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Seminario di Maurizia Rossi a Milano-Bicocca (26 feb 2020)
by Francesco Caravenna 21 Feb '20

21 Feb '20

Ho il piacere di annunciare il seguente seminario di Maurizia Rossi (Università di Milano-Bicocca): "Random waves: a probabilistic overview with an accent on Geometry" che si terrà mercoledì 26 febbraio 2020 alle ore 14:00 in aula U5-3014 (Dipartimento di Matematica e Applicazioni, Università di Milano-Bicocca). Trovate l'abstract di seguito. Il seminario è rivolto a un pubblico matematico ampio. Tutti gli interessati, a partire dai dottorandi, sono invitati a partecipare. %%%%%%%%%%%%%%%% Abstract. The geometry of (deterministic) Laplace eigenfunctions on manifolds is a challenging research topic, several natural questions are still open in their full generality, for instance Yau's conjecture on nodal volumes. A probabilistic counterpart of these questions aroused great interest recently, in particular for the universal behavior of high-energy eigenfunctions (the so-called Berry's ansatz). In this talk we investigate the geometry of random waves on manifolds, i.e. geometrical properties of their excursion sets. The aim is to give an introduction to this theory and, if time permits, to present some of the most recent results in this area. %%%%%%%%%%%%%%%% _________________________________________ 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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Associate Professor Positions @ Luxembourg University
by Giovanni Peccati 20 Feb '20

20 Feb '20

Dear Colleagues, an *Associate Professor* position (with promotion track) is open at the *Department of Mathematics of Luxembourg University (DMATH)*, in the area of *Statistics and Machine Learning* The deadline for applications is *March 30, 2020*. All relevant information can be found here http://emea3.mrted.ly/2f9vz Please, do not hesitate to forward this message to any potential candidate. With my best regards, Giovanni Peccati -- Prof. Giovanni Peccati ------------------------------------------ Head of the Department of Mathematics Faculty of Science, Technology and Medicine ------------------------------------------ University of Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

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Seminar announcement at LUISS - Talk by Giorgio Ferrari (Bielefeld University), 25/02/2020, 12:00
by Alessandro Calvia 20 Feb '20

20 Feb '20

Dear colleagues, on Tuesday, 25 February 2020, at 12:00, Prof. Giorgio Ferrari (Bielefeld University) will give a talk "On The Free Boundaries of Two Multi-dimensional Singular Stochastic Control Problems with Interconnected Dynamics" at LUISS "G. Carli" University, Department of Economics and Finance, viale Romania 32, room 304b. ------------ Abstract: We present two continuous-time stochastic control problems involving controls of bounded-variation. Those problems are motivated by questions arising in macroeconomic theory - as the optimal control of inflation via interest rates - and in operations research - as the optimal management of an inventory having impact on the demand of a good - and their characteristic is that the drift of a diffusive component of the two-dimensional state variable is an affine function of a purely controlled process. The objective is to minimize an expected cost functional involving a running cost function and proportional costs of control. By relying on a combination of techniques from viscosity theory and free-boundary analysis, we provide the structure of the value function and we show that it satisfies a so-called second-order smooth-fit principle. Such a regularity is then exploited in order to determine a system of functional equations solved by the two monotone continuous curves (free boundaries) that split the control problem's state space in three connected regions. In one of the two considered problems, the free boundaries are even shown to be classical solutions to a system of first-order nonlinear ODEs. This is based on joint works with Salvatore Federico (University of Siena) and Patrick Schuhmann (University of Bielefeld). ------------ All interested people are kindly invited to participate. Best regards, Alessandro Calvia Alessandro Calvia Assistant Professor Dipartimento di Economia e Finanza Luiss Libera Università Internazionale degli Studi Sociali Guido Carli Viale Romania, 32 - 00197 Roma T +39 0685225907 acalvia(a)luiss.it<mailto:acalvia@luiss.it> www.luiss.it<http://www.luiss.it>

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Seminar announcement at LUISS - Talk by Giorgio Ferrari (Bielefeld University), 25/02/2020, 12:00
by Alessandro Calvia 20 Feb '20

