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Seminario di L. Izydorczyk in Bicocca
by Gianmario Tessitore 02 Apr '19

02 Apr '19

Lunedì *8 aprile* alle ore *10:30 *nell'*Aula 6 dell'edificio U3* dell'Università di Milano-Bicocca il Dottor: *Lucas Izydorczyk *(ENSTA-ParisTech, Institut Polytechnique de Paris) terrà un seminario dal titolo: *McKean representation of time reversed diffusions* *Abstract:* It is well-known that, under suitable conditions, the time-reversal of a diffusion process fulfills a stochastic differential equations involving the law marginal densities. The basic idea is here to consider it as the solution of a McKean type problem where the law density unknown. Under natural conditions we show well-posedness for that problem. tutti gli interessati sono invitati ad intervenire -- Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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Seminario JOZSEF LORINCZI @ UniTo
by Bruno Toaldo 02 Apr '19

02 Apr '19

********************************************************************* SEMINARI DI PROBABILITÀ E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITÀ DEGLI STUDI DI TORINO ********************************************************************* Giovedì 11 Aprile 2019 alle ore 10:00 in Aula 4 presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. *Jozsef Lorinczi* (Department of Mathematical Sciences – Loughborough University, UK) terrà un seminario dal titolo *The location of maxima of solutions to some non-local equations* Abstract: I will consider a class of non-local equations, assuming that their solutions have a global maximum, and discuss estimates on their position. Such points are of special interest as they describe where hot-spots settle on the long run or, in a probabilistic description, the region around which paths typically concentrate. I will address, on the one hand, the interplay of competing parameters whose compromise the resulting location is, and the impact of geometric constraints, on the other. This is joint work with A. Biswas, based on the recent papers [1] Universal constraints on the location of extrema of eigenfunctions of non-local Schrödinger operators, J Diff Equations, https://doi.org/10.1016/j.jde.2019.01.007, 2019 [2] Maximum principles and Aleksandrov-Bakelman-Pucci type estimates for non-local Schrödinger equations with exterior conditions, to appear in SIAM J Math Anal, 2019 (arXiv:1711.09267) [3] Maximum principles for time-fractional Cauchy problems with spatially non-local components, Fract Calc Appl Anal 21, 1335–1359, 2018 https://doi.org/10.1515/fca-2018-0070 [4] Ambrosetti-Prodi type results for Dirichlet problems of the fractional Laplacian, arXiv:1803.08540, 2018 [5] Hopf's lemma for viscosity solutions to a class of non-local equations with applications, arXiv:1902.07452, 2019 Tutti gli interessati sono invitati a partecipare. -- Toaldo Bruno Department of Mathematics University of Torino Via Carlo Alberto 10 10123 Torino, Italy tel: +39 0110912850

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CSA2019 - Conference in Stochastic Analysis and Applications, August 26-30, 2019 Norway
by Giulia Di Nunno 02 Apr '19

02 Apr '19

Dear Colleagues, This is to bring to your attention the following late summer event in Norway in the town of Risør CSA2019 - CONFERENCE IN STOCHASTIC ANALYSIS AND APPLICATIONS Risør 26-30 August 2019 Webpage: www.mn.uio.no/csa-2019 <http://www.mn.uio.no/csa-2019> Please help us advertise this event through your contacts. Looking forward to seeing many of you in Risør! Best regards, Giulia di Nunno

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seminario Paolo Di Tella a Roma
by Anna Vidotto 02 Apr '19

02 Apr '19

Cari tutti, Ricordo il seminario che si terrà venerdì 5 aprile alle ore 16.30 in aula D’Antoni, Dipartimento di Matematica, Università degli Studi di Roma Tor Vergata. Speaker: Paolo Di Tella (Technische Universität Dresden) Title: On The Weak Representation Property in Progressively Enlarged Filtrations with an Application in Exponential Utility Maximization Abstract: In this talk we show that the weak representation property of a semimartingale X with respect to a filtration F is preserved in the progressive enlargement G by a random time τ avoiding F-stopping times and such that F is immersed in G. As an application of this, we can solve an exponential utility maximization problem in the enlarged filtration G following the dynamical approach, based on suitable BSDEs, both over the fixed-time horizon [0, T], T > 0, and over the random-time horizon [0, T ∧ τ]. — This talk is part of the activity of the MIUR Excellence Department Project CUP E83C18000100006 — Tutti gli interessati sono invitati a partecipare. Grazie per l’attenzione, 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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4th Carlo Alberto Stochastics Workshop
by Matteo Ruggiero 02 Apr '19

