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Fwd: [owps] talks tomorrow april 29
by Faggionato, Alessandra 28 Apr '21

28 Apr '21

Buongiorno, giro l'annuncio del OWPS per chi fosse interessato. Saluti Alessandra ---------- Forwarded message --------- Da: One World Probability <ow.probability(a)gmail.com> Date: mer 28 apr 2021 alle ore 14:04 Subject: [owps] talks tomorrow april 29 To: <owps(a)lists.bath.ac.uk> Dear All, we have two talks tomorrow. Remember that we start 14:00 UTC which is 16:00 CET! 14:00-15:00 UTC Bastien Mallein Tail behaviour of the derivative martingale in a branching random walk A branching random walk is a discrete-time particle system on the real line in which every particle gives independently birth to offspring positioned around the position of their parent. The derivative martingale of the branching random walk is a stochastic process which allows to measure the number of particles traveling at maximal speed in this process. Under some general integrability conditions uncovered by Aïdékon (2013) and Chen (2015), we know the derivative martingale converges a.s. to a non-negative limit. Recently, Maillard and Pain (2019) obtained a necessary and sufficient condition on the reproduction law of the branching Brownian motion under which the convergence of the derivative martingale satisfies a specific central limit theorem. In this talk, based on a joint work with Alexander Iksanov and Dariusz Buraczewski, we extend their result to branching random walk settings. The proof is based on the characterization of subharmonic functions of the killed random walk with at most linear growth. 15:00 - 16:00 UTC Hui He Deviation probabilities for the maximum of a branching random walk. Consider a supercritical branching random walk on real line started from the origin. Under some mild conditions, it is proved by Aïdékon (2013) that its centered maximum converges in law. In this talk, we will review some recent results on the large/lower deviation probabilities of the maximum. The talk is based on joint works with Xinxin Chen and Bastien Mallein. The Zoom link is on the OWPS webpage. It can also be accessed directly via https://tum-conf.zoom.us/j/66226509320 <https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Ftum-conf.…> Meeting-ID: 662 2650 9320 Kenncode: 710554 We hope to see you tomorrow! Best wishes, Julien and Nina ID: 662 2650 932 -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Seminar Aernout van Enter
by Massimo Campanino 28 Apr '21

28 Apr '21

Aernout van Enter ONE-SIDED VERSUS TWO-SIDED STOCHASTIC PROCESSES Thursday the 6th of May 3 pm (Italian time) Stochastic processes can be parametrised by time (such as occurs in Markov chains), in which case conditioning is one-sided (on the past) or by one-dimensional space (which is the case, for example, for one-dimensional Markov fields), where conditioning is two-sided (on the right and on the left). I will discuss some examples, in particular generalising this distinction to g-measures versus Gibbs measures, where, instead of a Markovian dependence, the weaker property of continuity (in the product topology) is considered. In particular I will discuss when the two descriptions (one-sided or two-sided) produce the same objects and when they are different. We show moreover the role one-dimensional entropic repulsion plays in this setting. Based on joint work with R. Bissacot, E. Endo and A. Le Ny, and S. Shlosman ________________________________ Zoom link https://unibo.zoom.us/s/98736182682?zak=eyJ6bV9za20iOiJ6bV9vMm0iLCJhbGciOiJ… Join our Cloud HD Video Meeting<https://unibo.zoom.us/s/98736182682?zak=eyJ6bV9za20iOiJ6bV9vMm0iLCJhbGciOiJ…> Zoom is the leader in modern enterprise video communications, with an easy, reliable cloud platform for video and audio conferencing, chat, and webinars across mobile, desktop, and room systems. Zoom Rooms is the original software-based conference room solution used around the world in board, conference, huddle, and training rooms, as well as executive offices and classrooms. Founded in 2011, Zoom helps businesses and organizations bring their teams together in a frictionless environment to get more done. Zoom is a publicly traded company headquartered in San Jose, CA. unibo.zoom.us

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Padova Online Seminar by Gioia Carinci (Università di Modena e Reggio Emilia) [Friday, May 7 at 14.30]
by alessandra bianchi 28 Apr '21

28 Apr '21

Dear Colleagues, We would like to invite you to the following Probability seminar that will take place on May 7 at 14.30 by the zoom platform. ________________________________________________________ Speaker: Gioia Carinci (Università di Modena e Reggio Emilia) Title: Condensation of SIP particles and sticky Brownian motion 7 MAY (Friday) - 14:30 zoom link: TBA available on the webpage https://www.math.unipd.it/~bianchi/seminari/ ) Abstract: The symmetric inclusion process (SIP) is a particle system with attractive interaction. We study its behavior in the condensation regime attained for large values of the attraction intensity. Using Mosco convergence of Dirichlet forms, we prove convergence to sticky Brownian motion for the distance of two SIP particles. We use this result to obtain, via duality, an explicit scaling for the variance of the density field in this regime, for the SIP initially started from a homogeneous product measure. This provides relevant new information on the coarsening dynamics of condensing particle systems on the infinite lattice. Joint works with M. Ayala, C Giardina and F. Redig -- 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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webinars PRISMA Biagini-Colaneri
by c.ceci＠unich.it 26 Apr '21

