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University of Oslo - open positions for PhD and Postdoc within stochastic analysis
by Giulia Di Nunno 03 Feb '20

03 Feb '20

Dear Colleagues, This is to bring to your attention the opening of a number of positions involving stochastic analysis, both at PhD and Postdoc levels at the Department of Mathematics, University of Oslo. See here: https://www.mn.uio.no/math/om/jobb/ <https://www.mn.uio.no/math/om/jobb/> Deadline for application: February 29. An application to each position of interest (also if multiple) is mandatory for being considered in the evaluation. See also the presentation of STORM - Stochastics for Time-Space Risk Models and its group of researchers: https://www.mn.uio.no/math/english/research/projects/storm/ <https://www.mn.uio.no/math/english/research/projects/storm/> Strong of its large group, the interests of STORM are broad within stochastic analysis and its applications and include random fields, SDEs, SPDEs, finite and infinite dimensions, models of dependencies in dynamic setting, stochastic control, mathematical finance, energy finance. We are interested in numerical methods and machine learning. Please help us distribute this information among colleagues and all possibly interested people. Best regards, Giulia Di Nunno Professor Department of Mathematics University of Oslo, Norway http://folk.uio.no/giulian/ <http://folk.uio.no/giulian/>

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annucnio cncorso dottorato
by Franco Flandoli 02 Feb '20

02 Feb '20

A call for applications for 7 PhD student fellowships in Computational Methods and Mathematical Models for the Sciences and Finance has now been issued, see https://www.sns.it/en/admissions/phd/how-to-apply-for-the-phd-courses for application instructions. The first deadline is February 27 (Spring session), the second one is August 27 (Autumn session).

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bando RTD-B a Siena (fwd)
by Tiziano Vargiolu 31 Jan '20

31 Jan '20

---------- Forwarded message ---------- Date: Mon, 27 Jan 2020 12:08:32 +0100 From: Prof. Claudio Pacati <claudio.pacati(a)unisi.it> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: bando RTD-B a Siena The Department of Economics and Statistics of the University of Siena calls for a full time position for assistant professor, tenure track for associate professor (ricercatore a tempo determinato senior): Academic recruitment area code: 13/D4 (Mathematical Methods of Economics, Finance and Actuarial Sciences) Academic scientific field code: SECS-S/06 (Mathematical Methods of Economics, Finance and Actuarial Sciences) Application deadline: February 23, 2020 Call text and application form (also in English):https://www.unisi.it/albo_pretorio/bandi/concorsi_interni/ricercatore-tempo -det-senior-3-anni-tempo-pieno-sc-13d4-metodi For further information: amministrazione.deps(a)unisi.it General requirements for candidates: Phd + 3 years post-doc position(s). Please, circulate this info. -- prof. Claudio Pacati Dean of the School of Economics and Management Director of the MSc. in Finance Department of Economics and Statistics University of Siena p.zza S. Francesco, 7 I-53100 Siena (Italy) tel. +39 0577 232772 https://docenti.unisi.it/it/claudiopacati

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Seminario di Filosofia della Matematica
by Stefania Ugolini 30 Jan '20

30 Jan '20

Segnalo questo interessante seminario di filosofia della matematica tenuto da un filosofo e matematico (probabilista).<signatureafterquotedtext></signatureafterquotedtext> Una Filosofia contemporanea della matematica contemporanea? Frederic Patras Dipartimento di Matematica, Università degli Studi di Milano, Martedì 4 Febbraio 2020, Aula 3, ore 14:30

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RTD-B SECS-S/06 @UNIMI
by Giovanni Puccetti 30 Jan '20

30 Jan '20

[Link funzionante] Alla pagina web https://www.unimi.it/it/node/581/ <https://www.unimi.it/it/node/581/> è consultabile il bando per la selezione pubblica per un posto di ricercatore a tempo determinato ai sensi dell’art. 24, comma 3, lett. b), nel settore 13/D4 (SECS-S/06), presso il Dipartimento di Economia, Management e Metodi Quantitativi dell’Università degli Studi di Milano.

