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Post-doctoral position in probability - Paris
by Cristina TONINELLI 14 Jan '20

14 Jan '20

Dear friends and colleagues, I am currently advertising a post-doctoral position in Probability at Ceremade, University Paris Dauphine. The position is for two years. The expected starting date is September 2020, though a different date may be arranged. The position is funded by my European project MALIG, whose aim is to develop a mathematical approach to the liquid-glass transition and related phenomena. Main areas of research include interacting particle systems, bootstrap percolation cellular automata and glassy dynamics. The successful candidate will also have the opportunity to collaborate with the probability group of University Roma Tre, in particular with Fabio Martinelli, a key member of the MALIG team. The grant will provide substantial fundings to cover working periods in Rome. There are no teaching duties associated to the position. Candidates can contact me directly for any additional informations. Applications including a CV, a list of publications and a one-page description of research interests and experience should be sent directly to me at toninelli(a)ceremade.dauphine.fr<mailto:toninelli@ceremade.dauphine.fr> Applicants should also arrange for up to three letters of recommendation to be sent to the same address. The deadline for applications is Monday, 3rd February 2020. I would be grateful if you could bring this announcement to the attention of potential candidates and distribute it via local mailing lists. Best wishes, Cristina Toninelli --------------------------------------------------------------------------------------------- Cristina Toninelli Postal Address: Ceremade Univ.Paris Dauphine Place du Marechal de Lattre de Tassigny 75775 Paris Cedex 16 - France Office: B617 --------------------------------------------------------------------------------------------

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de Finetti Risk Seminar - January 2020
by Emanuela Rosazza 14 Jan '20

14 Jan '20

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time Nicola Secomandi Tepper School of Business – Carnegie Mellon University 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 LOCATION: The seminar will be held on Wednesday, January 15, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Marco Maggis (Univ. degli Studi di Milano) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Seminar Announcement: M. Glanzer (univie) at Polimi
by Carlo Sgarra 14 Jan '20

14 Jan '20

On Monday, January 21, at 11:00 o'clock, in the Seminar Room located at the third floor of the MATHEMATICS Department ( POLITECNICO di Milano) MARTIN GLANZER of the University of Vienna will give a talk on the following subject: Stochastic Optimization with Multiple Time Scales ( Joint work with G. Pflug) All interested people are kindly invited to participate. ABSTRACT Real-world multistage stochastic optimization problems are often characterized by the fact that the decision maker may take actions only at specific points in time, even if relevant data can be observed much more frequently. In such a case there are not only multiple decision stages present but also several observation periods between consecutive decisions, where profits/costs occur contingent on the stochastic evolution of some uncertainty factors. We present a tailor-made modeling framework for such problems, which allows for a computationally efficient solution. We first establish new results related to the approximation of (Markovian) stochastic processes by scenario lattices. In a second step, we incorporate the multiscale feature by leveraging the theory of stochastic bridge processes. The ingredients to our proposed modeling framework are elaborated explicitly for various popular examples, including both diffusion and jump models. In particular, we present new results related to the simulation of compound Poisson bridges. Finally, we discuss a valuation problem of a thermal power plant, where implementing our multiscale modeling framework turned out to be particularly convenient. If time permits, we incorporate model ambiguity into the power plant valuation problem and show some numerical results.

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Seminar annoucement at POLIMI- Talk by Martin GLANZER (Univie)
by Carlo Sgarra 14 Jan '20

14 Jan '20

On Monday, January 21, in the Seminar Room located at the third floor of the MATHEMATICS Department ( POLITECNICO di Milano) MARTIN GLANZER of the University of Vienna will give a talk on the following subject: Stochastic Optimization with Multiple Time Scales ( Joint work with G. Pflug) All interested people are kindly invited to participate. ABSTRACT Real-world multistage stochastic optimization problems are often characterized by the fact that the decision maker may take actions only at specific points in time, even if relevant data can be observed much more frequently. In such a case there are not only multiple decision stages present but also several observation periods between consecutive decisions, where profits/costs occur contingent on the stochastic evolution of some uncertainty factors. We present a tailor-made modeling framework for such problems, which allows for a computationally efficient solution. We first establish new results related to the approximation of (Markovian) stochastic processes by scenario lattices. In a second step, we incorporate the multiscale feature by leveraging the theory of stochastic bridge processes. The ingredients to our proposed modeling framework are elaborated explicitly for various popular examples, including both diffusion and jump models. In particular, we present new results related to the simulation of compound Poisson bridges. Finally, we discuss a valuation problem of a thermal power plant, where implementing our multiscale modeling framework turned out to be particularly convenient. If time permits, we incorporate model ambiguity into the power plant valuation problem and show some numerical results.