26 Apr '21

Buongiorno a tutti, abbiamo il piacere di annunciare il quarto appuntamento del ciclo di seminari online promosso dal Gruppo UMI PRISMA. May 3,2021 - 16:00-17:00 (CET) Francesca Biagini Reduced-form setting under model uncertainty with non-linear affine Intensities. - 17:00-18:00 (CET) Katia Colaneri Classical solutions of the Backward PIDE for Markov modulated Marked Point Processes and applications to catastrophic bonds. Abstract Francesca Biagini: In this talk we present a market model including financial assets and life insurance liabilities within a reduced-form framework under model uncertainty by following [1]. In particular we extend this framework to include mortality intensities following an affine process under parameter uncertainty, as defined in [2].This allows both to introduce the definition of a longevity bond under model uncertainty in a consistent way with the classical case under one prior, as well as to compute it by explicit formulas or by numerical methods. We also study conditions to guarantee the existence of a càdlàg modification for the longevity bond’s value process. Furthermore, we show how the resulting market model extended with the longevity bond is arbitrage-free and study arbitrage-free pricing of contingent claims or life insurance liabilities in this setting. This talk is based on: [1] Francesca Biagini and Yinglin Zhang. Reduced-form framework under model uncertainty. The Annals of Applied Probability, 29(4):2481–2522, 2019. [2] Francesca Biagini and Katharina Oberpriller. Reduced-form framework under model uncertainty. Preprint University of Munich and Gran Sasso Science Institute, 2020. [3] Tolulope Fadina, Ariel Neufeld, and Thorsten Schmidt. Affine processes under parameter uncertainty. Probability, Uncertainty and Quantitative Risk <https://link.springer.com/journal/41546> volume 4 (5), 2019. Abstract Katia Colaneri: We give conditions ensuring that the backward partial integro differential equation (PIDE) associated with a multidimensional jump-diffusion with a pure jump component has a unique classical solution. Our proof uses a probabilistic arguments and extends the results of (Pham 1998) to processes with a pure jump component where the jump intensity is modulated by a diffusion process. This result is particularly useful in some applications to pricing and hedging of financial and actuarial instruments, and we provide an example to pricing of catastrophic (CAT) bonds. Collegamento Teams: https://teams.microsoft.com/l/meetup-join/19%3ad685b25ed15f4821ac5168e63cf9… Tutte le informazioni le trovate anche alla pagina http://www.umi-prisma.polito.it/webinars.html Grazie per l’attenzione, Claudia Ceci e Domenico Marinucci ******************************************** Claudia Ceci Dipartimento di Economia Universita' "G. d'Annunzio" di Chieti-Pescara V.le Pindaro 42 65127, Pescara, ITALY c.ceci(a)unich.it *******************************************

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Seminar announcement - Petter Kolm (April 28 at 4 pm)
by Fabrizio Lillo 25 Apr '21

25 Apr '21

*Wednesday April 28 at 4pm (CEST):* Petter Kolm (NYU, Courant Institute) *Title*: Feature Selection in Jump Models *Abstract*: Jump models switch infrequently between states to fit a sequence of data while taking the ordering of the data into account. In this talk, we propose a new framework for joint feature selection, parameter and state-sequence estimation in jump models. Feature selection is necessary in high-dimensional settings where the number of features is large compared to the number of observations and the underlying states differ only with respect to a subset of the features. We develop and implement a coordinate descent algorithm that alternates between selecting the features and estimating the model parameters and state sequence, which scales to large data sets with large numbers of (noisy) features. We demonstrate the usefulness of the proposed framework by comparing it with a number of other methods on both simulated and real data in the form of financial returns, protein sequences, and text. The resulting sparse jump model outperforms all other methods considered and is remarkably robust to noise. This is joint work with Erik Lindstrom and Peter Nystrup The link for joining the meeting is: https://teams.microsoft.com/l/meetup-join/19%3ameeting_NjVmYWI3OTMtZWZkYy00… Best regards Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Dipartimento di Matematica, Università di Bologna Scuola Normale Superiore, Pisa ITALY Personal website: fabriziolillo.wordpress.com University website: www.unibo.it/sitoweb/fabrizio.lillo <http://fabriziolillo.wordpress.com/> phone: +39 050509159

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Seminar announcement
by Marco Scarsini 23 Apr '21