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RTD-B SECS-S/06 @UNIMI
by Giovanni Puccetti 30 Jan '20

30 Jan '20

Alla pagina web https://www.unimi.it/it/ateneo/lavora-con-noi/reclutamento-ricercatori/sele… <https://www.unimi.it/it/ateneo-lavora-con-noi-reclutamento-ricercatori-sele…> è consultabile il bando per la selezione pubblica per un posto di ricercatore a tempo determinato ai sensi dell’art. 24, comma 3, lett. b), nel settore 13/D4 (SECS-S/06), presso il Dipartimento di Economia, Management e Metodi Quantitativi dell’Università degli Studi di Milano.

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PhD lectures by G. Peccati in Pisa
by Dario Trevisan 29 Jan '20

29 Jan '20

Dear all, this is to inform you that the second part of the PhD lectures on Stein-Malliavin Method, given by G. Peccati, will begin next week and are scheduled as follows: *Poisson part *(G. Peccati) February 3: 3-6 PM February 4: 2-5 PM They will take place in Sala Seminari, first floor, Dipartimento di Matematica, Università degli studi di Pisa. Regards, Dario -- Dario Trevisan, Università degli Studi di Pisa, Dipartimento di Matematica, Largo Bruno Pontecorvo 5, 56127 - Pisa (PI) Italy telephone: (+39) 050 2213832 mobile: (+39) 331 2899761 Skype: dario-trevisan e-mail: dario.trevisan AT unipi.it webpage: http://people.dm.unipi.it/trevisan/

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ECSO - CMS 2020 second Call for Papers
by Martina Nardon 28 Jan '20

28 Jan '20

* Apologies for cross-posting Second Announcement and Call for Papers Joint EUROPEAN CONFERENCE ON STOCHASTIC OPTIMIZATION and COMPUTATIONAL MANAGEMENT SCIENCE Conference Venice 1-3 July 2020 We invite you to participate and submit your contribution to the joint conference ECSO - CMS 2020. Venue: Department of Economics, Ca’ Foscari University of Venice San Giobbe Campus – Cannaregio 873, 30121 Venice, Italy Webpage: www.unive.it/ecsocms2020 IMPORTANT DATES Abstract submission: March 1, 2020 Notification of acceptance: April 1, 2020 Early registration: April 15, 2020 ECSO - CMS 2020 is jointly organized by the Department of Economics of Ca’ Foscari University of Venice, the CMS Journal and the EURO Working Group on Stochastic Optimization. ECSO 2020 is the 3rd edition of a stream of conferences organized by the EURO Working Group on Stochastic Optimization (EWGSO). The previous editions were held in Paris (2014) and Rome (2017). The scope of the conference is to bring together researchers and professionals in Stochastic Optimization and its applications in different fields spacing from economics and finance to supply chain, logistics, etc. CMS 2020 is the 17th edition of an annual meeting associated with the journal of Computational Management Science published by Springer. The aim of the conference is to provide a forum for theoreticians and practitioners from academia and industry to exchange knowledge, ideas and results in a broad range of topics relevant to the theory and practice of computational methods in management science. This joint event will provide a forum for fruitful discussions and interactions among researchers and professionals from industry and institutional sectors on decision making under uncertainty in a complex world. The conference will be within the scopes of both CMS and EWGSO and, in particular, it will focus on models, methods and computational tools in stochastic, robust and distributionally robust optimization and on computational aspects of management science with emphasis on risk management, valuation problems, measurement applications. Traditional fields of application, such as finance, energy, water management, logistics, supply chain management, and emerging ones, such as healthcare, climate risk and sustainable development, will be included. A Best Student Paper Prize of 600 euro will be awarded. Papers should be nominated via e-mail by the students’ supervisors (ecsocms2020(a)unive.it) Deadline for the submissions to the prize is May 15. The program will include a devoted session for presenting the best papers to compete for the prize, such that the jury could make the final choice. The paper does not have to be published. The papers should be principally authored by the student, but co-authors are permitted as long as their contributions are clarified. Only registered participants’ papers will be considered for the prize. Jury for the Student Best Paper Prize: Stein-Erik Fleten (NTNU Norwegian University of Science and Technology), Milos Kopa (Charles University of Prague), Francesca Maggioni (University of Bergamo), Ruediger Schultz (University Duisburg-Essen). PLENARY SPEAKERS DARINKA DENTCHEVA, Stevens Institute of Technology (USA) DAVID MORTON, Northwestern University (USA) GAH-YI BAN, London Business School (UK) DANIEL KUHN, École polytechnique fédérale de Lausanne (CH) GIORGIO CONSIGLI, Università di Bergamo (I) WARREN POWELL, Princeton University (USA) Conference Secretariat: ecsocms2020(a)unive.it Conference hashtag: #ecsocms2020 Best Regards, Diana Barro, Stein-Erik Fleten and Martina Nardon Organizing and Program Committee Chairs -------------------------------------- Dr. Martina Nardon Dipartimento di Economia Università Ca' Foscari Venezia San Giobbe - Cannaregio, 873 30121 Venezia, Italy tel. +39 041 234 7413 --------------------------------------

