case of too much interest, selection will be based on relevance of the talk and the career stage of the speaker.) The workshop is open to all and free of charge, but please register to let us know that you are coming by sending an e-mail to: benhansen09(a)gmail.com The website of the workshop can be found at the address : http://www.math.uu.nl/stochsem/WorkshopRGs2017/

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Postdocs in Riemannian Manifold Optimization, Deep Learning and Information Geometry at RIST
by Luigi Malagò 03 Nov '16

03 Nov '16

[apologies for cross-posting] The Romanian Institute of Science and Technology (RIST) has an opening for 3 postdoc positions, in the context of the DeepRiemann project “Riemannian Optimization Methods for Deep Learning”, funded by European structural funds through the Competitiveness Operational Program (POC 2014-2020). The appointments will be for 2 years, with possible extensions up to 4 years. The DeepRiemann project aims at the design and analysis of novel training algorithms for Neural Networks in Deep Learning, by applying notions of Riemannian optimization and differential geometry. The task of the training a Neural Network is studied by employing tools from Optimization over Manifolds and Information Geometry, by casting the learning process to an optimization problem defined over a statistical manifold, i.e., a set of probability distributions. The project is highly interdisciplinary, with competences spanning from Machine Learning to Optimization, Deep Learning, Statistics, and Differential Geometry. The objectives of the project are multiple and include both theoretical and applied research, together with industrial activities oriented to transfer knowledge, from the institute to a startup or spin-off of the research group. The positions will be part of the new Machine Learning and Optimization group, which will be performing research at the intersection of Machine Learning, Stochastic Optimization, Deep Learning, and Optimization over Manifolds, including nature-inspired optimization algorithms, from the unifying perspective of Information Geometry. The group is one of two newly-formed groups in Machine Learning at RIST, where about 20 new postdoctoral research associates and research software developers will be hired in the next year. The official job announcement can be seen here: http://rist.ro/en/details/news/postdoc-positions-in-machine- learning-optimization-deep-learning-and-information-geometry.html # Jobs Description # The three open positions will focus on different and overlapping aspects of the project: 1) Optimization Algorithms over Statistical Manifolds with Applications to Deep Learning The postdoctoral researcher will conduct research on the design and implementation of novel first- and second-order methods for the optimization of functions defined over statistical models, such as exponential families, the Gaussian distribution, and Markov Random Fields. In particular the research will focus on the optimization problem associated to the training of a Neural Network, which will be studied from the perspective of Optimization over Manifolds with non-Euclidean geometries. The postdoctoral candidate will develop optimization algorithms which explicitly take into account the Riemannian and dual-affine Hessian geometries of the search space, given by the Fisher information metric. Such algorithms should be efficient, scalable, largely parallelizable, and suitable for the large scale and big data settings. Keywords: stochastic gradient descent, Riemannian manifolds, dually-flat Hessian geometries, optimization over manifolds, second-order optimization methods, large scale optimization, nature-inspired optimization algorithms 2) Theory of Neural Networks The postdoctoral researcher will contribute towards the definition of a probabilistic and geometric framework for the study of deep Neural Networks aimed at a better understanding of the working mechanisms behind the success of Deep Learning. The analysis is focused towards a better understanding of what enables Deep Learning systems to achieve remarkable successes, and of its limits, in classification and predictive analysis, with a particular focus on the learning task, in order to guide the development of novel algorithms. The research will include the study of the representational power of various Neural Networks topologies, by taking into consideration the impact of hierarchical architectures with respect to the expressiveness of the network; and the analysis of the number of local minima and of saddle points, which appear during the training and which strongly affect convergence of the optimization algorithms, depending on the nature of the network. Keywords: theory of neural networks, deep learning, learning representations, expressive power of neural networks. 