23 Apr '21

Thursday, 29 April, 17:00 CEST *Carri Chan,* Columbia University Prediction-Driven Surge Planning with Applications in the Emergency Department <http://mailsender.luiss.it/lists/lt.php?id=cRpQBwwLSAULAAdOVgFdBQs> Optimizing emergency department (ED) nurse staffing decisions to balance the quality of service and staffing cost can be extremely challenging, especially when there is a high level of uncertainty in patient-demand. Increasing data availability and continuing advancements in predictive analytics provide an opportunity to mitigate demand-rate uncertainty by utilizing demand forecasts. In this work, we study a two-stage prediction framework that is synchronized with the base (made months in advance) and surge (made nearly real-time) staffing decisions in the ED. We quantify the benefit of the more expensive surge staffing. We also propose a near-optimal two-stage staffing policy that is straightforward to interpret and implement. Lastly, we develop a unified framework that combines parameter estimation, real-time demand forecasts, and staffing in the ED. High fidelity ED simulation experiments demonstrate that the proposed framework can reduce staffing costs by 8% – 17% while guaranteeing timely access to care. Joint work with Jing Dong and Yue Hu. Discussants: Vahid Sarhangian and Julien Grand-Clément This is the link to the Virtual Room <http://mailsender.luiss.it/lists/lt.php?id=cRpQAAYBSAULAAdOVgFdBQs>. If you want to receive the password to access the virtual room, please fill out this form <https://docs.google.com/forms/d/e/1FAIpQLSeDxM-M5ogG43elgjC-lNCp0BDhISiZHG0…> (If you filled it out in the past, this is not necessary). The schedule of the upcoming seminars can be found here <https://economiaefinanza.luiss.it/en/seminars/2020-2021-seminars>. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Webinar "Near-maxima and near-records", by F. Javier López Lorente
by Antonio DI CRESCENZO 23 Apr '21

23 Apr '21

---------- Forwarded message --------- Dear colleagues, We kindly invite you to attend the SPA Webinar *"Near-maxima and near-records"*, by F. Javier López Lorente (Universidad de Zaragoza, Spain), on April 29, 2021, Thursday, at 16:30 p.m. (UTC+2). You may read the abstract at: blogs.mat.ucm.es/presa/our-webinar If you wish to attend this SPA Webinar, please send an email to the organizers (agcorral(a)ucm.es) You will receive an email with the link to access the seminar a few hours before the seminar starts. The SPA Webinar Series is organized by the Working Group on *"Stochastic Processes and their Applications"* of the Spanish Society for Statistics and Operations Research. With best regards, Miguel González Velasco & Antonio Gómez-Corral *Coordinators of the Working Group* -- *Antonio Gómez-Corral* Facultad de Ciencias Matemáticas Plaza de Ciencias 3 Universidad Complutense de Madrid 28040 Madrid Teléfono: +34 91 394 44 28 E-mail: agcorral(a)ucm.es Web page: blogs.mat.ucm.es/agomez-corral Las matemáticas de la pandemia (CSIC-Catarata, 2020): blogs.mat.ucm.es/agomez-corral/2020/11/07/las-matematicas-de-la-pandemia/ Antes de imprimir este correo piense si es necesario: el medio ambiente es cosa de todos. Before printing this mail please consider whether it is really necessary: the environment is a concern for us all.

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Webinar in Statistics MATTHIAS LOFFLER
by Pierpaolo De Blasi 23 Apr '21

23 Apr '21

WEBINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.carloalberto.org/events/category/seminars/seminars-in-statistic…> Venerdi 30 Aprile 2021, alle ore 12.00, si terrà il seguente webinar: ------------------------------------------------ Speaker: *Matthias Loffler *(ETH Zurich) Title: *Optimality of Spectral Clustering in the Gaussian Mixture Model* Zoom link: https://us02web.zoom.us/j/81943504316?pwd=anlwTXpXSkU4R1ZsMjMxVEo5NHcwQT09 Meeting ID: 819 4350 4316 Passcode: 355115 Abstract: Spectral clustering is one of the most popular algorithms to group high dimensional data. It is easy to implement and computationally efficient. Despite its popularity and successful applications, its theoretical properties have not been fully understood. We show that spectral clustering is minimax optimal in the Gaussian Mixture Model with isotropic covariance matrix, when the number of clusters is fixed and the signal-to-noise ratio is large enough. Spectral gap conditions are widely assumed in the literature to analyze spectral clustering. On the contrary, we show that these conditions are not needed. ------------------------------------------------ Il webinar 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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Post-doc position available at the University of Oslo, Norway. Deadline approaching!
by Valeria Vitelli 22 Apr '21