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corso di B. Zegarlinski a Pavia - Disuguaglianze funzionali
by Carbone Raffaella 28 Jan '20

28 Jan '20

Cari colleghi, vi annuncio che il prof. Boguslaw Zegarlinski (Imperial College, London) terrà un corso di Dottorato dal titolo ''Introduction to coercive inequalities with applications in analysis and probability theory'' presso il Dipartimento di Matematica dell'Università di Pavia. Il corso si svolgerà nel periodo 22 marzo - 24 aprile 2020, si prevedono 6 ore settimanali tenute (orario provvisorio) il martedì, mercoledì e giovedì mattina. Il corso è finanziato dal Progetto Dipartimenti di Eccellenza del MIUR (2018–2022) - Dipartimento di Matematica “F. Casorati", Università di Pavia. Informazioni più dettagliate seguiranno a breve. Il corso è aperto a tutti ma chiederò di segnalare l'iscrizione tramite mail per motivi organizzativi. Cordiali saluti, Raffaella Carbone -- Raffaella Carbone, PhD Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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Polimi Finance Seminars Paolo Di Tella (TU-Dresden)
by Carlo Sgarra 27 Jan '20

27 Jan '20

On Tuesday, February 11, at 10:30 in the Seminar Room at the third floor of the Department of Mathematics (Politecnico di Milano), in the framework of the quantitative finance seminars, Paolo Di Tella (TU-Dresden) will give a talk with title: * Semistatic and sparse variance-optimal hedging. ABSTRACT We consider the problem of hedging a contingent claim with a “semistatic” strategy composed of a dynamic position in one asset and static (buy‐and‐hold) positions in other assets. We give general representations of the optimal strategy and the hedging error under the criterion of variance optimality and provide tractable formulas using Fourier integration in case of the Heston model. We also consider the problem of optimally selecting a sparse semistatic hedging strategy, i.e., a strategy that only uses a small subset of available hedging assets and discuss parallels to the variable‐selection problem in linear regression. The methods developed are illustrated in an extended numerical example where we compute a sparse semistatic hedge for a variance swap using European options as static hedging assets. (joint work with M. Haubold, M. Keller-Ressel). All people interested are kindly invited to attend the talk. Carlo Sgarra

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PhD in Statistics & Computer Science, Università Bocconi
by Antonio Lijoi 26 Jan '20