20 Feb '20

Dear colleagues, on Tuesday, 25 February 2020, at 12:00, Prof. Giorgio Ferrari (Bielefeld University) will give a talk "On The Free Boundaries of Two Multi-dimensional Singular Stochastic Control Problems with Interconnected Dynamics" at LUISS "G. Carli" University, Department of Economics and Finance, viale Romania 32, room 304b. ------------ Abstract: We present two continuous-time stochastic control problems involving controls of bounded-variation. Those problems are motivated by questions arising in macroeconomic theory - as the optimal control of inflation via interest rates - and in operations research - as the optimal management of an inventory having impact on the demand of a good - and their characteristic is that the drift of a diffusive component of the two-dimensional state variable is an affine function of a purely controlled process. The objective is to minimize an expected cost functional involving a running cost function and proportional costs of control. By relying on a combination of techniques from viscosity theory and free-boundary analysis, we provide the structure of the value function and we show that it satisfies a so-called second-order smooth-fit principle. Such a regularity is then exploited in order to determine a system of functional equations solved by the two monotone continuous curves (free boundaries) that split the control problem's state space in three connected regions. In one of the two considered problems, the free boundaries are even shown to be classical solutions to a system of first-order nonlinear ODEs. This is based on joint works with Salvatore Federico (University of Siena) and Patrick Schuhmann (University of Bielefeld). ------------ All interested people are kindly invited to participate. Best regards, Alessandro Calvia Alessandro Calvia Assistant Professor Dipartimento di Economia e Finanza Luiss Libera Università Internazionale degli Studi Sociali Guido Carli Viale Romania, 32 - 00197 Roma T +39 0685225907 acalvia(a)luiss.it<mailto:acalvia@luiss.it> www.luiss.it<http://www.luiss.it>

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Second announcement: "Junior female researchers in probability” workshop in Berlin, 17-19 June 2020.
by Luisa Andreis 19 Feb '20

19 Feb '20

Dear colleagues, we would like to draw your attention to the third workshop for Junior female researchers in probability in Berlin, June 17-19, 2020. The aim of this workshop is to promote early career female researchers by giving them an opportunity to present their own work and to hear distinguished mathematicians who can inspire them to pursue a fulfilling career in probability. Keynote speakers: Martina Hofmanova (Bielefeld) Nina Gantert (TU München) Invited speakers: Sigrid Källblad (Stockholm) Annika Lang (Göteborg) Elena Pulvirenti (Bonn) Maite Wilke Berenguer (Bochum) Female participants are invited to submit abstracts for contributed talks and/or may apply for financial support for travel and accommodation expenses.. Please notice that there are special travel grants for female master students interested in gaining some insight into research and in getting in touch with researchers. Deadline for financial support and/or abstract submission: March 15, 2020. Of course participation by men is very welcome, but presentations and financial support are reserved for women. Please pass this information on to interested master students, PhD students and postdocs as well as your colleagues! More details can be found on our website: https://www.wias-berlin.de/workshops/JFRP20/ <https://www.wias-berlin.de/workshops/JFRP20/> Best regards, Luisa Andreis, Peter Bank, Dörte Kreher and Noemi Kurt IRTG 2544 Stochastic Analysis in Interaction, Berlin-Oxford

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LTI@UniTO 2020 Call For Fellowships
by Luca Regis 19 Feb '20