3) Information Geometry of dually-flat Hessian Manifolds The postdoctoral researcher will focus on the characterization of first and second-order Riemannian and affine geometries of statistical models, or more in general Hessian manifolds, aimed at the study of optimization methods over statistical manifolds. Neural Networks can be modeled as statistical manifolds, or manifolds of Neural Networks, and the training of the network can be studied as an optimization problem over a non-linear manifold, where the weights of the network are the parameters of the model and thus the variables of the function to be optimized. The purpose of the analysis is to introduce alternative second-order approximations of a function over a statistical manifold, depending on the choice of the connection and thus how parallel transport is implemented, which are at the basis of the design of second-order optimization methods. Keywords: information geometry, geometry of statistical models, natural gradient, dually-flat manifolds, Hessian geometries. # Desired Qualifications # - PhD in machine learning, theoretical computer science, stochastic optimization, statistics, applied mathematics, including fields such as manifold optimization, differential geometry, statistical mechanics, and related fields - Strong publication record - Strong analytical skills, such as problem solving and logical thinking - Enthusiasm to work in a multidisciplinary and international research environment - Good written and oral communication skills in English Knowledge in machine learning is helpful, but not strictly mandatory. Doctoral students close to the competition of their thesis will also be considered. The positions are to start as early as December 2016 or at any agreed later date. Applications will be reviewed as they are received. RIST offers competitive salaries and top-level working conditions. The net salary for these positions will be around 2.000 euro per month, with a possible increase up to 2.200 euro, based on new tax incentives for research and development activities in Romania. Positions are endowed with travel resources. The cost of living in Cluj is significantly lower than in Western Europe or the USA (e.g., it is 1/3 of the cost of living in London, UK). # How to Apply # In order to apply to this position, the candidate should send an email to deepriemann.jobs(a)rist.ro, mentioning in the subject of the email "DeepRiemann Postdoc Application". The email should include among the attachments: - A cover letter - A complete CV with full list of publications - A short research statement (max 3 pages), which describes your research interests and explain why your skills, knowledge and experience makes you a suitable candidate for one or more of the open positions - The pdfs of 2 selected publications - Name and contact information of up to 3 referees, which will be contacted directly by the institute for a reference letter Informal inquiries can be sent to Dr. Luigi Malagò <malago(a)rist.ro>, Principal Investigator of the DeepRiemann project. # About the Institute # The Romanian Institute of Science and Technology is a non-governmental, not-for-profit, independent research institute, founded in 2009, with the purpose of offering scientists a place to conduct research in Romania with top working conditions, comparable to those you can find in Western Europe. RIST currently performs research on computational and experimental neuroscience, computational intelligence, machine learning, and dynamical systems. The institute is currently undergoing a phase of significant and sustained growth supported by European and Romanian structural funds, with plans for hiring around 20 new scientists and researchers in the next year. The institute has close contacts with the Babeș-Bolyai University, which is the largest university in Romania, and with the Technical University of Cluj-Napoca. The institute is located in Cluj-Napoca, in the heart of Transylvania, which has been named by Lonely Planet as the top region to visit in 2016. Cluj is a welcoming and innovative city, recently listed as one of the major tech hubs (with a 9% growth per year for IT industry). Cluj has 12 universities, over 70k students every year, and an extremely vibrant startup scene, which has recently named the Silicon Valley of Transylvania. Cluj is Europe's friendliest city for foreigners, according to a study by the UK Office of National Statistics, and Romania is no. 16 in the Internations best expat destinations of 2016. About 1100 French citizens, 800 Italian citizens and 500 German citizens live in Cluj (source). The city has an international airport, only 8km away from the city center, with flights to more than 30 European destinations. More information about Cluj: https://vimeo.com/171864331 https://vimeo.com/166021527 -- Luigi Malagò Principal Investigator Romanian Institute of Science and Technology - RIST Address: Str. Cireşilor 29, 400487 Cluj-Napoca, Romania Homepage: http://www.luigimalago.it Office: +40 364 408794 Mobile: +39 340 6249299