26 Jan '20

Cari tutti, ricordo la scadenza del *3 febbraio* per la presentazione delle domande di ammissione al dottorato di ricerca in Statistics and Computer Science presso l'Università Bocconi (a.a. 2020-2021). Vi sarei grato se voleste portare all'attenzione dei vostri studenti interessati la "call for applications", riportata di seguito. Saluti, AL **************************************************** PhD in Statistics and Computer Science Call for applications for PhD student positions **************************************************** The Bocconi PhD School provides 7 scholarships for the PhD in Statistics and Computer Science, and a position with tuition waiver. * Scholarship amount * 20.280 euro per annum in the 1st and 2nd year 15.343 euro per annum in the 3rd and 4th year Further funding is available through teaching and research assistantship. Visit www.unibocconi.eu/admissionphd<http://www.unibocconi.eu/admissionphd> for detailed information. ** Applications are due by 3 February, 2020 ** Within the PhD School at Bocconi University, the four-year PhD program in Statistics and Computer Science is a high profile and rigorous doctoral program that develops strong mathematical, statistical, computational and programming backgrounds. The curriculum is structured into two tracks: Statistics and Computer science. The first year includes courses that are compulsory for all enrolled PhD students. The second-year features track-specific and elective courses that provide students with a more specialized competence and focus on topics that may be the object of the doctoral dissertation. Dedicated mentorship is offered to students throughout their time at Bocconi. Multidisciplinary interchange with other graduate programs in Bocconi’s PhD School, as well as research experience abroad, are also encouraged. The Faculty includes internationally acknowledged top researchers in Statistics, Computer Science, Decision Theory, Statistical Physics and Machine Learning. The program also benefits from contributions of authoritative visiting professors who deliver short monographic courses. Highly qualified and motivated students with M.Sc. degrees in in Statistics, Mathematics, Computer Science, Economics, Physics, Engineering and related areas, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold or be on their way to hold a graduate degree or equivalent. For further information about the PhD program in Statistics and Computer Science at Bocconi, visit www.unibocconi.eu/phdstatscompscience<http://www.unibocconi.eu/phdstatscompscience> and feel free to contact: Antonio Lijoi, PhD program director (antonio.lijoi(a)unibocconi.it<mailto:antonio.lijoi@unibocconi.it>) Angela Baldassarre, PhD administrative assistant (angela.baldassarre(a)unibocconi.it<mailto:angela.baldassarre@unibocconi.it>) Antonio Lijoi Director, PhD program in Statistics and Computer Science Bocconi University http://mypage.unibocconi.it/antoniolijoi

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2020 Bocconi Summer School in Advanced Statistics and Probability
by Giacomo Zanella 23 Jan '20

23 Jan '20

Dear all, we are happy to announce the 2020 edition of the Bocconi Summer School in Advanced Statistics and Probability on the topic of "Reproducibility in Data Science". The main instructor of the course will be Chiara Sabatti, more information below. Please feel free to forward to any potentially interested student. Best regards, Giacomo Zanella ------------------------------------------- The Bocconi Summer School in Advanced Statistics and Probability, on "Reproducibility in Data Science", will take place on July 6-17, 2020, at Villa del Grumello, Lake of Como, Italy. The 2020 Edition of the school is organized by Bocconi University, Milan, in collaboration with the University of Oxford and Imperial College London. Instructors: Chiara Sabatti (Stanford University, USA) Tutorials Stephen Bates (Stanford University, USA) Matteo Sesia (Stanford University, USA) The 2-weeks summer school is open to all interested researchers, but is especially designed for PhD students and possibly briliant master graduates/final year students interested in doctoral studies. The deadline for applications is April 7, 2020. For more information: http://bocconi2020.lakecomoschool.org or contact BBS.statistics(a)unibocconi.it, or sonia.petrone(a)unibocconi.it --------------

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Topics in Game Theory_Prof. Renault (TSE) at PhD EF Tor Vergata
by Davide Erminio Pirino 23 Jan '20

23 Jan '20

Dear all, on behalf of Professor Attar I am pleased to inform you that the PhD program in Economics and Finance <https://economia.uniroma2.it/phd/ef/> of the University of Rome Tor Vergata will host a course in “Topics in Game Theory”, taught by Professor Jérôme <https://www.tse-fr.eu/people/jerome-renault> <https://www.tse-fr.eu/people/jerome-renault>Renault <https://www.tse-fr.eu/people/jerome-renault> (Toulouse School of Economics). The course will be held next February. Professor Jérôme Renault is one of the best renowned mathematician of Game Theory of his generation. Lectures are scheduled in room A (1st floor, Bldg B) of the School of Economics <http://en.uniroma2.it/academics/schools-and-departments/school-of-economics/> as follows: - Mon. February 3, at 2.00 – 5.00 pm; - Tue. February 4, 2.00 – 4.00 pm; - Wed. February 5, 2.00-4.00pm; - Thu. February 6, 10.00 am – 1.00 pm; - Fri. February 7, 9.00 -11.00 am. Please find the Syllabus enclosed. Everybody is welcome to attend. Feel free to spread this information to potentially interested students and researchers. Best regards DP