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Probability Seminar: Richard Kraaij (TUDelft) [Padova, Tue 14/01 (TOMORROW), 11am]
by Francesca Collet 13 Jan '20

13 Jan '20

*** REMINDER *** ____________________________________________________________________________________________________ DR. RICHARD C. KRAAIJ (Delft University of Technology) “Large deviations for weakly coupled slow-fast systems via the comparison principle of an associated Hamilton-Jacobi equation” Tuesday 14 January (TOMORROW), 11:00; room 1BC50, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova ABSTRACT. In statistical physics many interesting phenomena, e.g. behavior of systems at critical parameters or in the theory of hydrodynamic limits, arise from systems having multiple time-scales. A slow component is influenced by fast components, and as the number of interacting components tends to infinity, limiting results for the slow component are obtained in terms of `averaged' versions of the fast components. I will consider in my talk the fluctuations (large deviations) of coupled Markovian systems with two-time scales. These fluctuations can arise from two sources: fluctuations of the slow process itself, or fluctuations of the large time averages of the fast process, effectively leading to a competition of two fluctuation effects. To obtain the large deviation principle, we consider an associated Hamilton-Jacobi-Bellman equation of which the Hamiltonian is given in terms of the two fluctuation effects. We establish under mild conditions that this Hamilton-Jacobi-Bellman equation is well-posed, and as a consequence that we have a large deviation principle for a wide class of weakly coupled Markov processes. Based on joint work with Mikola Schlottke (Eindhoven, The Netherlands). ____________________________________________________________________________________________________

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OSD2020-14th International Conference on Ordered Statistical Data
by malongob＠unina.it 13 Jan '20

13 Jan '20

Dear all, we are glad to announce the 14th International Conference on Ordered Statistical Data - OSD2020, that will take place on May 26-29 at Vietri sul Mare (SA), Italy. The conference website is http://www.osd2020.unina.it/ The conference is devoted to recent advances and trends in the mathematical theory of ordered statistical data, including order statistics and their generalizations, and their applications in reliability, statistics and lifetime analysis. The scientific program will include plenary talks and sessions of contributed talks. It is our pleasure to point out the presence of Prof. Fabio Spizzichino in the list of keynote speakers of the conference. We look forward to welcome you in Vietri sul Mare. Chief organizers, Maria Longobardi and Franco Pellerey

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Robust Statistics @Lake Como: registration is now open!
by Francesca Greselin 13 Jan '20

13 Jan '20

*** apologies for cross posting *** Dear all, the III International School on Classification and Data Analysis, on *ROBUST STATISTICS: FOUNDATIONS and RECENT DEVELOPMENTS* will take place on the enchanting shores of Lake Como, Italy, on May 4-8, 2020. It is intended for Ph.D. Students, M.S. Students, Post-Docs, Young and Junior researchers. Robust statistics is at the forefront of statistical research, and a central topic in multidisciplinary science where mathematical ideas are used to model and understand the real world, without being affected by contamination that could occur in the data. Nowadays, with the increasing availability of Big data, robust statistical methods are crucially needed. The aim of this course is three-fold: present novel models to describe real-world phenomena, and their properties; study their behavior under different kinds of contamination; discuss their implementation through computational methods. The lecturers are amongst the most influential scholars in the field: Anthony Atkinson <https://www.researchgate.net/profile/Anthony_Atkinson3>, London School of Economics, UK Agustin Mayo-Iscar <https://www.researchgate.net/profile/Agustin_Mayo>, University of Valladolid, ES Marco Riani <https://www.researchgate.net/profile/Marco_Riani>, University of Parma, IT Anna Maria Paganoni <https://www.researchgate.net/profile/Anna_Paganoni>, Politecnico di Milano, IT The school is organized by the Classification and Data Analysis Group of the Italian Statistical Society <http://cladag.it/>, under the auspices of the European Regional Section <https://iasc-isi.org/ers-mission/> (ERS) of the International Association for Statistical Computing <https://iasc-isi.org/> (IASC). Please note that the conference room allows only for a very limited number of participants (no more than 30). The registration deadline is March 4th 2020. For more information, visit the School website: https://rsfd.lakecomoschool.org/

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Call for Interest: 2-year senior post-doc position at the University of Padova
by Claudio Fontana 12 Jan '20