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Annuncio di seminario
by Piccioni, Mauro 03 Nov '16

03 Nov '16

Dipartimento di Matematica, Sapienza Università di Roma Martedì 8 novembre Ore 14:00, Aula di Consiglio Seminario di Probabilità e Statistica Matematica Pham Thi Da Cam, Université de Tours, France The survival probability of a critical multi-type branching process in i.i.d. random environment Abstract: We consider Galton Watson branching processes of unique type and multi-type in fixed and in random environment. The main target is to observe the asymptotic behaviour of the survival probability of the population. In particular, we utilise the generating function method thanks to the recursive structure of the process in deterministic case and condition to the generating function of offspring distribution in random case. Tutti gli interessati sono invitati a partecipare. Per qualsiasi richiesta di informazione scrivere a piccioni(a)mat.uniroma1.it

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Seminario di Cambyse Rouzé a Pavia
by Carbone Raffaella 02 Nov '16

02 Nov '16

Cari colleghi, vi annuncio che martedì 8 novembre, alle ore 15 precise, nell'aula Beltrami del Dipartimento di Matematica dell'Universita' di Pavia, il Dott. Cambyse Rouzé (University of Cambridge) terrà un seminario dal titolo Convergence properties of a quantum diff usion semigroup via concavity of the quantum entropy power di cui segue il sunto. Distinti saluti, Raffaella Carbone Abstract The entropy power, rst de ned by Shannon in his seminal paper, lead to many celebrated results in information theory and probability theory. In 1985, Costa proved that the entropy power of a random variable with added Gaussian noise of linearly increasing variance is concave with respect to . The proof of this result was later simpli ed by Dembo by an argument based on the so-called Blachman-Stam inequality. This result (and the intermediate steps of its proof) led to many applications ranging from contractivity properties of certain Markov semigroups to entropic versions of the Central limit theorem. In this talk I will discuss a recent analogue of this result proved in the context of quantum harmonic analysis on phase space. I will then use this result to bound the time of convergence in relative entropy of a state evolving under a quantum analogue of the heat semigroup. This is joint work with Dr. Nilanjana Datta and Dr. Yan Pautrat. -- Raffaella Carbone, PhD Ricercatore di Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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"5th Conference in Memory of Carlo Giannini" (PROGRAMME) (fwd)
by Tiziano Vargiolu 29 Oct '16

29 Oct '16

From: Urga, Giovanni Sent: 29 October 2016 08:59 To: Subject: "5th Conference in Memory of Carlo Giannini" (PROGRAMME) Dear Colleagues Please find attached the programme of the forthcoming conference in Memory of Carlo Giannini to be held next 25 & 26 November at the University of Bergamo. Please feel free to circulate the flyer. Finally, please do not forget to register using the following link http://www00.unibg.it/formconvegni2/maschera.asp?convegno=3576. Looking forward to seeing you in Bergamo in a few week time. Regards Giovanni **************************************************************** Please use both addresses: giovanni.urga(a)unibg.it and g.urga(a)city.ac.uk **************************************************************** Giovanni Urga Professor of Finance and Econometrics Faculty of Finance Cass Business School 106 Bunhill Row London EC1Y 8TZ (U.K.) Tel.+/44/(0)20/70408698 Fax.+/44/(0)20/70408881 www.cass.city.ac.uk/experts/G.Urga https://sites.google.com/site/urgagiovanni/ Director, Centre for Econometric Analysis (CEA@Cass) http://www.cass.city.ac.uk/cea/index.html Professore di Econometria, Department of Management, Economics and Quantitative Methods, Bergamo University (Italy) http://www00.unibg.it/struttura/strutturasmst.asp?rubrica=1&persona=689&nom e=Giovanni&cognome=Urga&titolo=Prof.

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ARPM job opportunity
by Elisa Appolloni 28 Oct '16

28 Oct '16

Dear all, I am reaching out to you because at ARPM (the company for which I work) we are looking to add new resources for our Advanced Risk and Portfolio Management program. Would you mind circulating the message below to interested and qualified candidates? Thank you, Elisa Appolloni *** *The firm* ARPM – Advanced Risk and Portfolio Management <https://www.arpm.co/> is a privately held research institution, directed by Attilio Meucci, based in New York City with virtual offices world-wide. ARPM’s mission is to set and disseminate the standards for advanced quantitative risk management and portfolio management across the financial industry: asset management, banking, and insurance. *The opportunity * ARPM is looking for a new researcher-in-training for a minimum period of 6 months, indefinitely extensible. The successful candidate will review and code practical case studies and theoretical examples in quantitative finance, contributing to the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The successful candidate will work full-time, remotely, constantly communicating via multi-media with the other members of ARPM. The ARPM researcher-in-training position represents a great opportunity for candidates with strong academic background, who wish to apply to real problems in finance the rigorous, research-oriented approach acquired in their schooling. *The progression* ARPM emphasizes the constant intellectual growth of its resources. For the first 6 months the researcher-in- training will be focused on specific projects. At the end of this period (s)he will conduct a presentation on the topics covered. Then, (s)he will start broadening his/her scope, attending the presentations of their peers and seniors, working on broader projects, and acquiring hands-on- knowledge of all the topics of the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The approximate time required to attain the required level of familiarity with the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14> is: two years for a recent master’s graduate; one year for a recent PhD graduate. When ready, the researcher-in-training will be tested on all such topics with an exam. If successful, (s)he will conclude his/her training period, attaining the title of ARPM researcher. The ARPM researcher will then engage in highly quantitative projects with ARPM clients, becoming a profit center. *The candidate* [image: arrow_20]Master’s degree in mathematics, physics, engineering, computer science, statistics, data science, quantitative economics. [image: arrow_20]PhD in hard sciences or master’s degree in quantitative finance is a plus. [image: arrow_20]Very strong command of foundational mathematics, including multivariate calculus and linear algebra. [image: arrow_20]Good knowledge of statistics and probability. [image: arrow_20]Proficiency in MATLAB, Python, or similar programming languages. [image: arrow_20]Good command of English. *Compensation* Competitive For more information, please visit arpm.co <https://www.arpm.co/> and/or contact us at info(a)arpm.co <info(a)arpm.co?Subject=job%20Post> -- *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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BIDSA Inaugural Conference
by Federico Camerlenghi 24 Oct '16