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Workshop on Stochastic Analysis
by Stefania Ugolini 23 Jan '20

23 Jan '20

Geometry and Algebra in Stochastic Dynamics Department of Mathematics, Milano, 27-29 January 2020 http://users.mat.unimi.it/users/ugolini/workshop2020/ <signaturebeforequotedtext></signaturebeforequotedtext><signatureafterquotedtext></signatureafterquotedtext>

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Probability Seminar: Alessandra Cipriani (TU Delft) [Padova 31/01, 11.30]
by alessandra bianchi 21 Jan '20

21 Jan '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 January 31. ________________________________________________________ Speaker: Alessandra Cipriani (TU Delft) Title: Dynamical fitness models: evidence of universality classes for preferential attachment 31 JANUARY (Friday), 11:30; ROOM 1BC45, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova Abstract: In this talk we study different variations of a particular class of random graphs called preferential attachment models with fitness. These are dynamic graphs in which, at every time step, a new node attaches itself to an older one with probability proportional to the degree and a random factor associated to the node, called the fitness. Motivated by learning mechanisms of real-life networks, we assume the fitness to be a Moving Average process MA(q) with positive increments. We study different properties of such models, for example the degree distribution, the attachment probability and the phenomenon of Bose-Einstein condensation. Finally we provide evidence that, tuning the parameters of the fitness process, we fall into two universality classes represented by the well-known Albert-Barabàsi model and Bianconi-Barabàsi model. This implies the robustness of heavy tails in the degree distribution under random perturbations of the attachment rule. 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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BFS World Congress in Hong Kong 2020: Special Issue of Mathematical Finance and Reconfirmation of Lectures (fwd)
by Tiziano Vargiolu 21 Jan '20

21 Jan '20

---------- Forwarded message ---------- Date: Tue, 21 Jan 2020 12:27:19 +0000 From: Office Bachelier Finance Society <office(a)bachelierfinance.org> Subject: BFS World Congress in Hong Kong 2020: Special Issue of Mathematical Finance and Reconfirmation of Lectures 12th World Congress of the Bachelier Finance Society SPECIAL ISSUE OF MATHEMATICAL FINANCE AND RECONFIRMATION OF LECTURES Dear Tiziano Vargiolu We are pleased to announce that a special issue of Mathematical Finance has been arranged for papers presented at the BFS World Congress in Hong Kong. Details will be available through the website soon. We are also delighted to report that Robert Merton has reconfirmed his delivery of the Louis Bachelier Lecture and all the 9 plenary speakers have reconfirmed their participation at the Congress. The deadline, January 31, 2020, for submitting abstracts to the 2020 Bachelier World Congress is approaching fast (http://www1.se.cuhk.edu.hk/~bfs2020/) Finally, the reservation of the Conference Hotel at discounted rates is open (http://www1.se.cuhk.edu.hk/~bfs2020/accommodation/accommodation.html) We are looking forward to seeing you at this unique event in Hong Kong. Nan Chen, Duan Li, Xunyu Zhou Organizers of the 2020 BFS World Congress Hong Kong Copyright ? 2020 Bachelier Finance Society, All rights reserved. You are receiving this email because you opted in via our website. Our mailing address is: Bachelier Finance SocietyRaemistrasse 101 Z?rich 8092 Switzerland Add us to your address book Want to change how you receive these emails? You can update your preferences or unsubscribe from this list.

