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Webinars PRISMA
by c.ceci＠unich.it 30 Nov '21

30 Nov '21

Buon pomeriggio a tutti, abbiamo il piacere di annunciare il prossimo webinar promosso dal Gruppo UMI PRISMA: - Lunedi’ 6 dicembre 2021 ore 16-18 - ore 16, Giulia Di Nunno Titolo: On time changed Lévy noises in modelling, dynamics and control Abstract: The study of time change lays at the intersection of probability and statistics and have interesting potential in the modelling of different phenomena. These models are appealing, since they seem quite close to classical Lévy structures, often easy to simulate, though they are still statistically very different, as they may loose important properties, such as independent increments and Markovianity. It clearly all depends on the time change applied! When it comes to stochastic calculus, stochastic dynamics, and control, we shall see how the use of the interplay of partial information techniques and enlargement of filtrations can help dealing with such dynamics. - ore 17, Alessandra Cretarola Titolo: Optimal reinsurance and investment under common shock dependence between the financial and the actuarial market Abstract: We study the optimal proportional reinsurance and investment strategy for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose a model where the insurance framework is affected by environmental factors, and aggregate claims and stock prices are subject to common shocks, i.e. drastic events such as earthquakes, extreme weather conditions, or even pandemics, that have an immediate impact on the financial market and simultaneously induce insurance claims. Using the classical stochastic control approach based on the Hamilton-Jacobi- Bellman equation, we provide a verification result for the value function via classical solutions to two backward partial differential equations and characterize the optimal strategy. Finally, we discuss the effect of the common shock dependence via a comparison analysis. Collegamento Teams: https://teams.microsoft.com/l/meetup-join/19%3ad685b25ed15f4821ac5168e63cf9… Tutte le informazioni sui webinars sono pubblicate alla pagina web: http://www.umi-prisma.polito.it/webinars.html Grazie per l’attenzione, Claudia Ceci e Domenico Marinucci

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Corso FREQUENTIST LIMITS FROM BAYESIAN STATISTICS
by Matteo Ruggiero 30 Nov '21

30 Nov '21

Cari colleghi, nell’ambito del programma di Visiting Professors della Laurea Magistrale in Stochastics and Data Science dell’Università di Torino (alla pagina https://www.master-sds.unito.it/go/visiting <https://www.master-sds.unito.it/go/visiting> il programma completo per il presente a.a.), con piacere annunciamo il seguente corso: -------------------------------------- Bas KLEIJN (University of Amsterdam) FREQUENTIST LIMITS FROM BAYESIAN STATISTICS We look at the role that the posterior can play in frequentist statistics, with special attention for large-sample limits. There exists an intimate relationship between hypothesis testing and concentration of posterior measure, which combines with a notion called remote contiguity to obtain frequentist convergence results from sequences of Bayesian posterior measures. We shall cover frequentist forms of posterior consistent estimation, rates of posterior convergence, as well as asymptotic uncertainty quantification by enlargement of credible sets and hypothesis testing/model selection with Bayes factors. Plan of the course: eight lectures of 45 minutes each: Lec I - Bayesian Basics (Frequentist/Bayesian formalisms, estimation, coverage, testing) Lec II - The Bernstein-von Mises theorem (Limit shape in smooth parametric models, semi-parametrics) Lec III - Bayes and the Infinite (Consistency, Doob’s theorem, Schwartz’s theorem) Lec IV - Posterior contraction (Barron, Walker, Ghosh-Ghosal-van der Vaart theorems) Lec V - Tests and posteriors (Testing and posterior concentration, Doob’s theorem) Lec VI - Frequentist validity of Bayesian limits (Remote contiguity and frequentist limits) Lec VII - Posterior uncertainty quantification (How confidence sets arise from credible sets) Lec VIII - Uniform and pointwise tests (Which hypotheses are asymptotically testable and which are not?) Time permitting, we shall also consider Lec IX - Bayesian tests and posterior model selection (Model selection with posteriors, some examples) -------------------------------------- L'iniziativa è rivolta agli studenti del secondo anno della Laurea Magistrale ma la partecipazione è aperta a tutti gli interessati. Il corso si svolgerà in presenza nell’aula 30, terzo piano, C.so Unione Sovietica 218/bis, 10134, Torino (qui https://www.unito.it/ateneo/gli-speciali/coronavirus-aggiornamenti-la-comun… <https://www.unito.it/ateneo/gli-speciali/coronavirus-aggiornamenti-la-comun…> i requisiti per l’accesso come ingressi occasionali) secondo il seguente calendario: - mar 30 Novembre, h.14-16 - mer 1 Dicembre, h.14-16 - mar 7 Dicembre, h.14-16 - gio 9 Dicembre, h.11.15-13 e sarà trasmesso in diretta streaming (senza registrazione) tramite la seguente riunione Webex, valida per tutte le lezioni: https://unito.webex.com/unito/j.php?MTID=m508322b370362bfd0618d768e4772ac0 <https://unito.webex.com/unito/j.php?MTID=m508322b370362bfd0618d768e4772ac0> Numero riunione: 2733 233 8719 Password: 9ahN5DGFRU3 Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it <http://www.matteoruggiero.it/>