24 Oct '16

********************************************************** INAUGURAL CONFERENCE BOCCONI INSTITUTE FOR DATA SCIENCE AND ANALYTICS ********************************************************** The Bocconi Institute for Data Science and Analytics (BIDSA) is pleased to announce its inaugural conference that will be held on November 18, 2016, at the Bocconi University in Milano. ** PROGRAM ** 14:30 - Welcome Address by - Gianmario Verona, Rector of the Bocconi University 14:50 - Lectures by - Michael I. Jordan (University of California, Berkeley) - Marc Mézard (École Normale Supérieure) 16:10 - Coffee Break 16:40 - Lectures by - Aldo Rustichini (University of Minnesota) - Riccardo Zecchina (Politecnico di Torino) The event will be held in room N07, Piazza Sraffa 13 (Velodromo). Participation is free but registration by November 5, 2016 is required. The online registration form is available at https://eventi.unibocconi.it/index.php?key=ev2016090138 For any additional information feel free to write to: bidsa(a)unibocconi.it

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Conference "Actuarial Risks in the Solvency II Era: frontiers of mathematics and regulation"
by Sabrina Mulinacci 24 Oct '16

24 Oct '16

Dear Colleagues, we are glad to invite you to the Conference on Actuarial Risks in the Solvency II Era: frontiers of mathematics and regulation that is going to be held in Bologna, November 3-4-5, 2016. The program will include a tutorial directed to students, scholars and practitioners interested in mastering the state of the art of theory. Interested students may earn 3 credits upon attending the conference and providing a written discussion of some the presentations in the conference. On Saturday November 5th, there will be an informal meeting for networking on current research and discussion ofspecial topics for future research. More detailed informations are available at http://www2.stat.unibo.it/actuarial-risk/Home.html? Best Regards Sabrina Mulinacci?

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Eurocast 2017 - deadline approaching
by Antonio Di Crescenzo 24 Oct '16

24 Oct '16

Dear Colleague, we kindly remind that the deadline for the abstract submission is approaching. Workshop "Stochastic Models and Applications to Natural, Social and Technical Systems" of the Sixteenth International Conference on Computer Aided Systems Theory, Las Palmas de Gran Canaria, February 19-24, 2017. An extended two pages abstract must be sent by e-mail to eurocast(a)iuctc.ulpgc.es until October 31, 2016. Selected full final papers for publication will be required before April 30, 2017. Further information is available at the conference web page (<http://eurocast2017.fulp.ulpgc.es/>http://eurocast2017.fulp.ulpgc.es/) Looking forward meeting you at the Workshop. Best regards, Antonio Di Crescenzo and Amelia G. Nobile -- ============================================= Antonio Di Crescenzo Dipartimento di Matematica Università degli Studi di Salerno Via Giovanni Paolo II, n. 132 84084 Fisciano (SA) Italy Tel. +39-089-963349 Fax: +39-089-963303 E-mail: adicrescenzo(a)unisa.it Web: http://www.unisa.it/docenti/antoniodicrescenzo/index =============================================

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de Finetti Risk Seminar - October 2016
by Emanuela Rosazza 23 Oct '16

23 Oct '16

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Warner Marzocchi Istituto nazionale di Geofisica e vulcanologia TITLE: The probabilistic nature of earthquake forecasting: key issues, challenges and testability LOCATION: The seminar will be held on Wednesday, October 26, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *****************************************************