12 Jan '20

Dear all, This is a CALL FOR INTEREST FOR A 2-YEAR POSTDOCTORAL POSITION AT THE DEPARTMENT OF MATHEMATICS OF THE UNIVERSITY OF PADOVA (ITALY), within the STARS@UNIPD project PRISMA under the supervision of Claudio Fontana (personal webpage: https://sites.google.com/site/fontanaclaud) The primary goal of the PRISMA project is the development of new stochastic methods for the modelling of information in finance and insurance. We are looking for a highly motivated candidate with a solid background in STOCHASTIC ANALYSIS AND MATHEMATICAL FINANCE. A PhD degree in these fields is a necessary requirement. Previous research experience in arbitrage theory, stochastic filtering, enlargement of filtrations, mean-field games, or interest rate modelling will be appreciated. The candidate should have the ability to drive discovery by working independently, interacting with colleagues with different backgrounds and establishing relevant collaborations. Knowledge of the Italian language does not represent a requirement and language courses are offered by the University of Padova. We offer a stimulating research environment, an exciting research project, excellent working conditions. Salary is fixed at a top level for a post-doctoral position at the University of Padova, corresponding to about 2100 euros/month (net of taxes). Generous financial support is available for participation to international conferences and workshops. The selected candidate will not have mandatory teaching duties. The Probability and Finance group (https://www.math.unipd.it/en/research/areas/probability-and-finance) at the University of Padova is a dynamic research unit, with a strong international visibility and well-established collaborations with foreign institutions and world leaders in the field of mathematical finance. The University of Padova provides excellent support to foreign candidates. Padova is a beautiful city in the Venetian region, home to one of the oldest universities in the world, with a thriving student life and an excellent quality of life. The position will be officially opened in February 2020, the selection procedure is expected to take place in March 2020 and the position will then start as soon as possible. The effective starting date can be arranged depending on the individual needs of the selected candidate, but cannot be later than September 1st, 2020. For any further information and expressions of interest on this position, please contact directly Claudio Fontana at fontana(a)math.unipd.it Best regards (and apologies for cross posting), Claudio Fontana

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inizio corso dottorato Peccati-Rossi a Pisa
by Dario Trevisan 12 Jan '20

12 Jan '20

Salve, comunico agli interessati che in data *mercoledì 15/01/2020, ore 14:00-17:00 in AULA 2, dipartimento di Matematica, Università di Pisa* avrà luogo la prima lezione del corso "Stochastic analysis on Gaussian and Poisson spaces, functional and geometric applications" tenuto da Giovanni Peccati (Univ. del Lussemburgo) e Maurizia Rossi (Univ. Milano-Bicocca). Il corso proseguirà con due lezioni nella stessa settimana, giovedì 16/01/2020, ore 14-17 e venerdì 17/01/2020, ore 10-13, sempre in AULA 2, dipartimento di matematica. Le lezioni successive saranno comunicate agli interessati. Mi scuso con lo scarso preavviso e con i non interessati. Saluti, Dario -- Dario Trevisan <dario.trevisan(a)unipi.it>

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Minicorsi Febbraio 2020
by Stefano Bonaccorsi 10 Jan '20

10 Jan '20

Carissimi, Vorrei rendere noto che dal 12 al 14 febbraio 2020, presso il Dipartimento di Matematica dell’Università degli Studi di Trento, si terrà la nuova edizione dei “Primer on Data Science”. Questa edizione è dedicata a “Matematica finanziaria e statistica attuariale”. Vi saranno tre minicorsi: 1. Arrigo Pitacco, su “A lesson from actuarial mathematics: be stochastic but also, from time to time, reasonably deterministic” 2. Giovanni Alessandro Zanco, su “System with controls and interaction: mean field games and economic” 3. Paolo Pigato, su “An introduction to mathematical option pricing” Il corso è aperto a studenti delle lauree triennali e magistrali, nonché a dottorandi e agli addetti del settore. Per ragioni organizzative il numero di posti disponibili è limitato. Tutte le informazioni sono disponibili alla pagina web http://datascience.maths.unitn.it/events/pds2020/ Per il comitato organizzatore Stefano Bonaccorsi

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Berlin-Oxford International Research Training Group (IRTG) 2544 “Stochastic Analysis in Interaction”
by Tiziano De Angelis 10 Jan '20