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one-world-probability-seminar
by Franco Flandoli 30 Nov '21

30 Nov '21

Segnalo i due seminari di questa settimana: Alessandra Caraceni and Alexandre Stauffer,* Edge flip Markov chains on triangulations and random planar maps* Date: 2021-12-02 Time: 14:00-16:00 UTC <https://www.google.com/url?q=https%3A%2F%2Fwww.timeanddate.com%2Fworldclock…> https://www.owprobability.org/one-world-probability-seminar/future-seminars

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Fw:I: 23rd Workshop on Quantitative Finance - Rome 27-28 January 2022 - second call for papers (fwd)
by Tiziano Vargiolu 29 Nov '21

29 Nov '21

Da: Davide Pirino <davide.pirino(a)gmail.com> Inviato: venerd? 26 novembre 2021 16:09 Apologies for cross-posting Dear colleagues, This is a gentle reminder on the Call for Papers of the XXIII Workshop on Quantitative Finance, which will be held in Rome (in presence) on January 27-28, 2022. The deadline for submitting extended abstracts is next Tuesday, 30th November, 2021 (the call for paper and all deadlines can be found in the attached document). Abstract must be submitted through an online procedure at the following webpage: https://qfw2022.it/registration/ Registration - XXII Workshop on Quantitative Finance qfw2022.it The Annual meeting whose purpose is to stimulate discussion on theoretical and practical aspects of Quantitative Finance Information on the workshop is available here: https://qfw2022.it/en/ XXII Workshop on Quantitative Finance qfw2022.it The Annual meeting whose purpose is to stimulate discussion on theoretical and practical aspects of Quantitative Finance On behalf of the organizing committee.

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23rd Workshop on Quantitative Finance - Rome 27-28 January 2022 - second call for papers
by Davide Pirino 26 Nov '21

26 Nov '21

Apologies for cross-posting Dear colleagues, This is a gentle reminder on the Call for Papers of the XXIII Workshop on Quantitative Finance, which will be held in Rome (in presence) on January 27-28, 2022. The deadline for submitting extended abstracts is next Tuesday, 30th November, 2021 (the call for paper and all deadlines can be found in the attached document). Abstract must be submitted through an online procedure at the following webpage: https://qfw2022.it/registration/ Information on the workshop is available here: https://qfw2022.it/en/ On behalf of the organizing committee.

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Data Science and biology
by Enrico Scalas 26 Nov '21

26 Nov '21

Care colleghe e colleghi, Con preghiera di diffusione, Vi segnalo questa posizione di dottorato all'Universita' del Sussex: https://southcoastbiosciencesdtp.ac.uk/project/using-ai-and-big-data-to-ide… Le persone interessate possono mettersi in contatto con Frances Pearl: https://profiles.sussex.ac.uk/p140897-frances-pearl Cordiali saluti, Enrico Scalas

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Bando RTDB 13/D1 Politecnico di Milano
by Laura Maria Sangalli 26 Nov '21

26 Nov '21

Si comunica che alla pagina https://www.polimi.it/it/docenti-e-staff/bandi-e-concorsi/bandi-e-concorsi-… è pubblicato il bando per una posizione RTDB nel Settore Concorsuale 13/D1 - STATISTICA. Cordialmente, 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<mailto:laura.sangalli@polimi.it> url: http://mox.polimi.it/~sangalli

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New Post-Doc position at SNS: "Mean Field Games aspects of training residual networks".
by Giulia Livieri 25 Nov '21