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Seminario all'IAC
by torrisi＠iac.rm.cnr.it 21 Jan '20

21 Jan '20

Si comunica che il 30 gennaio 2020 alle ore 14.00 presso l'Aula Riunioni dell'Istituto per le Applicazioni del Calcolo (sede di Roma) si terrà il seguente seminario: Relatore: Professor Alberto Lanconelli (Universita' di Bologna) Titolo: Absolute continuity and Fokker-Planck equation for the law of Wong-Zakai approximations of Ito SDEs Abstract: We investigate the regularity of the law of Wong-Zakai-type approximations for Ito stochastic differential equations. These approximations solve random differential equations where the diffusion coefficient is Wick-multiplied by the smoothed white noise. Using a criterion based on the Malliavin calculus we establish absolute continuity and a Fokker-Planck-type equation solved in the distributional sense by the density. The parabolic smoothing effect typical of the solutions of Ito equations is lacking in this approximated framework; therefore, in order to prove absolute continuity, the initial condition of the random differential equation needs to possess a density itself. -- *Giovanni Luca Torrisi Consiglio Nazionale delle Ricerche, Rome, Italy Homepage: http://www.iac.rm.cnr.it/~torrisi/* * *

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Seminario di Francesco Caravenna a Roma 1
by Faggionato, Alessandra 21 Jan '20

21 Jan '20

Buongiorno Lunedì 27.01 alle 16:00 Francesco Caravenna (Università di Milano-Bicocca) terrà il seguente seminario in Sala di Consiglio del Dipartimento di Matematica La Sapienza. Title: On the two-dimensional KPZ and Stochastic Heat Equation Abstract: We consider the Kardar-Parisi-Zhang equation (KPZ) and the multiplicative Stochastic Heat Equation (SHE) in two space dimensions, driven by with space-time white noise. These singular PDEs are "critical" and lack a solution theory, so it is standard to consider regularized versions of these equations - e.g. convolving the noise with a smooth mollifier - and to investigate the behavior of the regularized solutions when the regularization is removed. Based on joint works with Rongfeng Sun and Nikos Zygouras, we show that these regularized solutions undergo a phase transition as the noise strength is varied on a logarithmic scale, with an explicit critical point. In the sub-critical regime, the regularized solutions of both KPZ and SHE exhibit so-called Edwards-Wilkinson fluctuations, i.e. they converge to the solution of the *additive* Stochastic Heat Equation (after centering and rescaling), with a non-trivial constant on the noise. We finally discuss the critical regime, where many questions are open. Grazie Saluti Alessandra -- ************************************************* 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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Complexity72h Call for Tutors
by Mateusz Wilinski 19 Jan '20

19 Jan '20

Dear colleagues, We are glad to announce the *third edition of the Complexity72h workshop*, which will take place at LUISS, Rome, Italy, on *July 1-4 2020*, as pre-event of the *NetSci 2020* Conference. Complexity72h is an interdisciplinary workshop whose aim is to bring together young researchers from different fields of complex systems and complex networks. Participants form teams and carry out projects in a three days' time, i.e. 72 hours. The goal of each team is to upload on the arXiv a report of their work by the end of the event. The previous two editions have been a success: 11 out of 11 projects have become arXiv preprints and new collaborations have been born. Each team will have a tutor that: 1. designs and proposes the project; 2. supervises its execution; 3. provides the necessary knowledge and data. *Do you want to become a Complexity72h tutor?* We are opening a *call for tutors* targeting researchers in complex systems and networks. We are looking for people who wish to propose a stimulating project to a team of highly motivated students and postdocs, and have the stamina to carry it out in 72 hours. But is it really possible to do it in just 72 hours? To succeed, we need: 1. A motivated and multidisciplinary team of resilient researchers; 2. A comfortable research environment and supportive staff; 3. A solid and feasible research project and a tutor who can make it happen. We provide the first two. It is up to you to provide the last point. *Send your project proposal (title and abstract) and short CV to: complexity72h [at] gmail [dot] com* , or get in touch with us as soon as possible if you have any questions. *The call for tutors deadline is February 7th, 2020.* Looking forward to your ideas. Complexity72h Organizers

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7th Workshop on Stochastic Methods in Game Theory
by Marco Scarsini 17 Jan '20

17 Jan '20

The 7th Workshop on Stochastic Methods in Game Theory will take place in Erice July 1-8, 2020. https://sites.google.com/view/erice-smgt2020/the-workshop The workshop will include some tutorials that could be particularly useful to graduate students and young researchers. Some slots are still available for contributors who want to present a poster. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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avviso di due seminari a Napoli
by Enrica Pirozzi 17 Jan '20