10 Jan '20

Dear All, I was asked to send a reminder of the advert below for PhD opportunities in Berlin and Oxford. The deadline for applications is 20 January. Best wishes Tiziano --------------------------------------------- The recently established Berlin-Oxford International Research Training Group (IRTG) 2544 “Stochastic Analysis in Interaction” offers 8 PhD positions (75% TVL E 13, about 1700 EUR after taxes, social security, ...) for 3 years starting April 1st, 2020, or soon thereafter. Funded by the Deutsche Forschungsgemeinschaft (DFG), the IRTG is a joint research initiative of the stochastic analysis group of FU, HU, TU and WIAS Berlin with its counterpart at the University of Oxford. The advertised positions will be based in Berlin and will offer ample opportunities to interact also with members of the Oxford team, most notably in a 6-months exchange. Embedded in a truly international environment, the IRTG students will get excellent research training in a structured programme focussing on challenges at the mathematical foundations of Stochastic Analysis as well as on challenges arising from its various applications, e.g., in physics, biology, finance or data science. The combined expertise from the Berlin and Oxford groups will provide a significant breadth in depth and fertile ground for our students' ambitious research ideas. Successful candidates will have an MSc degree (or equivalent) in Mathematics (or a closely related field), strong knowledge of stochastic analysis, and feel eager to engage in the exchange of ideas with the teams in both Berlin and Oxford. Deadline for applications is January 20, 2020 (for now). Please see https://tub.stellenticket.de/de/offers/74386/ for the official job ad and for instructions how to apply. Our IRTG webpage www.math.tu-berlin.de/irtg offers more information on the Berlin-Oxford IRTG 2544.

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Maria Gordina @ Roma Tor Vergata
by Anna Vidotto 10 Jan '20

10 Jan '20

Dear all, I would like to announce the following talk that will be held on *Thursday January* *16th* 2020, at *4:30 PM*, in *Aula Dal Passo* of the Department of Mathematics, University of Rome Tor Vergata. Speaker: *Maria Gordina* (University of Connecticut) Title: *Stochastic analysis and geometric functional inequalities* Abstract: We will survey different methods of proving functional inequalities for hypoelliptic diffusions and the corresponding heat kernels. Some of these methods rely on geometric methods such as curvature-dimension inequalities (due to Baudoin-Garofalo), and some are probabilistic such as coupling, and finally some use structure theory and a Fourier transform on Lie groups. For nilpotent groups, the latter can be interpreted as an eigenfunction expansion of the hypoelliptic heat kernel. This is based on joint work with F. Baudoin, B. Driver, T. Melcher, Ph. Mariano. This seminar is part of the activity of the MIUR Department of Excellence Grant 2018-2022, CUP E83C18000100006. Kind regards, Anna Vidotto --------- 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 di Antonio Galves a Roma 1
by Faggionato, Alessandra 10 Jan '20

10 Jan '20

Buongiorno in aggiunta al seminario di Maria Gordina di Lunedì 13/01/2020 vi sara' al Dipartimento di Matematica della Sapienza il seminario di Antonio Galves, Martedì 14/01/2020. Sotto l'annuncio esteso. Grazie per l'attenzione Saluti Alessandra Faggionato *************************************************************************************** SEMINARIO DI PROBABILITA’ E STATISTICA MATEMATICA IL giorno 14/01/2020, alle ore 14 nell’Aula di Consiglio del Dipartimento di Matematica, Sapienza Università di Roma Il prof. Antonio Galves dell’Universidade de Sao Paulo terrà una conferenza dal titolo ESTIMATING THE INTERACTION GRAPH OF STOCHASTIC NEURAL DYNAMICS Abstract: We address the question of statistical model selection for a class of stochastic models of biological neural nets.Models in this class are systems of interacting chains with memory of variable length. Each chain describes the activity of a single neuron, indicating whether it spikes or not at a given time. The spiking probability of a given neuron depends on the time evolution of its presynaptic neurons since its last spike time. When a neuron spikes, its potential is reset to a resting level and postsynaptic current pulses are generated, modifying the membrane potential of all its postsynaptic neurons. The relationship between a neuron and its pre- and postsynaptic neurons defines an oriented graph, the interaction graph of the model. The goal is to estimate this graph based on the observation of the spike activity of a finite set of neurons over a finite time. We provide explicit exponential upper bounds for the probabilities of under- and overestimating the interaction graph restricted to the observed set and obtain the strong consistency of the estimator. Our result does not require stationarity nor uniqueness of the invariant measure of the process. Joint work with A. Duarte, E. Locherbach and G. Ost. -- ************************************************* 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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Annuncio seminario Galves 14/01/2020 RM1
by Nappo, Giovanna 10 Jan '20