19 Feb '20

Dear all, please allow me to bring to your attention the 2020 LTI@UniTO Call for Fellowships, which you can find here https://www.carloalberto.org/wp-content/uploads/2020/01/LTI-CALL-March-2020… Long-Term Investors@UniTo (LTI@UniTO) is pleased to announce the availability of 8 Research Fellowships for the year 2020. LTI@UniTO is a think tank established as a joint initiative of the Università di Torino and of the major Italian market players in long term financing. Through the Fellowship program, LTI@UniTO aims to foster research in long-term investing and to assess its features, perspectives, contribution to growth and stability. The think tank supports independent research and informs the debate between long-term investors and policymakers. Candidates must send their application (CV + research program, approximately 2 pages) to lti_applications(a)carloalberto.org before midnight, ECT, March 22nd, 2020. Up to 4 senior and 4 junior fellowships can be awarded. For more information visit https://www.carloalberto.org/research/lti Senior Fellowships are targeted at applicants with a publication history in top Finance/Econ academic journals. Receivers of the fellowships will conduct their own research for a period of two months at UNITO. Total remuneration (for the entire period – gross and including all expenses): € 18000. Junior Fellowships are targeted at either PhD candidates or scholars with a PhD in Finance, Economics or a related field. Receivers of the fellowships will conduct research under the supervision of a Senior Fellow or a UNITO/Collegio’s Finance faculty for a period of two months at UNITO. Remuneration (for the entire period – gross and including all expenses): € 6000. The research programs should be related to one of the themes in the Strategic List below and must be included in the Application. STRATEGIC LIST • Interaction between financial markets and the real economy including start-up funding, impact finance, infrastructure, SME financing; • Role of LTIs in traditional financial markets (systemic risk, stability, pro or countercyclicality, liquidity and impact on prices...), as well as on private markets; • Risk and return of private markets (private equity, private debt, private placements); • Asset Management or ALM of LTIs, including past experiences, models, benchmarking, constraints on expenditures and liabilities; • Mandates, delegation and effectiveness of monitoring (short term accountability versus long-term strategies); • Optimal contracts in delegated portfolio management: what is the effectiveness of using benchmarking and bonus/target incentive schemes; • The collective costs of short-horizon investment and their control (regulatory constraints); • Fintech for LTIs (e.g., robo-advice): opportunities and risks; • Benefits and costs of financial regulation and macro prudential policies that matter to LTIs; • Real estate and real estate funds: risk, return and their role in the ALM of LTIs; • LTIs, sustainable finance and Green Financing. Best regards, Luca Regis Executive Director LTI@UniTO -- Luca Regis Associate Professor Department of Economics and Statistics (ESOMAS) University of Torino sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti

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MSc. Finance and Banking at Tor Vergata University of Rome
by Davide Pirino 19 Feb '20

19 Feb '20

Dear Colleague, On behalf of the Program Director, Prof. Rocco Ciciretti I would be grateful if you could bring the Tor Vergata MSc. Finance and Banking to the attention of your best undergraduate students. MSc. Finance and Banking at Tor Vergata University of Rome is a 2-year full-time program designed for highly qualified and motivated students who wish to study mathematical and statistical techniques applied to financial markets. The deadline for the Application is June 10, 2020 for non-EU applicants and July 22, 2020 for EU applicants. This quantitative program is organized in courses, seminars and guest lectures. Moreover, students have the option to choose from a wide range of electives. Dedicated mentorship and support are offered to students throughout their time at Tor Vergata. Please find the 2020/21 official call at https://economia.uniroma2.it/master-science/financeandbanking/admission-app… . For more information about the program, please feel free to contact our Program Office at *msc_finance(a)economia.uniroma2.it <msc_finance(a)economia.uniroma2.it>*, or visit our website https://economia.uniroma2.it/master-science/financeandbanking. Sincerely, Davide Pirino Graduate program coordinator https://economia.uniroma2.it/master-science/financeandbanking Our conference https://www.qfinatwork.com/

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Fwd: Search for potential candidates (women or non-binary) for Assistant Senior lecturer (tenure track position)
by Carina Geldhauser 19 Feb '20

19 Feb '20

Cari tutti, segnalo questa ottima opportunita per una posizione tenure track in Svezia, versione html qui: https://www.europeanwomeninmaths.org/offer/search-for-potential-candidates-… Soci di "European Women In Mathematics" possono anche farsi segnalare tutti annunci via email, basta impostarlo sul vosto profilo. Cordiali saluti, Carina ---- The department of mathematics at Lund University <https://europeanwomeninmaths.us19.list-manage.com/track/click?u=ca40359a7fa…> is looking for *potential candidates of under-represented gender* (women or non-binary) for an assistant senior lectureship position in mathematics (equivalent to *assistant professor with tenure track* in the US system). The department will be competing with the other departments in the engineering faculty for funding, and therefore we would like to get in contact with potential candidates at an early stage, in order to write a competitive proposal. If funding for the position is granted, the position(s) will be advertised in the autumn of 2020, and a likely starting date will be in Autumn 2021. Prospective candidates in mathematics (including mathematical statistics and computer vision), with a research interest that matches research done at the Centre for Mathematical Sciences <https://europeanwomeninmaths.us19.list-manage.com/track/click?u=ca40359a7fa…> (see http://www.maths.lu.se/english/research/research-groups/ <https://europeanwomeninmaths.us19.list-manage.com/track/click?u=ca40359a7fa…>) are welcome to contact Sara Maad Sasane (sara_at_maths.lth.se), with a cv and a short expression of how you see yourself interacting with people in the centre. I will contact you with further information and instructions if we want to proceed and apply for funding for a position in this area. Ideally, the candidates should have some postdoc experience, but even if you don't have this yet, you are welcome to send in your cv, since we may consider you for next year instead or for other positions.