02 Apr '19

Dear all, we are glad to announce the 4TH CARLO ALBERTO STOCHASTICS WORKSHOP on the topic FUNCTIONAL METHODS IN INFORMATION GEOMETRY The workshop is organised by the "de Castro" Statistics Initiative in collaboration with Collegio Carlo Alberto. The meeting will take place on April 18-19 2019 at Collegio Carlo Alberto, room 3, Piazza Arbarello 8, 10122 Torino. It will open at 14:00 on April 18 and proceed with the following schedule: - 18/04 14:30 G. Pistone ("de Castro" Statistics Initiative, Collegio Carlo Alberto): Tutorial - 18/04 16:00 G. Savaré (University of Pavia): Entropic optimal transport and Hellinger-Kantorovich distance - 19/04 10:00 N. Newton (University of Essex: A Class of Non-Parametric Deformed Exponential Manifolds modelled on Sobolev Space - 19/04 11:30 J. Naudts (University of Antwerp): An alternative approach to Quantum Information Geometry All interested parties are invited to attend. No registration is required. For more information and abstracts, please refer to the following web-pages: www.carloalberto.org/event/4th-carlo-alberto-stochastics-workshop/ www.giannidiorestino.it/ Best regards Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Fwd: open PhD position
by Francesco Caravenna 02 Apr '19

02 Apr '19

Ricevo e inoltro. > Da: Alexander Drewitz <drewitz(a)math.uni-koeln.de> > Oggetto: open PhD position > Data: 28 marzo 2019 14:39:11 CET > > Dear Francesco, > > I have been awarded a DFG grant for a PhD position, running under the title "Percolation models with long-range correlations via isomorphism theorems“, see below or at > > https://www.stellenwerk-koeln.de/jobboerse/wissenschaftl-stellen-phd-studen… <https://www.stellenwerk-koeln.de/jobboerse/wissenschaftl-stellen-phd-studen…> > > for further details. > > I would be very happy if you could forward this information to any potential candidates you might have in mind, and also bring it attention to colleagues of which you know that they currently have students looking for a PhD position. > > The application deadline is not necessarily set in stone, they just have to put something for administrative reasons. I have to fill the position by September though. > > Possible candidates should not hesitate to contact me in case there are any questions. > > Thank you very much in advance, all the best, > Alex > >

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Open postdoctoral position in stochastic processes at BCAM, Bilbao, Spain
by Gianni Pagnini 29 Mar '19

29 Mar '19

Dear colleagues, I would like to bring to your attention the opening of a two-years postdoc position at BCAM – Basque Center for Applied Mathematics in Bilbao, Basque Country, Spain. The research is mainly intended for the development of stochastic processes for modelling anomalous and fractional diffusion with application in complex systems. The research program is described in the attached document and information on the call can be found at the link http://www.bcamath.org/en/research/job/ic2019-spring-postdoctoral-fellowshi… <http://www.bcamath.org/en/research/job/ic2019-spring-postdoctoral-fellowshi…> The deadline for application is the 30th of April 2019. Please, feel free spread this announcement to interested candidates. For any question you can contact me: gpagnini(a)bcamath.org <mailto:gpagnini@bcamath.org> Best regards, Gianni — Gianni Pagnini Ikerbasque Research Associate BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org | www.bcamath.org/gpagnini ( matematika mugaz bestalde )

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Seminari Prof.ssa Y. Mishura
by Enrica Pirozzi 29 Mar '19