22 Apr '21

*A three-years postdoc position in Biostatistics is offered at the Oslo Centre for Biostatistics and Epidemiology (OCBE), University of Oslo, Norway. * The position is funded under the* SCIENTIA FELLOWS* program, a transnational research fellowship programme in the field of Health Life Sciences at the University of Oslo, funded by the EU Horizon 2020 under the Maria Skłodowska-Curie scheme. *More information available here:* https://www.med.uio.no/imb/english/research/groups/statistics-high-dimensio… *Hosts: *Valeria Vitelli ( https://www.med.uio.no/imb/english/people/aca/valeriv/) and David Swanson ( https://sojourningnorth.github.io/) *Deadline for submission: May 11th, 2021* *Call, detailed information and how to apply:* (thematic area: "biostatistics") https://www.med.uio.no/english/research/scientia-fellows/apply/ *If you are interested in the position, please contact the hosts above as soon as possible! *In order to apply for the position, you have to submit a research proposal (and other documents as specified in the call) by May 11th, 2021. The position will be at the Oslo Centre for Biostatistics and Epidemiology (OCBE), Faculty of Medicine, University of Oslo ( https://www.med.uio.no/imb/english/research/centres/ocbe/) *Salary: 526 000 NOK/year (roughly 52K EUR/year)* *Eligibility:* - You possess a PhD degree (at the latest by 1 July 2021) in statistics, biostatistics, mathematics, computer science or other related disciplines with a documented competence in statistics, biostatistics or mathematics. - You have not been resident in Norway for more than 12 months in the last 3 years. -- Valeria Vitelli Oslo Center for Biostatistics and Epidemiology, Department of Biostatistics, University of Oslo, Norway mailto: valeria.vitelli(a)medisin.uio.no

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Summer School - Stochastic Models and Complex Systems
by Barbara Martinucci 22 Apr '21

22 Apr '21

Dear All, We are glad to announce the forthcoming Summer School, entitled *"Stochastic Models and Complex Systems"*, that will be held online in the period June 10th - July 7th, 2021. The Summer School is open to PhD students, postdoc and young researchers interested in the treated topics. It will feature mini-courses of plenary speakers, exercise sessions and students' talks. *Plenary courses *include: - *Enrico Scalas* (University of Sussex) "*A gentle introduction to combinatorial stochastic processes (with applications to Physics, Finance and Economics)*", 16 hours; - *Yuliia Mishura* (Taras Shevchenko National University of Kyiv) "*Statistics of fractional models*", 8 hours; - *Jorge Navarro* (University of Murcia) "*Selected Topics on Distorted models and applications*", 6 hours. An outline of the event, including the themes covered, is already available on the website http://dipmat2.unisa.it/iniziative/smocs2020/School.html The students willing to apply for the Summer School are invited to fill the registration form available on the website. The participation is free but the registration is mandatory. Only the first 50 registration will be admitted. For any question, send an email to: smocs2021(a)gmail.com Do not hesitate to CIRCULATE this announcement to your colleagues and students. Best regards, the Organizing Committee

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2nd Spring Colloquium on Probability and Finance
by Claudio Fontana 22 Apr '21

22 Apr '21

Dear all, We would like to bring to your attention the following virtual workshop: /2ND SPRING COLLOQUIUM ON PROBABILITY AND FINANCE - /29 APRIL 2021, 9.00 - 13.00, ONLINE University of Padova, Department of Mathematics "Tullio Levi-Civita" The second edition of the Spring Colloquium on Probability and Finance will bring together researchers working in stochastic analysis and mathematical finance. The workshop will feature five invited talks and attendance is open. To attend the Colloquium, please register by sending an e-mail to the organisers (Giorgia Callegaro and Claudio Fontana). _SPEAKERS_: • René AID (Paris Dauphine Universty, FR) • Luciano CAMPI (University of Milan, IT) • Alessandro GNOATTO (University of Verona, IT) • Antoine JACQUIER (Imperial College London, UK) • Barbara PACCHIAROTTI (University of Rome "Tor Vergata", IT) Best regards, Giorgia Callegaro and Claudio Fontana

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Pisa Online Seminars - Constanza Rojas-Molina (Tuesday, April 27 at 16:00)
by Giacomo Filippo Di Gesu 21 Apr '21

21 Apr '21

Dear colleagues, I would like to invite you to the following online seminar organized by the Probability group of the University of Pisa. The talk will be accessible under the link Click here to join<https://teams.microsoft.com/l/meetup-join/19:af3d635091e049579e555a84219ab3…"Tid":"c7456b31-a220-47f5-be52-473828670aa1","Oid":"dfd1e5f6-331d-43e0-a180-4bb6ce727fb7"}> Best regards, Giacomo Tuesday, April 27, 16:00 Speaker: Constanza Rojas-Molina (CY Cergy Paris Université) Title: (Fractional) random Schrödinger operators, integrated density of states and localization Abstract: We consider the continuous Schrödinger operator - d^2/d^x^2 + B’(x) on the interval [0,L] where the potential B’ is a white noise. We study the entire spectrum of this operator in the large L limit. We prove the joint convergence of the eigenvalues and of the eigenvectors and describe the limiting shape of the eigenvectors for all energies. When the energy is much smaller than L, we find that we are in the localized phase and the eigenvalues are distributed as a Poisson point process. The transition towards delocalization holds for large eigenvalues of order L. In this regime, we show the convergence at the level of operators. The limiting operator in the delocalized phase is acting on R^2-valued functions and is of the form ``J \partial_t + 2*2 noise matrix'' (where J is the matrix ((0, -1)(1, 0))), a form appearing as a conjecture by Edelman Sutton (2006) for limiting random matrices. Joint works with Cyril Labbé. ************************ Giacomo Di Gesù Dipartimento di Matematica Università di Pisa Largo Bruno Pontecorvo 5 56127 - Pisa, Italy giacomo.digesu(a)unipi.it<mailto:giacomo.digesu@unipi.it> https://sites.google.com/site/giacomodigesu/