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Workshop announcement and call for presentation: ABC in Grenoble, March 19th-20th 2020
by Julyan Arbel 19 Feb '20

19 Feb '20

Dear all, The ABC in ... workshop series continues in Grenoble, France, on March 19-20 2020. We are still accepting contributions for oral presentations and posters, the deadline for submissions is on Feb. 21. The workshop is free but registration is mandatory, and the call for presentation is open until the end of the week. Register on the website: https://sites.google.com/view/abc-in-grenoble/ Confirmed speakers and sessions (more to come) are: Misspecified models --- Guillaume Dehaene (EPFL, Switzerland) TBA Gael Martin (Monash University, Australia) Focused Bayesian Prediction (joint with Ruben Loaiza-Maya, David T. Frazier) Tommaso Rigon (Duke University, USA) A generalized Bayes framework for probabilistic clustering (joint with Amy Herring and David Dunson) Neural network related techniques --- Flora Jay (Université Paris-Saclay, France) Deep learning for population size history inference: design, comparison and combination with approximate Bayesian computation Pierre-Alexandre Mattei (Inria Sophia Antipolis - Méditerranée, France) Partially Exchangeable Networks and Architectures for Learning Summary Statistics in Approximate Bayesian Computation (joint with Samuel Wiqvist, Umberto Picchini, Jes Frellsen) Advanced computational techniques --- Umberto Picchini (Chalmers University of Technology and University of Gothenburg, Sweden) Stratified sampling and bootstrapping for approximate Bayesian computation (joint with Richard G. Everitt) Dennis Prangle (Newcastle University, UK) Distilling importance sampling Hien D. Nguyen (La Trobe University, Melbourne, Victoria, Australia) ABC via the Energy Statistic (joint with Julyan Arbel, Hongliang Lü, Florence Forbes) Grenoble is the largest city in the French Alps, and easily accessible by train from Paris, Lyon, Geneva or Milan. Best regards, Julyan Arbel, Simon Barthelmé, Florences Forbes Julyan Arbel http://www.julyanarbel.com/ @JulyanArbel

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Probability Seminar: Alberto Chiarini (TU Eidhoven) [Padova 27/02, 11.30]
by alessandra bianchi 18 Feb '20

18 Feb '20

Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics of Padova, on February 27. ________________________________________________________ Speaker: Alberto Chiarini (TU Eindhoven) Title: Entropic repulsion for the occupation-time field of random interlacements by disconnection. 27 FEBRUARY (Thursday) , 11:30, ROOM 430, Dip. di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova Abstract: The model of random interlacements was introduced in 2007 by A.-S. Sznitman, motivated by questions about the disconnection of discrete cylinders or tori by the trace of simple random walk. Since then, it has gained popularity among probabilists due to its percolative properties and also because of its connections to the free field. Random interlacements on transient graphs can be constructed as a Poisson point process of doubly infinite trajectories. After reviewing this model, we will focus on the rare event that these trajectories disconnect a macroscopic body from infinity, in the strongly percolative regime. We will ask the following question: What is the most efficient way for random interlacements to enforce such disconnection? In other words, how do the trajectories of random interlacements look like conditionally on disconnection? All of you are very welcome. Best regards, Alessandra Bianchi -- 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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seminario Linard Hoessly
by Enrico Bibbona 17 Feb '20

17 Feb '20

Cari colleghi, giovedì 20 alle 13,40 in aula Buzano, DISMA Politecnico di Torino Linard Hoessly (Università di Copenhagen) terrà un seminario su Stationary distributions via decomposition of stochastic reaction networks https://arxiv.org/abs/1910.02871 Cordiali saluti, Enrico Bibbona Associate Professor of Statistics Probability, Statistics and Optimization group Department of Mathematical Sciences "G. L Lagrange" Politecnico di Torino

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Fwd: Demande de diffusion de l'annonce d'une offre de PHD et de postdoc à Oslo (fwd)
by Tiziano Vargiolu 17 Feb '20