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Annual ESOBE 2016 meeting, 27/28 October, Ca' Foscari University, Venice, Italy
by Roberto Casarin VE 22 Oct '16

22 Oct '16

7th ANNUAL EUROPEAN SEMINAR ON BAYESIAN ECONOMETRICS ESOBE 2016 Venice, Italy 27 - 28 October 2016 The workshop is organised by the Department of Economics of the *University Ca’ Foscari of Venice*, and is co-sponsored by the *European Central Bank*, the *Central Bank of Italy*, the *International Association for Applied Econometrics* and *GRETA Associati*. The ESOBE meetings aim at bringing together researchers and professionals interested in the application of Bayesian inference. Ever since the pioneering work of Arnold Zellner, Bayesian econometrics has expanded enormously in areas such as economics, finance, business, and marketing. The computational revolution in simulation techniques is a key ingredient in this expansion and allows the application of Bayesian methods to increasingly complex models and high-dimensional data environments. The ESOBE 2016 conference intends to discuss about research and application in the following *areas*: - Bayesian financial econometrics - Bayesian microeconometrics and program evaluation - Bayesian nonparametric - Shrinkage estimation and variable selection in high dimensions - Computational methods for large datasets - Efficient MCMC and SMC methods for complex models The *keynote speakers *of ESOBE 2016 are: - Christian P. Robert (University Paris Dauphine and University of Warwick) - Ulrich K. Mueller (Princeton University) - Thomas J. Sargent (New York University) The *Scientific Committee* consists of: - Monica Billio (Ca’ Foscari University of Venice) - Fabio Canova (BI Norwegian Business School) - Roberto Casarin (Ca’ Foscari University of Venice) - Sylvia Fruehwirth-Schnatter (Wirtschaftsuniversität Wien) - Sylvia Kaufmann (Study Center Gerzensee) - Gary Koop (Strathclyde Business School) - Francesco Ravazzolo (Free University of Bozen/Bolzano) - Herman K. van Dijk (Erasmus University Rotterdam and VU University Amsterdam) More detailed information available on the Conference *website*: http://virgo.unive.it/esobe2016/index.htm (* Apologies for post-crossing) -- Roberto Casarin University Ca' Foscari, Venice Address: San Giobbe 873/b 30121 Venezia, Italy Phone: +39 041.234.91.49 Fax: +39 041.234.91.76 Web:http://venus.unive.it/r.casarin/

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MODEL UNCERTAINTY AND ROBUST FINANCE
by Giovanni Puccetti 21 Oct '16

21 Oct '16

EARLY REGISTRATION DEADLINE (October 30) with REDUCED FEE FOR THE WORKSHOP MODEL UNCERTAINTY AND ROBUST FINANCE https://sites.google.com/site/2016murf/ <https://sites.google.com/site/2016murf/> University of Milan, 10-11 November 2016 Final program now available at https://sites.google.com/site/2016murf/program <https://sites.google.com/site/2016murf/program>

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Fwd: Fwd: Postdoc position in IHES
by Carina Geldhauser 20 Oct '16

20 Oct '16

---------- Forwarded message ---------- From: *Hugo Duminil* <duminil(a)ihes.fr <mailto:duminil@ihes.fr>> Date: 2016-10-19 16:03 GMT+01:00 Subject: Postdoc position in IHES To: Hugo Duminil <hugo.duminil(a)unige.ch <mailto:hugo.duminil@unige.ch>> Dear all, I would like to advertise a postdoc position under my supervision at IHES starting September 2017. If you know candidates who you think might be interested, please do encourage them to apply. I attach a short description. You can tell potential candidates to contact me directly if they want further information. Best wishes Hugo Postdoctoral position in Probability and Mathematical Physics *Principal Investigator : Hugo DUMINIL-COPIN* *Duration*: 2 years IHES offers a 2-year postdoctoral position in Probability and Mathematical Physics beginning September 2017 and funded by the IDEX Chair of Pr Duminil-Copin. All candidates with background in Probability or Mathematical Physics, and interested in working on the mathematical and physical aspects of Statistical Physics and Probability Theory, are encouraged to apply. *Contract details*: The IHES scientific environment provides superb conditions for research in mathematics and theoretical physics. The position will be covered by a competitive package funded by the IDEX chair that will include family housing in IHES residence apartments, and free access to the cafeteria for lunch. Some funding will also be available to participate in scientific events related to the project. Applications should be sent online and include the application form duly completed, a CV, a list of publications, a description of research project and future plans as well as 2 letters of recommendation to be sent to postdoc-application(a)ihes.fr <mailto:postdoc-application@ihes.fr> Apply now<http://www.ihes.fr/jsp/site/Portal.jsp?document_id=4043&portlet_id=1006> *Deadline: 23 November 2016* *Contact*: postdoc-application(a)ihes.fr <mailto:postdocs-applications@ihes.fr> -- ----------------------------------------------------------------- Hugo Duminil-Copin Permanent professor Email: duminil(a)ihes.fr <mailto:duminil@ihes.fr> Institut des Hautes Études Scientifiques (IHÉS) Phone: +33-160926643 Le Bois-Marie, 35 route de Chartres Fax: +33-160926669 91440 BURES-SUR-YVETTE (FRANCE) www: http://www.ihes.fr/~duminil/ <http://www.ihes.fr/%7Eduminil/>