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(PMS)^2 online talk: Zdzislaw Brzezniak, Monday April 26 at 17:30
by Mario Maurelli 21 Apr '21

21 Apr '21

Dear colleagues, We are happy to announce the following online talk: Speaker: *Zdzislaw Brzezniak* (University of York, UK) Title: *The stochastic Strichartz estimates and stochastic nonlinear Schrödinger equations driven by Levy noise* Date and time: *Monday April 26, 17:30-18:30 (Rome time zone)* Abstract: see below Zoom link: https://us02web.zoom.us/j/87131794820?pwd=R3l0VEtpZXNzUmQ1bnlnbWhBUm5XQT09 Meeting ID: 871 3179 4820 Passcode: 5yFGwK This talk is the first of the *(PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics* organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale. The series will run approximately every fortnight and, for the moment, will be held online. Participation is free and welcome! (though limited to 100 participants for technical reasons) Best regards The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella) Abstract: We establish a new version of the stochastic Strichartz estimate for the stochastic convolution driven by jump noise which we apply to the stochastic nonlinear Schrodinger equation with nonlinear multiplicative jump noise in the Marcus canonical form. With the help of the deterministic Strichartz estimates, we prove the existence and uniqueness of a global solution to stochastic nonlinear Schrodinger equation in $L^2(R^n)$ with either focusing or defocusing nonlinearity in the full subcritical range of exponents as in the deterministic case. This talk will be based on a joint paper with Wei Liu and Jiahui Zhu.

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Seminar Pierre Alquier @Bocconi - April 22
by Giacomo Zanella 21 Apr '21

21 Apr '21

A reminder of the following BIDSA webinar (link <https://www.bidsa.unibocconi.eu/wps/wcm/connect/site/bidsa/home/news_events…> ): Date: Thursday, April 22, h14:00 (Italy time) Speaker: Pierre Alquier (RIKEN) Title: Robust Estimation via M.M.D. Minimization Abstract: In this talk, I will study the properties of parametric estimators based on the Maximum Mean Discrepancy (MMD) defined by Briol et al. (2019). In a first time, I will show that these estimators are universal in the i.i.d setting: even in case of misspecification, they converge to the best approximation of the distribution of the data in the model, without ANY assumption on this model. This leads to very strong robustness properties. In a second time,I will show that these results remain valid when the data is not independent, but satisfy instead a weak-dependence condition. This condition is based on a new dependence coefficient, which is itself defined thanks to the MMD. I will show through examples that this new notion of dependence is actually quite general. Reference: This talk is based on the following papers and softwares, with Badr-Eddine Chérief Abdellatif (Oxford University), Mathieu Gerber(University of Bristol), Jean-David Fermanian (ENSAE Paris) and Alexis Derumigny (University of Twente): http://arxiv.org/abs/1912.05737 http://proceedings.mlr.press/v118/cherief-abdellatif20a.html http://arxiv.org/abs/2006.00840 https://arxiv.org/abs/2010.00408 https://cran.r-project.org/web/packages/MMDCopula/ The webinar will be on zoom at: https://zoom.us/j/95795747882 Meeting ID: 957 9574 7882 Passcode: 025765 Kind regards, Giacomo Zanella

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(Reminder) Seminar Thursday 22 - Optimal constrained and unconstrained subgraph structures (prof. Clara Stegehuis)
by Gianmarco Bet 21 Apr '21

21 Apr '21

Dear colleagues, This is a reminder that tomorrow (Thursday 22) at 14:30, prof. Clara Stegehuis (Twente University) will give a virtual seminar “in Florence”, to which you are all invited. You can find title and abstract below this message. The seminar will be on Zoom. You can find the information to join below. If you know of someone who might be interested and is not subscribed to the random mailing list, please do not hesitate to forward this announcement to them. Kind regards, Gianmarco Topic: Clara Stegehuis - Optimal constrained and unconstrained subgraph structures Time: Apr 22, 2021 02:30 PM Rome Join Zoom Meeting https://us02web.zoom.us/j/85651690146?pwd=ZnRCbGR6OUlxM2J4RldJd2R1aVE3Zz09 <https://us02web.zoom.us/j/85651690146?pwd=ZnRCbGR6OUlxM2J4RldJd2R1aVE3Zz09> Meeting ID: 856 5169 0146 Passcode: 770134 Title: Optimal constrained and unconstrained subgraph structures Abstract: Subgraphs contain important information about network structures and their functions. We investigate the presence of subgraphs in a random graph model with infinite-variance degrees. We introduce an optimization problem which identifies the dominant structure of any given subgraph. The unique optimizer describes the degrees of the vertices that together span the most likely subgraph and allows us to count and characterize the asymptotic number of subgraphs in a simple manner. We then show that this optimization problem easily extends to investigating other random network structures, such as clustering, which expresses the probability that two neighbors of a vertex are connected. The optimization problem is able to find the behavior of network subgraphs in a wide class of random graph models. ---------------------------------------------------------------------- Gianmarco Bet (he/him) Junior researcher https://gianmarco.bet Phone: (+39) 055 2751491 Department of Mathematics and Informatics "U. Dini" University of Florence Viale Morgagni, 65 50134 Firenze, Italy Office 64 ----------------------------------------------------------------------