10 Jan '20

SEMINARIO DI PROBABILITA’ E STATISTICA MATEMATICA IL giorno 14/01/2020, alle ore 14 nell’Aula di Consiglio del Dipartimento di Matematica, Sapienza Università di Roma Il prof. Antonio Galves dell’Universidade de Sao Paulo terrà una conferenza dal titolo ESTIMATING THE INTERACTION GRAPH OF STOCHASTIC NEURAL DYNAMICS Abstract: We address the question of statistical model selection for a class of stochastic models of biological neural nets.Models in this class are systems of interacting chains with memory of variable length. Each chain describes the activity of a single neuron, indicating whether it spikes or not at a given time. The spiking probability of a given neuron depends on the time evolution of its presynaptic neurons since its last spike time. When a neuron spikes, its potential is reset to a resting level and postsynaptic current pulses are generated, modifying the membrane potential of all its postsynaptic neurons. The relationship between a neuron and its pre- and postsynaptic neurons defines an oriented graph, the interaction graph of the model. The goal is to estimate this graph based on the observation of the spike activity of a finite set of neurons over a finite time. We provide explicit exponential upper bounds for the probabilities of under- and overestimating the interaction graph restricted to the observed set and obtain the strong consistency of the estimator. Our result does not require stationarity nor uniqueness of the invariant measure of the process. Joint work with A. Duarte, E. Locherbach and G. Ost.

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Fwd: Lectureship in Mathematics (Probability) at University College Dublin
by Elia Bisi 09 Jan '20

09 Jan '20

Ricevo e inoltro. ______________________ Elia Bisi Research Scientist School of Mathematics and Statistics University College Dublin Personal webpage <https://eliabisi.wordpress.com/> > Begin forwarded message: > > From: Neil O'Connell <neil.oconnell(a)ucd.ie> > Subject: Lectureship in Mathematics (Probability) at University College Dublin > Date: 9 January 2020 at 13:58:25 CET > To: Neil O'Connell <neil.oconnell(a)ucd.ie> > > Dear Colleagues, > > We are currently advertising a Lectureship in Mathematics (Probability) at University College Dublin. > > Also advertised are Ad Astra Fellowships, these are fixed term positions with research support, in all areas of Mathematics and Statistics. Applications in Probability are particularly welcome. > > For more details, and to apply, go to https://www.ucd.ie/workatucd/jobs/ <https://www.ucd.ie/workatucd/jobs/> (search under 'External Applicants'). > > Please forward to anyone who may be interested in applying. > > Best regards, > Neil > > **** > > Lecturer / Assistant Professor in Mathematics (Probability), UCD School of Mathematics and Statistics (Permanent) > Applications are invited for a permanent post of a Lecturer / Assistant Professor in Mathematics (Probability) within UCD School of Mathematics and Statistics. > > University College Dublin is seeking to appoint an Assistant Professor in Mathematics in the UCD School of Mathematics & Statistics, specifically in the area of Probability. > > UCD School of Mathematics & Statistics is committed to research and teaching across the mathematical sciences, including mathematics, applied mathematics, statistics and actuarial science. > > The successful candidate will be expected to engage in research in Mathematics, including supervision of research students and projects, and to contribute to the School's wide-ranging programme of undergraduate and postgraduate teaching. > > 95 Lecturer / Assistant Professor (above the bar) Salary Scale: €53,773 - €84,544 per annum > Appointment will be made on scale and in accordance with the Department of Finance guidelines. > > Closing date: 17:00hrs (local Irish time) on 6 February 2020 > > **** > > Ad Astra Fellow, UCD School of Mathematics and Statistics > Applications are sought for Ad Astra Fellows within the UCD School of Mathematics and Statistics. > > In support of the 2024 University College Dublin Strategic Plan 'Rising to the Future', UCD has begun an ambitious plan to increase our faculty numbers by 500 over five years. With an initial 5-year contract, research support for these 5 years and the opportunity for an on-going contract subject to performance, there has never been a better time to join the faculty at Ireland's Global University and to live in one of Europe's most vibrant, friendly and connected capital cities. > > UCD School of Mathematics and Statistics is ranked in the top one percent in the world for both Mathematics and Statistics. The School is the largest of its kind in Ireland and offers the greatest choice of programmes at undergraduate, masters and PhD level. Our teaching and research activities cover a broad range including Mathematics, Financial Mathematics, Applied & Computational Mathematics, Statistics, Actuarial Science, Mathematics Education and Data & Computational Science. The School is keen to recruit academic staff to augment the existing research expertise. > > Prior to application, further information (including application procedure) should be obtained from the UCD Ad Astra Fellow website: http://www.ucd.ie/adastrafellows/ <http://www.ucd.ie/adastrafellows/> > > 95 Lecturer/Assistant Professor (above the bar) Salary Scale: €53,773 - €84,544 per annum > Appointment will be made on scale and in accordance with the Department of Finance guidelines > > Closing date: 17.00hrs (Local Irish Time) on 24th January 2020