17 Feb '20

---------- Forwarded message ---------- Date: Mon, 17 Feb 2020 09:48:54 +0100 From: monique.jeanblanc <monique.jeanblanc(a)univ-evry.fr> To: Sergio Pulido <serpul3374(a)gmail.com>, Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Fwd: Demande de diffusion de l'annonce d'une offre de PHD et de postdoc ? Oslo -------- Message transf?r? -------- Sujet : Demande de diffusion de l'annonce d'une offre de PHD et de postdoc ? Oslo Date : Mon, 17 Feb 2020 09:38:49 +0100 (CET) De : Bion-Nadal Jocelyne (Mme) <jocelyne.bion-nadal(a)polytechnique.edu> Pour : caroline hillairet <Caroline.Hillairet(a)ensae.fr>, monique jeanblanc <monique.jeanblanc(a)univ-evry.fr>, jean-francois chassagneux <jean-francois.chassagneux(a)univ-paris-diderot.fr> Chers Caroline, Monique et Jean-Fran?ois Est-ce que l'un de vous pourrait diffuser rapidement l'annonce de cette offre de phd et de postdoc ? Oslo ? la mailing liste du s?minaire Bachelier? (La date limite est ? la fin du mois). PostDoc position https://www.jobbnorge.no/en/available-jobs/job/182298/postdoctoral-research -fellow-in-stochastic-analysis-and-applications University of Oslo Deadline: February 29th, 2020 PhD position https://www.jobbnorge.no/en/available-jobs/job/182276/phd-research-fellow-i n-stochastic-analysis-and-applications University of Oslo Deadline February 29th, 2020 Je vous remercie par avance. Bien amicalement. Jocelyne

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Workshop in Bath
by Giuseppe Cannizzaro 14 Feb '20

14 Feb '20

Ricevo e inoltro. Dear Colleagues, we would like to invite you to take part in the Bath Mathematical Symposium on PDE and Randomness which will take place at the University of Bath 26th August - 4th September The Symposium will consist of two events: 1) Summer school, August 26-28th: The school is aimed for a broad audience of researchers in the probability theory and the analysis of PDEs including PhD students and Postdocs. It will consist of three mini courses: • Roland Bauerschmidt (University of Cambridge, UK) - Log-Sobolev inequality and the renormalisation group • Hugo Duminil-Copin (IHES, France and University of Geneva, Switzerland) - Marginal triviality of the scaling limits of critical 4D Ising and ϕ^4_4 models • Martin Hairer (Imperial College London, UK) - Stochastic Yang Mills 2) Workshop August 31st - September 4: The workshop aims to explore current trends of the probability theory and its connections to PDEs and will have around 23 talks. Topics will include: SPDEs (e.g. parabolic, dispersive, 2d KPZ); Interacting Particle systems; Stochastic Homogenization. Please visit our webpage https://sites.google.com/view/pderandombath/ for more information and registration. You are more than welcome to apply for both school and workshop but you can also apply separately to either of the events. We can provide a limited number of rooms on campus of the University of Bath (either for the duration of the whole event or only for the school/workshop). If you would like to be considered for the accommodation please register before *20*/04/20. Please see the webpage for details. Best wishes, Hendrik Weber, Andris Gerasimovics

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Postdoc in Probability in Oxford
by Enrico Scalas 14 Feb '20

14 Feb '20

Car* collegh*, vi invio questo annuncio da Christina Goldschmidt con preghiera di diffusione a persone potenzialmente interessate. Cordiali saluti, Enrico Scalas -- Dear colleagues, (With apologies for cross-posting!) The Department of Statistics at Oxford is currently advertising a 1-year postdoctoral position 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, 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 1st September 2020. The closing date for applications is 12 noon (GMT) on 6th March 2020. (Candidates should please ask their referees to send their letters of reference by the closing date.) Many thanks and best wishes, Christina Goldschmidt. -- Christina Goldschmidt | http://www.stats.ox.ac.uk/~goldschm | she/her Department of Statistics and Lady Margaret Hall, University of Oxford

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SIdE-Ca' Foscari Summer Schools in Venice (Italy)
by Roberto Casarin UNIVE 14 Feb '20