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Online seminar Svaluto-Ferro
by matteo.burzoni＠unimi.it 20 Apr '21

20 Apr '21

Dear colleagues, it is our pleasure to invite you to the following online seminar: Zoom link (see also details below): <https://us02web.zoom.us/j/88398874167?pwd=YkRzdlNYWjVjUlc3T294ZjZuVHNSdz09> https://us02web.zoom.us/j/88398874167?pwd=YkRzdlNYWjVjUlc3T294ZjZuVHNSdz09 Speaker: <https://homepage.univie.ac.at/sara.svaluto-ferro/> Sara Svaluto-Ferro (University of Vienna) Title: From signature-based models to affine and polynomial processes and back. Time: Tuesday, April 27, 4PM (Italian time) Abstract: Modern universal classes of dynamic processes, based on neural networks or signature methods, have recently entered the field of stochastic modeling, in particular in Mathematical Finance. This has opened the door to more data-driven and thus more robust model selection mechanisms, while principles like no arbitrage still apply. We analyze here different types of signature models. In the first part, we focus on models based on the signature of a supporting process, which can range from a Brownian motion, to a multidimensional Levy-process, to a general multidimensional tractable stochastic process, to the times series corresponding to some liquid objects on the market. We also present methods how to fit these models to data. In the second part we focus on signature SDEs, i.e. (possibly Lévy driven) SDEs whose characteristics are linear functions of the process signature. We show how these new models can be embedded in the framework of affine and polynomial processes, which have been - due to their tractability - the dominating process class prior to the new era of highly overparametrized dynamic models. We show that generic classes of diffusion models can be described in terms of a signature SDEs. This allows to get power series expansions for expected values of analytic functions of the process' marginals. The talk is based on joint works with Christa Cuchiero, Guido Gazzani, Francesca Primavera and Josef Teichmann. Zoom meeting details: meeting ID: 883 9887 4167 Passcode: mVJ6SR Best, Matteo Burzoni

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New deadline for BISP12 - Twelfth Workshop on Bayesian Inference in Stochastic Processes
by elisa varini 20 Apr '21

20 Apr '21

Having received some late submission requests, we decided to reopen the call for contributed papers until 25 April 2021. It is possible to submit abstracts (using the templates in the website) at https://bisp12.imati.cnr.it/ In the meantime, we have completed the list of invited speakers (all junior ones) and we are going to contact senior researchers who will serve as discussants. The speakers will be: • Atilla Ay (George Washington University, USA) • Clara Grazian (University of New South Wales, Australia) • Andrew Holbrook (University of California, Los Angeles, USA) • Kaoru Irie (University of Tokyo, Japan) • Roi Naveiro (CSIC-ICMAT, Spain) • Giovanni Rebaudo (University of Texas at Austin, USA) • Claudia Solis-Lemus (University of Wisconsin-Madison, USA) • Stéphanie Van Der Pas (Amsterdam UMC, The Netherlands) • Andi Wang (University of Bristol, UK) • Paul Wu (Queensland University of Technology, Australia) The titles of their contributions are available on the website. It is also possible to register (free of charge) on the same website to attend the workshop on 27-28 May (afternoons, Central European Summer Time). Elisa Varini and Fabrizio Ruggeri Chairs, Organising and Scientific Committees

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Richiesta di comunicazione ai membri della lista RANDOM
by Enrico Moretto 20 Apr '21

20 Apr '21

con preghiera di diffusione alla lista RANDOM. Ringrazio. Cordiali saluti, enrico moretto *** Si informano i colleghi interessati che il workshop "/Network models for financial contagion and systemic risk/", organizzato dal Dipartimento di Economia e Management dell'Università di Pavia si terrà online il prossimo 28 maggio 2021. I contributi selezionati saranno considerati per la special issue "Network models for financial contagion and systemic risk" della rivista Frontiers in AI (https://www.frontiersin.org/research-topics/17785/network-models-for-financ… <https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.front…>). La scadenza della call for paper è fissata per il 14 maggio. Maggiori informazioni nella locandina allegata.