17 Jan '20

-- AVVISO DI SEMINARI DI PROBABILITÀ E STATISTICA MATEMATICA Title: The risk model with stochastic premiums and a multi-layer dividend strategy by Olena Ragulina Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv Abstract: The lecture is devoted to a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber-Shiu function and the expected discounted dividend payments until ruin. Next, we concentrate on the detailed investigation of the model in the case of exponentially distributed claim and premium sizes and find explicit formulas for the ruin probability as well as for the expected discounted dividend payments. Moreover, we obtain an exponential bound for the ruin probability under certain conditions and study these conditions for some special distributions of claim and premium sizes. Lastly, numerical illustrations for some multi-layer dividend strategies are presented. -- Title: The first-passage time properties of the Jacobi process and applications to neuronal modeling by Giuseppe D'Onofrio Dipartimento di Matematica "Giuseppe Peano", Università di Torino Abstract: Nonlinear dynamical systems are often affected by different sources of noise and the usual belief is that the presence of noise can hinder or deteriorate the signal transmission in the system. However it has been observed, both in theoretical models and experiments, that random fluctuations can sometimes improve information processing. Mathematical models in neuroscience are one of the most prominent examples of phenomena for which the noise is of primary importance or even a part of the signal itself rather than a source of inefficiency and unpredictability. Our aim is to contribute to the discussion on the role of noise, studying the effects of a multiplicative noise on the performance of single neuron models using an analytical approach on the related first-passage-time problem. We consider a model where the evolution of the neuronal membrane depolarization between two consecutive spikes is described by a Jacobi process. We analyze the spiking activity of the neuron under study through the firing rate and the variability of the output related to the first two moments of the random variable first-passage time and we describe the occurrence of a phenomenon of coherence resonance. In particular we present counterintuitive effects due to the presence of the multiplicative noise and its dependence on the input parameters. Based on joint work with Petr Lansky (Czech Academy of Sciences) and Massimiliano Tamborrino (University of Warwick). I seminari si terranno il 23 Gennaio 2020 ore 15:00 e ore 15:45, rispettivamente, in Aula G terzo livello del Dipartimento di Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Seminario at Scuola Normale Superiore, Tiziano De Angelis, School of Mathematics, The University of Leeds (January 22, 2020, 11:30)
by Giulia Livieri 17 Jan '20

17 Jan '20

Dear all, On Wednesday, 22 January 2020 — at 11:30 — at the Scuola Normale Superiore (Room: Aula Fermi) Dr Tiziano De Angelis (University of Leeds) will hold the following Seminar: Title Probabilistic results concerning smoothness of the value function and of the free boundary in optimal stopping Abstract I will present probabilistic proofs of some regularity properties for the value function of general optimal stopping problems and for the associated optimal boundaries. In particular this talk focuses on C^1 regularity of the value function and Lipschitz continuity of the optimal boundary. Most of our arguments rely on fundamental concepts from the theory of Markov processes and bridge the probabilistic and the analytical strands of the literature on free boundary problems. I will also illustrate situations in which our work improves or complements known facts from PDE theory. (based on https://epubs.siam.org/doi/pdf/10.1137/17M1113709 <https://epubs.siam.org/doi/pdf/10.1137/17M1113709> and https://arxiv.org/abs/1812.04564 <https://arxiv.org/abs/1812.04564>) Feel free to forward this announcement to your colleagues. Best Giulia Livieri

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Seminar Cuturi @Bocconi
by Giacomo Zanella 16 Jan '20