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Annuncio seminario Galves 14/01/2020 RM1
by Nappo, Giovanna 09 Jan '20

09 Jan '20

SEMINARIO DI PROBABILITA’ E STATISTICA MATEMATICA IL giorno 14/01/2020, alle ore 14 nell’Aula di Consiglio del Dipartimento di Matematica, Sapienza Università di Roma Il prof. Antonio Galves dell’Universidade de Sao Paulo terrà una conferenza dal titolo ESTIMATING THE INTERACTION GRAPH OF STOCHASTIC NEURAL DYNAMICS Abstract: We address the question of statistical model selection for a class of stochastic models of biological neural nets.Models in this class are systems of interacting chains with memory of variable length. Each chain describes the activity of a single neuron, indicating whether it spikes or not at a given time. The spiking probability of a given neuron depends on the time evolution of its presynaptic neurons since its last spike time. When a neuron spikes, its potential is reset to a resting level and postsynaptic current pulses are generated, modifying the membrane potential of all its postsynaptic neurons. The relationship between a neuron and its pre- and postsynaptic neurons defines an oriented graph, the interaction graph of the model. The goal is to estimate this graph based on the observation of the spike activity of a finite set of neurons over a finite time. We provide explicit exponential upper bounds for the probabilities of under- and overestimating the interaction graph restricted to the observed set and obtain the strong consistency of the estimator. Our result does not require stationarity nor uniqueness of the invariant measure of the process. Joint work with A. Duarte, E. Locherbach and G. Ost.

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Seminar in Pisa, January 13th 2020
by Dario Trevisan 09 Jan '20

09 Jan '20

Dear all, happy 2020! I would like to announce the following seminar by G. Poly (U. Rennes 1). Best, Dario Trevisan #### time and place: Monday 13th January 2020, 14:00, sala Riunoni (dip. Matematica, università degli studi di Pisa, Pisa). speaker: Guillaume Poly (U. Rennes 1) title: Around Salem-Zygmund Central Limit Theorem and application to roots of random trigonometric polynomials abstract: We shall revisit the Salem-Zygmund Central limit Theorem and get several generalizations: a speed of convergence via Stein's method, a functional counterpart and extension to total variation topology. As an application we prove the almost-sure convergence of the empirical measure of the number of real roots of a random trigonometric polynomial under-mild conditions on the coefficients. This is a joint work with Jurgen Angst.

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extended deadline post doc applications in Graz
by Daniela Bertacchi 08 Jan '20

08 Jan '20

DEADLINE EXTENSION ! Open Assistant position (PostDoc) for 2 1/2 years Graz University of Technology, Austria Institute of Discrete Mathematics Working Groups Structure Theory and Stochastics & Noncommutative Structures (Wolfgang Woess & Franz Lehner) Scheduled to start on March 1, 2020. Requirements: PhD in Mathematics or Technical Mathematics, awarded before the beginning of the engagement. Desired qualifictations: scientific interest in the fields of Stochastic Processes (random walks) and their analytic counterparts, Graph Theory, Geometric Group Theory and Noncommutative Probability, possibly combining those topics. Readiness to collaborate in research projects in these areas. Workload 40 hours/week. Teaching duties of 4 hours per week per semester, in particular for Mathematics in the Engineering sciences, in German (!). For details + how to apply, see https://www.math.tugraz.at/~woess/position EXTENDED DEADLINE FOR APPLICATIONS: January 19, 2020. Wolfgang Woess Institut fuer Diskrete Mathematik, Technische Universitaet Graz, Steyrergasse 30, A-8010 Graz, Austria email: woess(a)TUGraz.at http://www.math.TUGraz.at/~woess <http://www.math.tugraz.at/~woess>

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Seminario di M. Gordina alla Sapienza
by Faggionato, Alessandra 08 Jan '20