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Sussex probability seminar
by Enrico Scalas 19 Apr '21

19 Apr '21

Care colleghe e colleghi, vi invio l'annuncio del seminario di Vladislav Vysotskiy il 26 aprile a mezzogiorno. Le persone interessate possono ottenere il link contattando l'organizzatrice, Dr Minmin Wang (minmin.wang(a)sussex.ac.uk) Cordiali saluti, Enrico Scalas -- Next Monday (26th April) at 11am (UK time) there’ll be an online probability seminar given by Vladislav Vysotskiy. Title: How long is the convex minorant of a one-dimensional random walk? Abstract: We prove distributional limit theorems for the length of the largest convex minorant of a one dimensional random walk with independent identically distributed increments. Depending on the distribution of the increments there are several regimes with different limit distributions for the length. The most prominent of our results is a central limit theorem for the length in the case when the increments have zero mean and finite variance. Among other tools, we employ a representation of convex minorants of random walks in terms of uniform random permutations. This talk is based on a joint work with Gerold Alsmeyer, Zakhar Kabluchko, and Alexander Marynych.

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Corso SIMULATION AND INFERENCE IN POPULATION GENETICS
by Matteo Ruggiero 19 Apr '21

19 Apr '21

Cari colleghi, nell’ambito del programma di Visiting Professors della Laurea Magistrale in Stochastics and Data Science dell’Università di Torino (programma completo alla pagina https://www.master-sds.unito.it/go/visiting) con piacere annunciamo il seguente corso: -------------------------------------- Paul JENKINS (University of Warwick, UK) SIMULATION AND INFERENCE IN POPULATION GENETICS Population genetics provides a rich source of data. We now have the ability to sequence, cost-efficiently, the genomes of a large number of individuals from a species. Patterns of variation in DNA sequences offer a rich insight into biological and demographic processes: mutation, natural selection, past migration events, admixture, population structure, and so on. But such data are high-dimensional, noisy, and - because of shared ancestry - not independent, giving rise to some challenging statistical problems. In this course we will cover two important models for the analysis of genetic data - the coalescent, and the Wright-Fisher diffusion. We will discuss methods of simulation of data from these models, as well as how to perform inference for key biological and evolutionary parameters, using techniques such as MCMC. -------------------------------------- Il corso si svolgerà online secondo il seguente calendario - mar 27 Aprile, h.14-16 - mer 28 Aprile, h.16-18 - mar 4 Maggio, h.14-16 - mer 5 Maggio, h.16-18 - mer 12 Maggio, h.16-18 - mar 18 Maggio, h.14-16 - mer 19 Maggio, h.16-18 Il corso è rivolto agli studenti della Laurea Magistrale ma la partecipazione è aperta a tutti gli interessati, tramite le seguenti riunioni Webex valide rispettivamente per le lezioni del martedì e del mercoledì: https://unito.webex.com/unito/j.php?MTID=meeb9bd7865e8bc86b75074b346c0a3ed Ricorre ogni Martedì con validità 13/4/2021 fino a 18/5/2021 da 14:00 a 16:00 Numero riunione: 121 415 2525 Password: MEiAMZMf986 https://unito.webex.com/unito/j.php?MTID=m775c416c6142fd5b86bd7207f46dbabe Ricorre ogni Mercoledì con validità 14/4/2021 fino a 19/5/2021 da 16:00 a 18:00 Numero riunione: 121 469 7803 Password: C5RsPRapS92 Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Course ISI-ERS "An Introduction to Functional Data Analysis for Density Functions in Bayes spaces"
by Alessandra Menafoglio 19 Apr '21

19 Apr '21

We cordially invite you to the short course "An Introduction to Functional Data Analysis for Density Functions in Bayes spaces”, which will be held on 29-30 April 2021, both days from 14:00 alle 17:00 (GMT+2). The course is part of the initiatives of the International Statistical Institute (ISI-ERS). It aims to provide participants with an overview on the models and methods today available for the analysis of distributional data (e.g., probability densities) by using the geometry of Bayes spaces. Further information on the course is available at: https://iasc-isi.org/events/iasc-ers-course-an-introduction-to-functional-d… <https://iasc-isi.org/events/iasc-ers-course-an-introduction-to-functional-d…> Participation to the webinars is free of charge, but registration is requested using the link below: https://register.gotowebinar.com/register/8667082239416059148 <https://register.gotowebinar.com/register/8667082239416059148> Best regards, Alessandra Menafoglio Karel Hron Jitka Machalova **Abstract** The analysis of distributional data (probability density functions or histogram data) has recently gained increasing attention in the applications. Distributional data are often observed by themselves, or as result of aggregation of large streams of data. The course will provide an introduction to the analysis of these data using a Functional Data Analysis (FDA) approach, grounded on the perspective of Bayes spaces. These spaces are mathematical spaces whose points are densities (or, more generally, measures), which generalize to the FDA setting the Aitchison simplex for multivariate compositional data. The course will give an overview of the theory of Bayes spaces, as well as of statistical methods developed in this setting. All the methods will be illustrated through examples from real case studies. — Alessandra Menafoglio MOX - Dept. of Mathematics Politecnico di Milano Piazza Leonardo da Vinci, 32, 20133 Milan - Italy Phone: +39 02 2399 4642 Email: alessandra.menafoglio(a)polimi.it