25 Nov '21

Dear all, A call for a 12 month research contract is open at the Scuola Normale Superiore, Pisa (Italy). I would like to stress that - differently from the previous call - the Ph.D is not required in order to apply for the position. The topic of the research is “Mean Field Games aspects of training deep neural networks and the use of deep neural networks for solving Mean Field Games” and it is part of the project “Mean Field Games aspects of training residual networks”. In particular, the research will be focused on the study of the training of deep neural network via the Mean Field Games approach and/or on the use of deep neural network to solve Mean Fields Games problems. A special emphasis will be put on the mathematical aspects of the two approaches. The research will be developed under the direction of the scientific director Dr. Giulia Livieri. Duration of the contract: 1 year, Annual gross remuneration, inclusive of all taxes: € 29,000 The details of the call (in Italian and English) are available at https://amministrazionetrasparente.sns.it/scuola/opportunità-offerte-dalla-… The deadline is December 23, 2021. In case you need more information, please contact Giulia Livieri (*giulia.livieri(a)sns.it* <giulia.livieri(a)sns.it>) Thanks and all the best, Giulia Livieri

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assegni di ricerca a Pisa
by Marco Romito 25 Nov '21

25 Nov '21

Buongiorno segnalo il bando per due assegni di ricerca biennali presso il Dipartimento di Matematica dell'Università di Pisa. Il tema degli assegni è generico su ogni disciplina della matematica di interesse per i gruppi di ricerca del dipartimento. Il bando è consultabile alla pagina https://bandi.unipi.it/public/Bandi/Detail/1cd16e96-3687-4359-a51b-99a90106… Il termine per la presentazione delle domande è il 24 dicembre alle ore 13. --------------------------- A call is open for two two-years post-doc positions at the Math Department of Pisa University, on the broad subject of pure and applied mathematics. The call (in italian) is available at https://bandi.unipi.it/public/Bandi/Detail/1cd16e96-3687-4359-a51b-99a90106… The deadline is on December 24, 1:00pm Interested people can write to me for further details m.

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Seminar in Statistics GONZALO MENA
by Pierpaolo De Blasi 22 Nov '21

22 Nov '21

SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.carloalberto.org/events/category/seminars/seminars-in-statistic…> Venerdi 26 Novembre 2021, alle ore 12.00, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Speaker: *Gonzalo Mena *(University of Oxford) Title: *On the unreasonable effectiveness of Sinkhorn algorithm for learning permutations and entropic optimal transport* Abstract: Sinkhorn's algorithm realizes the solution of entropy-regularized linear programs on certain matrix polytopes. In the past years, the interest in this algorithm has grown considerably because of its usefulness as a tool for the modeling of permutations, and because of its fundamental role in the solution of an entropic optimal transport problem, also called the Schrödinger bridge. In this talk, I will give an overview of my work in relation to these two areas. First, regarding entropic optimal transport, I will argue that this tool is valuable for deriving sensible statistical procedures. Indeed, we show that it enjoys a substantially better sample complexity compared to optimal transport, which suffers from the curse of dimensionality. Also, in the more applied setup of model-based clustering we show that it can be used as an alternative to the log-likelihood, since it has fewer bad local optima. Based on this observation, we develop a new algorithm, Sinkhorn-EM, in which we only modify the E-step to solve an Entropic Optimal Transport problem. Our algorithm is shown to attain better practical performance. Second, regarding permutations, I will describe some successful applications in Deep Learning, and in neuroscience, for the inference of neural identities in C.elegans worms. Links https://arxiv.org/abs/1802.08665 https://arxiv.org/abs/1905.11882 https://arxiv.org/abs/2006.16548 ------------------------------------------------ In ottemperanza alle norme anti Covid, per partecipare in presenza è necessario prenotarsi tramite il seguente form online: https://forms.gle/XyyJ3JaqTeZLi92A6 Sarà possibile seguire il seminario anche in streaming: Join Zoom Meeting <https://us02web.zoom.us/j/84926221121?pwd=eDdycEV3M2VVVU1FSEszM000eDlIdz09> Meeting ID: 849 2622 1121 Passcode: 899297 Il seminario è organizzato dalla "de Castro" Statistics Initiative www.carloalberto.org/stats Cordiali saluti, Pierpaolo De Blasi --- University of Torino & Collegio Carlo Alberto carloalberto.org/pdeblasi <https://sites.google.com/a/carloalberto.org/pdeblasi/>

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