16 Jan '20

We kindly invite you to the following BIDSA seminar: “Differentiable Ranking and Sorting using Optimal Transport” Marco Cuturi (Google Brain / ENSAE) Friday, January 17, 2020 | 12:30 | Room 3-e4-sr03 (third floor) Bocconi University, Via Roentgen 1, Milan Abstract: We propose in this paper proxy operators for ranking and sorting that are differentiable. To do so, we leverage the fact that sorting can be seen as a particular instance of the optimal transport (OT) problem between two univariate uniform probability measures, the first measure being supported on the family of input values of interest, the second supported on a family of increasing target values (e.g. 1,2,...,n if the input array has n elements). Building upon this link, we propose generalized rank and sort operators by considering arbitrary target measures supported on m values, where m can be smaller than n. We recover differentiable algorithms by adding to this generic OT problem an entropic regularization, and approximate its outputs using Sinkhorn iterations. To illustrate the versatility of these operators, we use the soft-rank operator to propose a new classification training loss that is a differentiable proxy of the 0/1 loss. Using the soft-sort operator, we propose a new differentiable loss for trimmed regression. Speaker: Marco Cuturi joined Google Brain, in Paris, in October 2018. He graduated from ENSAE (2001), ENS Cachan (Master MVA, 2002) and holds a PhD in applied maths obtained in 2005 at Ecole des Mines de Paris. He worked as a post-doctoral researcher at the Institute of Statistical Mathematics, Tokyo, between 11/2005 and 3/2007. He worked in the financial industry between 4/2007 and 9/2008. After working at the ORFE department of Princeton University between 02/2009 and 08/2010 as a lecturer, he was at the Graduate School of Informatics of Kyoto University between 9/2010 and 9/2016 as a tenured associate professor from 10/2013. He then joined ENSAE, the french national school for statistics and economics, in 9/2016, where he still teaches. His recent proposal to solve optimal transport using an entropic regularization has re-ignited interest in optimal transport and Wasserstein distances in the machine learning community. His work has recently focused on applying that loss function to problems involving probability distributions, e.g. topic models / dictionary learning for text and images, parametric inference for generative models, regression with a Wasserstein loss and probabilistic embeddings for words. Best regards, Giacomo Zanella Please note: if you are a guest and you do not have a Bocconi ID Card to access to the Bocconi Buildings, please communicate your participation by sending an email to c.monetti(a)unibocconi.it

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Ernesto De Vito @ Roma Tor Vergata
by Anna Vidotto 16 Jan '20

16 Jan '20

Dear all, I would like to announce the following talk that will be held on Thursday January 23rd 2020, at 4:30 PM, in Aula D’Antoni of the Department of Mathematics, University of Rome Tor Vergata. Speaker: Ernesto De Vito Title: Multi-Scale Vector Quantization with Reconstruction Trees Abstract: The aim of vector quantization is a parsimonious reconstruction of unsupervised data as provided by K-means and geometric multi-resolution analysis, to name a few. In the talk I will present a multi-scale algorithm for vector quantization and study its statistical properties. The proposed approach is inspired by decision trees and is based a family of given partitions, to quickly explore the data in a coarse to fine-multi-scale-fashion. The main technical contribution is an analysis of the expected distortion achieved by the proposed algorithm. Both asymptotic and finite sample results are derived. The presentation is based on a joint work with E. Cecini and L. Rosasco. Kind regards --------- Anna Vidotto PostDoc Researcher Dipartimento di Matematica Università degli Studi di Roma Tor Vergata https://sites.google.com/view/annavidotto

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seminario Djehiche a Milano 27/1/2020
by Marco Alessandro Fuhrman 15 Jan '20

15 Jan '20

Il prof. Boualem Djehiche (KTH Stockholm) terrà un seminario dal titolo On a class of mean-field reflected backward stochastic differential equations and the related obstacle problem. Il seminario è fissato alle ore 10:30 del 27/1/2020 presso il Dipartimento di Matematica dell'Università di Milano (via Saldini 50), in aula C (II piano). Tutti gli interessati sono cordialmente invitati. Un sommario è riportato sotto. Il prof. Djehiche è ospite del Dipartimento per tutta la settimana. Cordialmente, Marco Fuhrman --------------------------- Abstract. In this talk I will review some recent results on the solvability of a class of reflected backward stochastic differential equations (BSDEs) (driven by the Brownian motion) of mean-field type, where the mean-field interaction in terms of the distribution of the Y-component of the solution enters both the driver and the lower obstacle. When the reflected BSDE is driven by an underlying Markov diffusion, it is possible to derive a related obstacle problem in the form of a variational inequality involving differential operators w.r.t. both the space and the probability measure components. -------------------------- <signaturebeforequotedtext></signaturebeforequotedtext><signatureafterquotedtext></signatureafterquotedtext>

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