08 Jan '20

Buongiorno sotto l'annuncio di un seminario per Lunedi' 13 Gennaio Grazie Saluti Alessandra ************************************************************************************** When: Monday 13 January, 16.00 Where: Sala di Consiglio, Department of Mathematics, University La Sapienza Speaker: Maria Gordina (University of Connecticut) Title: Ergodicity for Langevin dynamics with singular potentials Abstract: We discuss Langevin dynamics of N particles on R^d interacting through a singular repulsive potential, such as the Lennard-Jones potential, and show that the system converges to the unique invariant Gibbs measure exponentially fast in a weighted total variation distance. The proof relies on an explicit construction of a Lyapunov function using a modified Gamma calculus. In contrast to previous results for such systems, our results imply geometric convergence to equilibrium starting from an essentially optimal family of initial distributions. This is based on join work with F.Baudoin and D.Herzog. -- ************************************************* 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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5-year Lecturer/Assistant Professor in Financial Mathematics UCD School of Mathematics and Statistics
by Andrea Pascucci 07 Jan '20

07 Jan '20

University College Dublin is seeking to appoint a Lecturer/Assistant Professor (Above the Bar) in Financial Mathematics in the School of Mathematics and Statistics. Applicants should have expertise in Financial Mathematics or Computational Finance, or both. It is a 5-year post, commencing on 1st May 2020. The salary scale is €53,773-€84,544 per annum. For further details, and to apply, go to https://www.ucd.ie/workatucd/jobs/ (search under 'External Applicants'). The application period will close at 17:00hrs (local Irish time) on 24th January 2020. Regards, Adamaria Perrotta Programme Director of BSc. in Financial Mathematics UCD School of Mathematics and Statistics -- Adamaria Perrotta School of Mathematics and Statistics S2.85, Science South UCD, Belfield, Dublin 4 00 353 1 716 2590

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Probability Seminar: Richard Kraaij (TUDelft) [Padova, Tue 14/01, 11am]
by Francesca Collet 07 Jan '20

07 Jan '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, on January 14. ____________________________________________________________________________________________________ DR. RICHARD C. KRAAIJ (Delft University of Technology) “Large deviations for weakly coupled slow-fast systems via the comparison principle of an associated Hamilton-Jacobi equation” 14 JANUARY (Tuesday), 11:00; ROOM 1BC50, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova ABSTRACT. In statistical physics many interesting phenomena, e.g. behavior of systems at critical parameters or in the theory of hydrodynamic limits, arise from systems having multiple time-scales. A slow component is influenced by fast components, and as the number of interacting components tends to infinity, limiting results for the slow component are obtained in terms of `averaged' versions of the fast components. I will consider in my talk the fluctuations (large deviations) of coupled Markovian systems with two-time scales. These fluctuations can arise from two sources: fluctuations of the slow process itself, or fluctuations of the large time averages of the fast process, effectively leading to a competition of two fluctuation effects. To obtain the large deviation principle, we consider an associated Hamilton-Jacobi-Bellman equation of which the Hamiltonian is given in terms of the two fluctuation effects. We establish under mild conditions that this Hamilton-Jacobi-Bellman equation is well-posed, and as a consequence that we have a large deviation principle for a wide class of weakly coupled Markov processes. Based on joint work with Mikola Schlottke (Eindhoven, The Netherlands). ____________________________________________________________________________________________________ All of you are very welcome. Best regards, Francesca Collet

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BAYSM 2020: registration and abstract submission are now open!
by Federico Camerlenghi 07 Jan '20

07 Jan '20

Dear all, the 5th Bayesian Young Statisticians Meeting, BAYSM2020, will take place in Kunming, China (June 26-27, 2020) as a satellite to the ISBA 2020 world meeting. BAYSM is the official conference of j-ISBA, the junior section of the International Society for Bayesian Analysis. It is intended for Ph.D. Students, M.S. Students, Post-Docs, Young and Junior researchers working in the field of Bayesian statistics, providing an opportunity to connect with the Bayesian community at large. Senior discussants will be present at each session, providing participants with hints, suggestions and comments to their work. Distinguished professors of the Bayesian community will also participate as keynote speakers, making an altogether exciting program. Registration is now open ( https://baysm2020.uconn.edu/registration ) and will be available with an early bird discount until May 1, 2020. The event will be hosted at the Science Hall of Yunnan University (Kunming, China) right before ISBA 2020 world meeting. BAYSM 2020 will include social events, providing the opportunity to get to know other junior Bayesians. Young researchers interested in giving a talk or presenting a poster are invited to *submit an extended abstract by March 29, 2020*. All the instructions for the abstract submission are reported at the page https://baysm2020.uconn.edu/call-dates Thanks to the generous support of ISBA, a number of travel awards are available to support young researchers. Keynote speakers: Maria De Iorio David Dunson Sylvia Frühwirth-Schnatter Xuanlong Nguyen Amy Shi Jessica Utts Confirmed discussants: Jingheng Cai Li Ma Fernando Quintana Francesco Stingo Anmin Tang Yemao Xia While the meeting is organized for and by junior Bayesians, attendance is open to anyone who may be interested. For more information, please visit the conference website: https://baysm2020.uconn.edu/ On behalf of the BAYSM2020 organizing committee -- 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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Seminari congiunti ASI - Dipartimento Matematica Tor Vergata
by Anna Vidotto 07 Jan '20