14 Feb '20

Dear all, Applications are now open for our Summer Schools: /*Networks Econometrics* /(28 June - 3 July 2020)/* */Instructors: /Monica Billio, Roberto Casarin and Walter Quattrociocchi/ (Ca' Foscari University of Venice), /Matteo Iacopini/ (Scuola Normale Superiore, Pisa), /Sergio Petralia///(London School of Economics and Political Science), /Luca Rossini /(Vrije Universiteit Amsterdam, The Netherlands). /*Bayesian Multivariate Models and Forecasting in Economics and Finance*/ (August 24-28 2020) Instructors: /Gaetano Carmeci /(University of Trieste), /Roberto Casarin /(Ca’ Foscari University of Venice),///Matteo Ciccarelli///(European Central Bank, DG Research),///Francesco Ravazzolo///(Free University of Bozen-Bolzano). //Organization:// ////The courses for Master and PhD students are organized by the Italian Econometric Society (SIdE) in collaboration with the Venice centre in Economic and Risk Analytics for Public Policies (VERA) at Ca' Foscari University of Venice ///Venue: / The summer schools are hosted in the beautiful San Giobbe Campus at Ca' Foscari University of Venice, located at the heart of the city of Venice (Italy). The registration fees include full accommodation. /Further information:// /For further information on scope of the meeting, speakers, program, applications, deadlines, venue, etc. see the school web site https://www.side-iea.it/events/postgraduate-courses /Description (Networks Econometrics)// /The aim of the course is to provide the fundamentals of the econometrics network with particular reference to the Network mapping and visualisation, the Network Extraction Methods, Multi-layer Network Models and their applications to finance. The tutorials will develop applications to stocks, interest rates and commodities markets and to contagion analysis. Modelling of financial and commercial trade networks will be considered as well. /Description (Bayesian Multivariate Models and Forecasting in Economics and Finance)// /The course is advanced and covers state-of-the-art techniques and recent developments in Bayesian Multivariate Models, for structural analysis and forecasting, nonparametric methods and forecast combinations with a broad range of applications in economics and finance. The methods introduced in the lectures will be illustrated with hands-on applications in MATLAB. Please help us to promote this meeting by forwarding this email to anyone you know might be interested, and especially bring this announcement to the attention of your students or post-docs, who are likely not on our mailing lists. Apologies for cross-posting. The Organizers Roberto Casarin and Gaetano Carmeci -- Roberto Casarin, PhD Professor of Econometrics University Ca' Foscari, Venice Address: San Giobbe 873/b 30121 Venezia, Italy Phone: +39 041.234.91.49 Web: http://venus.unive.it/r.casarin/ IMEF: http://www.unive.it/imef VERA: http://www.unive.it/vera ORCID: https://orcid.org/0000-0003-1746-9190

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Seminar of Francesco Morandin and Alessandro Montagnani, Padova 18/02/2020
by barbato＠math.unipd.it 14 Feb '20

14 Feb '20

Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics of Padova, on February 18. Speaker: Francesco Morandin Title: Turbulence, shell models and critical exponents for dissipation Abstract: Shell models of turbulence are nonlinear dynamical systems inspired by fluid dynamics. They are idealized and simplified, but tailored to exhibit the same energy cascade behaviour of three dimensional Euler and Navier-Stokes equations. A typical feature of these models is in fact anomalous dissipation of energy, which in finite time "escapes" to infinity, yielding a blow-up and instantaneous loss in regularity. A dissipative term corresponding to viscosity can recover regularity, for some of these models, but in total generality one needs hyper-dissipation, with an exponent larger than the physical one. Recent results hint that in the more refined framework of tree (hierarchical) models the required exponent may be actually lower. Speaker: Alessandro Montagnani Title: A stationary solution for turbulence shell models. Abstract The focus of the talk is to study well-posedness, with respect to generic Gaussian distributed initial data, in turbulence shell models. In the of state-of-the-art results we have existence of solution for any finite energy initial conditions. Here we show the generic existence of solutions with respect to initial data distributed as Gaussian invariant measures, in "mixed" dyadic and tree-like shell models, extending the classical deterministic results. The existence is given thanks to compactness argument and techniques similar to the ones used by Albeverio and Cruzeiro for Euler equation (and more recently with a different approach by F. Flandoli), adapted to our model. Uniqueness is not provided, and the natural oscillating behaviour of the solutions obtained may suggests that it doesn't hold at all All of you are very welcome. Best regards, David Barbato

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13th European Summer School in Financial Mathematics, Vienna, Aug. 31- Sept. 4, 2020 (fwd)
by Tiziano Vargiolu 13 Feb '20