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online seminar - Giuseppe Savaré - April 22
by Carbone Raffaella 18 Apr '21

18 Apr '21

Dear colleagues, it is our pleasure to invite you to the following online seminar Speaker: *Giuseppe Savaré* (Università Bocconi - Milano) Title: Hellinger/Wasserstein contraction and regularization properties of diffusion semigroups. Time: Thursday, *April 22, *4PM (Italian time) Zoom Link <https://us02web.zoom.us/j/89543157111?pwd=NnAyblhVNkppeERRRFd1VGYwTkMyUT09> (ID and passcode below if necessary) The seminar is a satellite activity of the PhD course "Introduction to coercive inequalities with applications in analysis and probability theory" (professor Boguslaw Zegarlinski - Imperial College, London) Abstract We illustrate a duality approach to contraction and regularizing properties of diffusion semigroups satisfying a suitable Bakry-Emery condition that emphasize an interplay between Hellinger-Kakutani, Kantorovich-Wasserstein, and Hellinger-Kantorvich distances. In the case of the Kantorovich-Wasserstein distance, contraction properties are also related to the gradient flow structure of the evolution driven by the logarithmic entropy and provide a nice geometrical interpretation of Log-Sobolev and Talagrand inequalities. Best regards, Raffaella Carbone ---------- Join Zoom Meeting https://us02web.zoom.us/j/89543157111?pwd=NnAyblhVNkppeERRRFd1VGYwTkMyUT09 Meeting ID: 895 4315 7111 Passcode: 029655 + -- Raffaella Carbone, PhD Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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Post-doc position at Scuola Normale Superiore
by Mario Maurelli 18 Apr '21

18 Apr '21

Dear colleagues, A call for application for a post-doc position with name "Stochastic models of interest for fluid mechanics", as part of the research project "Stochastic Analysis tools for Extreme Event Probabilities in Climate Change", underProf. Franco Flandoli's guidance, is open at the Scuola Normale Superiore in Pisa. The position starts before the end of 2021 and lasts one year. The deadline for application is May 3, 2021. More information is available here: https://amministrazionetrasparente.sns.it/scuola/opportunit%C3%A0-offerte-d… Best regards Mario Maurelli

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Summer school on Mean Field Games online "in Chicago"
by Cecchin Alekos (M.) 16 Apr '21

16 Apr '21

Dear Colleagues, I forward you this announcement of an online summer school on mean field games in June, organized by the University of Chicago. This is part of a long program and all the courses will last one week. [ https://www.imsi.institute/imfga21/ | https://www.imsi.institute/imfga21/ ] Kind regards Alekos Cecchin Da: Takis Souganidis <souganidis(a)math.uchicago.edu> Inviato: domenica 21 marzo 2021 02:54 A: Alekos Cecchin <alekos.cecchin(a)univ-cotedazur.fr> Oggetto: Institute for Mathematical and Statistical Innovation-Summer program on MFG Dear Alekos, I am writing to let you know about the IMSI (a new NSF funded Institute at the University of Chicago) [ https://www.imsi.institute/imfga21/ | summer program on MFG ] . This will be an excellent opportunity for people to learn about the theory and some of the applications. Please help us advertise the program. If you know anyone who is interested, they can apply [ https://www.imsi.institute/imfga21/#apply | here ] . Best, Takis -- Panagiotis E. Souganidis Charles H. Swift Distinguished Service Professor Department of Mathematics The University of Chicago [ http://math.uchicago.edu/~souganidis/ | http://math.uchicago.edu/~souganidis/ ]

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Seminar announcement
by Marco Scarsini 16 Apr '21

16 Apr '21

Thursday, 22 April, 17:00 CEST *Amy Ward,* University of Chicago Behavior-Aware Queueing <http://mailsender.luiss.it/lists/lt.php?id=cRpQBwcLSAUECQdOVgFdBQs> Discussants: Dongyuan Zhan and Liron Ravner The paper can be found here <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3633435>. This is the link to the Virtual Room <http://mailsender.luiss.it/lists/lt.php?id=cRpQAAYBSAUECQdOVgFdBQs>. If you want to receive the password to access the virtual room, please fill out this form <https://docs.google.com/forms/d/e/1FAIpQLSeDxM-M5ogG43elgjC-lNCp0BDhISiZHG0…> (If you filled out the form in the past, this is not necessary). The schedule of the upcoming seminars can be found here <https://economiaefinanza.luiss.it/en/seminari/seminari-2021>. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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