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Fwd: Two postdoc opportunities Prob-L@B, Bath, UK.
by Carina Geldhauser 20 Oct '16

20 Oct '16

-------- Forwarded Message -------- Subject: Two postdoc opportunities Prob-L@B, Bath, UK. Date: Wed, 19 Oct 2016 21:27:42 +0000 From: Andreas Kyprianou <A.Kyprianou(a)BATH.AC.UK> Reply-To: Andreas Kyprianou <A.Kyprianou(a)BATH.AC.UK> To: APPLIEDPROB(a)JISCMAIL.AC.UK Dear Friends, in addition to the 6 month Postdoc opportunity currently open in Prob-L@B: https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=HR4368 I would additionally like to bring this 3 year postdoc opportunity to your attention also at Prob-L@B: https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=SF4380 You can read more about the probability laboratory at Bath here http://www.bath.ac.uk/research/centres/probability-laboratory/ Please distribute as you see fit, queries can be addressed to me (a.kyprianou(a)bath.ac.uk <mailto:a.kyprianou@bath.ac.uk>). I am sorry if you received this more than once today (unless you enjoyed reading it more than once). with thanks Andreas -- Professor Andreas Kyprianou Co-director of EPSRC CDT SAMBa Co-director of Prob-L@B Department of Mathematical Sciences University of Bath BA2 7AY

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Seminario di Probabilità - Padova
by Paolo Dai Pra 20 Oct '16

20 Oct '16

Ho il piacere di invitarvi al seguente seminario, che si terrà Giovedì 27 Ottobre, alle 12:00, in aula 2BC30 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Giovanni Conforti AFFILIATION: University of Leipzig TITLE: Some quantitative results about bridges and Entropic interpolations of probability measures ABSTRACT: In the first part of the talk I will discuss quantitative results about the bridges of the Langevin dynamics and the associated reciprocal processes.They include an equivalence between gradient estimates for bridge semigroups and couplings, comparison principles, and a Logarithmic Sobolev inequality. All results are based on a seemingly new expression of the drift of a bridge in terms of the reciprocal characteristic, which, roughly speaking, is the ``acceleration" of a bridge. The analogy between reciprocal characteristic and acceleration also allows to view our results as a probabilistic version of well known facts about ODEs. Bridges can be used to construct interpolations of probability measures. The resulting curve, called entropic interpolation, is a stochastic counterpart to the displacement interpolation. If time allows, I will discuss connections with gradient flows on Wasserstein space and an estimate of the marginal entropy along entropic interpolations which in the small noise limit gives back the well known convexity of the entropy along displacement interpolations. The talk is partially based on joint work with Max von Renesse. Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Reminder: seminar from G. Livieri in Padova
by Giorgia Callegaro 20 Oct '16

20 Oct '16

Dear all, this is to remind you that next week Giulia Livieri (Scuola Normale Superiore di Pisa) will give a seminar at the Mathematics Department of the University of Padova. Here are all the details: - *Title* : Smile at Errors: A Discrete-Time Stochastic Volatility Framework for Pricing Options with Realized Measures - *Link to the online version: * http://papers.ssrn. com/sol3/papers.cfm?abstract_id=2811304 <http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2811304> - *Date and time*: 24 October 2016 at 12:00 - *Room*: 2 BC 30 Hope to see you soon, all the best, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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