07 Jan '20

Annuncio Seminari congiunti ASI - Dipartimento Matematica Tor Vergata *9 Gennaio 2020* Aula Dal Passo, Edificio Sogene *Ore 14: Gianluca Polenta, ASI Space Science Data Centre* Title: Cosmology through CMB maps Abstract: The Cosmic Microwave Background is a fundamental source of information for cosmology. In the standard inflationary scenario, the CMB can be described to first order as a Gaussian random field on the sphere, and as such cosmological information is encoded in the two-point correlation function or in the angular power spectrum. To derive these quantities as well as the likelihood function needed to estimate the cosmological parameters, a number of estimators have been developed following different trade-off between optimality, unbiasedness, and computational resources, also depending on the characteristics of the dataset to be analysed. In this talk I will review the different classes of estimators used in the CMB data analysis, focusing in particular to the solutions adopted for the ESA Planck satellite, which produced CMB full sky maps of unprecedented quality. Finally, I will briefly discuss how CMB non-Gaussianity, isotropy, and those anomalies found in the analysis of Planck data can be used to further test the inflationary paradigm. *Ore 15: Domenico Marinucci, Department of Mathematics, University ofRome Tor Vergata* Title: Critical Points, Multiple Testing and Point Source Detection for Cosmological Data Abstract: In this talk, we shall review some mathematical issues arising in the analysis of Cosmic Microwave Background (CMB) radiation data; many of these issues can be related to the investigation of functionals of independent interest in random geometry. We will first review some results on harmonic analysis for spherical random fields, on the construction of spherical wavelets and on their stochastic properties; we will then show how to compute the asymptotic distribution of critical points for Fourier/wavelet components of random fields, and we will establish some ergodicity results, in the high-frequency limit. We will then investigate how to exploit these results to implement multiple testing procedures for detection of point sources (Galaxies) in CMB Data; the resulting tests will be shown to exhibit a number of optimality properties. Applications to CMB data from the Planck collaboration will also be briefly illustrated. --------- Anna Vidotto PostDoc Researcher Dipartimento di Matematica Università degli Studi di Roma Tor Vergata https://sites.google.com/view/annavidotto

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Talk announcement, dos Reis, Tuesday Jan 7
by Mario Maurelli 07 Jan '20

07 Jan '20

Dear all, Sorry for cross-posting. I would like to announce the following talk: Time and place: Tuesday January 7, 2pm Dipartimento di Matematica, Universita' degli Studi di Milano [room TBC, another email will follow] via C. Saldini 50, Milano Speaker: Dr. Goncalo dos Reis (University of Edinburgh) Title: Ito type Chain rule for measure dependent random fields under full and conditional measure flows Abstract: We present several Itô-Wentzell formulae on Wiener spaces for real-valued functionals random field of Itô type depending on measures. We distinguish the full- and marginal-measure flow cases. Derivatives with respect to the measure components are understood in the sense of Lions. This talk is based on joint work with V. Platonov (U. of Edinburgh), see https://arxiv.org/abs/1910.01892 . Best regards Mario Maurelli

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Reminder - workshop "Graphs and Randomness in Turin"
by Federico Polito 06 Jan '20

06 Jan '20

Dear colleagues, We would like to remind you about the upcoming workshop *Graphs and Randomness in Turin* January 20-21, 2020 Department of Mathematics "G. Peano", University of Torino, Italy For more information please see the webpage: https://sites.google.com/view/graphs-and-randomness-in-turin Registration is mandatory but free. To register please email tamas.makai(a)unito.it by January 15. With best regards, The organisers, Tamás Makai Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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