13 Feb '20

---------- Forwarded message ---------- Date: Tue, 11 Feb 2020 14:39:42 +0100 From: Christa Cuchiero <christa.cuchiero(a)univie.ac.at> To: christa.cuchiero(a)unvie.ac.at Subject: 13th European Summer School in Financial Mathematics, Vienna, Aug. 31- Sept. 4, 2020 Dear colleagues, we are pleased to announce the 13th European Summer School in Financial Mathematics on "Machine Learning in Finance" and "McKean-Vlasov Equations & Mean Field Games in Finance" which will be held at the University of Vienna, from August 31 to September 4, 2020. Mini-courses will be given by Lyudmila Grigoryevya Xin Guo Lukasz Szpruch Josef Teichmann Detailed information on the summer school and instructions for applications can be found at: https://www.univie.ac.at/summer_school_MathFinance/index.html The application deadline is April 30, 2020. Successful applicants will be sponsored for accommodation and (partly) travel expenses. Please bring the announcement to the attention of PhD-students and other researchers who may be interested to attend. Kind regards, Christa Cuchiero

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Postdoc in Financial Mathematics at Dublin City University
by Paolo Guasoni 13 Feb '20

13 Feb '20

Dear Colleague, Dublin City University has a Postdoctoral position (Two-year) in Financial Mathematics https://www.dcu.ie/sites/default/files/hr/rf1327_postdoctoral_researcher_fi… The closing date for the application is March 6th, 2020. With best regards, Paolo Guasoni -- * *Séanadh Ríomhphoist/Email Disclaimer* *Tá an ríomhphost seo agus aon chomhad a sheoltar leis faoi rún agus is lena úsáid ag an seolaí agus sin amháin é. Is féidir tuilleadh a léamh anseo. <https://sites.google.com/view/seanadh-riomhphoist>* *This e-mail and any files transmitted with it are confidential and are intended solely for use by the addressee. Read more here. <https://sites.google.com/view/dcu-email-disclaimer>* * -- <https://www.facebook.com/DCU/> <https://twitter.com/DublinCityUni> <https://www.linkedin.com/company/dublin-city-university> <https://www.instagram.com/dublincityuniversity/?hl=en> <https://www.youtube.com/user/DublinCityUniversity>

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PhD Course, Tor Vergata (Matematica), Paolo Pigato
by Claudio Macci 13 Feb '20

13 Feb '20

Department of Mathematics, Univ. Roma Tor Vergata PhD Course held by Paolo Pigato (10 hours) Title: Fractional Brownian motion and non-Markovian modeling Schedule: March 03, 2020; h. 14-16. Room: Aula D'Antoni March 05, 2020; h. 14-17. Room: Aula D'Antoni March 10, 2020; h. 14-16. Room: Aula De Blasi March 12, 2020; h. 14-17. Room: Aula D'Antoni Abstract. In several applications of stochastic analysis (financial engineering, telecommunication networks, ...), it is desirable to model real-world quantities which are non-Markovian, for example because the noise process exhibits slowly decaying auto-correlations and long memory. In this course we will focus on fractional Brownian motion, a prototypical example of non-Markovian process. Such process is a generalisation of Brownian motion with Holder regularity possibly different than 1/2 and it is not a martingale. We will consider large deviations problems, simulation methods and some examples of application. Some other details can be found here: http://www.mat.uniroma2.it/~macci/corso-dottorato-pigato.htm Best regards. Claudio Macci.

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BAYSM 2020: Announcement on coronavirus
by Federico Camerlenghi 13 Feb '20

13 Feb '20

Dear all, as you may already be aware, there is a recent coronavirus epidemic going around in China, which may have raised concerns in attending the BAYSM 2020 meeting in China late June https://baysm2020.uconn.edu/ . As a satellite meeting of the 2020 ISBA World Meeting (Kunming, China, June 29-July 03), we would like to cite the email that ISBA Program Council just sent to ISBA members to address the coronavirus concerns and ISBA World Meeting in China: "We are keeping a close eye on the development. While at this point we are cautiously optimistic that the epidemic will not last till June, both as a result of the extraordinary measure that China is taking to contain the spread, and as cold-like coronaviruses generally don't spread effectively as temperature rises in spring. However, we want to stay cautious and keep options open, and will take the necessary actions to ensure the health and safety of our community." We are holding the same position as the ISBA Program Council and will keep you all updated of any changes in the plan of the meeting. Particularly, if the epidemic is not contained in the next couple of months, and thus the community participating in the meeting will be subject to health risk, we will consider alternatives such as postponing the BaYSM Meeting. For now, we have decided to extend the early registration deadline as follows. Deadline for submissions: May 1 2020 23:59 CST End of review process: May 23 2020 Early registration: June 01 2020 Late registration: June 15 2020 Thank you for your support of our BaYSM Meeting. We hope that the epidemic will be over soon and we will see you all in Kunming at the BaYSM this June. Best Regards, On behalf of the organizing committee Federico Camerlenghi -- Federico Camerlenghi Department of Economics, Management and Statistics University of Milano Bicocca, Milano, Italy. web-page: https://www.unimib.it/federico-camerlenghi

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Seminar of Nicola Secomandi, Padova, Friday 21
by Tiziano Vargiolu 13 Feb '20

13 Feb '20

*** Apologies for cross-posting *** Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics, University of Padova (via Trieste, 63), on February 21 h. 15.30 room 1BC/45. -------------------------------------------------- NICOLA SECOMANDI Tepper School of Business, Carnegie Mellon University Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time Abstract: This paper extends quadratic hedging from European to Bermudan options in discrete time when markets are incomplete and investigates its use for supporting exercise policy optimization. The key idea is to construct date specific approximate replicating portfolios. Hedging any given exercise policy can be done by solving a collection of stochastic dynamic programs. Optimizing the exercise policy based on the resulting martingale measure requires care. If this measure is risk neutral (RN), the value of an optimal such policy, which can be obtained by augmenting the hedging model with an exercise policy optimization step, is a no arbitrage one. Otherwise this approach must be refined by imposing time consistency on exercise policies, although the value of the resulting exercise policy may not be arbitrage free. Following the common pragmatic strategy of specifying quadratic hedging under an RN measure, e.g., one calibrated to market prices, avoids these issues. In particular, it provides a simple hedging policy with immediate practical applicability and is equivalent to exercise policy optimization under RN valuation, thus complementing it with a consistent hedging policy. A simple numerical example shows that this procedure generates effective hedging policies. Paper available at https://arxiv.org/abs/2001.05788?context=q-fin --------------------------- All the best 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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10 Ph.D. positions @ Luxembourg Unviersity
by Giovanni Peccati 13 Feb '20

13 Feb '20

Dear Colleagues, *10 Ph.D. positions* are currently open in the *Department of Mathematics of Luxembourg University*, in the framework of a transversal grant spanning several disciplines - geometry, number theory, probability and mathematical physics. Here is the official link, where all details can be found: http://emea3.mrted.ly/2ej0i With my best regards, Giovanni Peccati -- Prof. Giovanni Peccati ------------------------------------------ Head of the Department of Mathematics Faculty of Science, Technology and Medicine ------------------------------------------ University of Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

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Commodity and Energy Markets Association - Annual Meeting 2020 - Madrid (fwd)
by Tiziano Vargiolu 12 Feb '20

12 Feb '20

Apologies for cross-postings 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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CREST Post-doc offer: green finance / quantitative economics (fwd)
by Tiziano Vargiolu 12 Feb '20

12 Feb '20

Apologies for cross-postings. ---------- Forwarded message ---------- Date: Wed, 12 Feb 2020 15:29:26 +0100 From: Peter Tankov <peter.tankov(a)polytechnique.org> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Dear Tiziano,would you be so kind as to distribute my post-doc offer (attached) on your mailing list? Best wishes Peter -- Peter Tankov Professor of quantitative finance, ENSAE ParisTech Phone: +33 1 70 26 68 73 www.lpma-paris.fr/pageperso/tankov/ Email: peter.tankov(a)ensae.fr

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New Post-Doc position @ Luxembourg University
by Giovanni Peccati 12 Feb '20

12 Feb '20

Dear Colleagues, a new *2 years post-doc position *is open at the *Department of Mathematics of Luxembourg University *- deadline is* March 15, 2020. * Here is the official link for the application: http://emea3.mrted.ly/2ez6c The position is actually related to a large research grant (bridging several groups in the department) on the general topic of *Geometry, Probability and its Synergies. * As a consequence, applications are particularly welcomed from researchers whose expertise bridges two or more of the following areas: *geometry, probability theory, number theory and mathematical physics.* Please, do not hesitate to share this message with potential candidates. With my best regards, Giovanni Peccati -- Prof. Giovanni Peccati ------------------------------------------ Head of the Department of Mathematics Faculty of Science, Technology and Medicine ------------------------------------------ University of Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

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