29 Mar '19

AVVISO di SEMINARI Stochastic calculus for fractional processes: stochastic integration, stochastic differential equations Prof.ssa Yuliya Mishura Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv Abstract: (Part I) We consider elements of fractional calculus, definition, properties and representations of fractional Brownian motion (fBm), stochastic integration with respect to fBm, stochastic differential equations with fBm. Special attention will be paid to particular equations: fractional Langevin equations, fractional Cox-Ross-Ingersoll equation. Advanced topics of fractional processes: fractional irregularity, representation results, statistical applications (Part II) We consider several advanced topics concerned with fractional Brownian motion (fBm): the behavior of maximal functionals for small values of Hurst index, integral representations with adapted integrand with respect to fBm, statistical inference for fBm-driven stochastic differential equations. I seminari si terranno il 4 Aprile 2019 ore 14:30 e 11 Aprile 2019 ore 14:30 in Aula E terzo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. Enrica Pirozzi -- 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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2 PhD positions at the University of Oslo
by Emanuela Rosazza 28 Mar '19

28 Mar '19

Inoltro il seguente annuncio da parte di Giulia Di Nunno. Un saluto cordiale, Emanuela ---- Dear Colleagues, this is to draw your attention to the call for 2 PhD positions at the University of Oslo in stochastic analysis and its applications to finance, insurance, energy and risk. The deadline of application is April 7th, 2019 For information read here: https://www.jobbnorge.no/en/available-jobs/job/166328/phd-research-fellow-i… Please help to advertise these calls and bring them to the attention of your colleagues and possible candidates. Thank you in advance! Best wishes Giulia --- Giulia di Nunno Professor Department of Mathematics University of Oslo http://folk.uio.no/giulian/

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Politecnico di Milano - Seminario Hron e Machalova
by Alessandra Menafoglio 27 Mar '19

27 Mar '19

Si avvisa che in data 2-4-2019, alle ore 15:00 precise, presso l'Aula Seminari "F. Saleri" VI piano, Dipartimento di Matematica, Politecnico di Milano, si svolgerà il seguente seminario: Relatori Karel Hron e Jitka Machalova, Palacky University Olomouc, Czech Republic Titolo Simplicial splines for representation of density functions Abstract In the context of functional data analysis, probability density functions as non-negative functions are characterized by specific properties of scale invariance and relative scale which enable to represent them with the unit integral constraint without loss of information. On the other hand, all these properties are a challenge when the densities need to be approximated with spline functions, including construction of the respective B-spline basis. The Bayes space methodology of density functions enables to express them as real functions in the standard L2 space using the clr transformation. The resulting functions possess the zero integral constraint. This is a key to propose a new B-spline basis, holding the same property, and consequently to build a new class of spline functions, called simplicial splines, which can approximate probability density functions in a consistent way. The contribution provides also construction of smoothing simplicial splines and possible orthonormalization of the B-spline basis which might be useful in some applications. Finally, a concise analysis using simplicial splines is demonstrated with anthropometric data for the case of simplicial functional principal component analysis. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Alessandra Menafoglio -- Alessandra Menafoglio MOX - Dept. of Mathematics Politecnico di Milano Piazza Leonardo da Vinci, 32, 20133, Milan Italy Phone: +39 02 2399 4642 Email: <mailto:alessandra.menafoglio@polimi.it> alessandra.menafoglio(a)polimi.it

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Seminario De Palma a Pisa
by Dario Trevisan 27 Mar '19

27 Mar '19

Cari tutti, giovedì 4 aprile, alle ore 14:30, presso la Sala Riunioni del Dipartimento di Matematica (primo piano) dell'Università degli studi di Pisa si terrà il seguente seminario: (Dear all, on Thursday, April 4th, 2:30 PM, the following talk will take place in Sala Riunioni, Dipartimento di Matematica, University of Pisa:) SPEAKER: Giacomo De Palma (University of Copenhagen) TITLE: Random deep neural networks are biased towards simple functions ABSTRACT: We prove that the binary classifiers of bit strings generated by random wide deep neural networks are biased towards simple functions. The simplicity is captured by the following two properties. For any given input bit string, the average Hamming distance of the closest input bit string with a different classification is at least sqrt(n/(2πlog(n))), where n is the length of the string. Moreover, if the bits of the initial string are flipped randomly, the average number of flips required to change the classification grows linearly with n. On the contrary, for a uniformly random binary classifier, the average Hamming distance of the closest input bit string with a different classification is one, and the average number of random flips required to change the classification is two. Our proof is based on the recent breakthrough in machine learning stating that random deep neural networks behave as Gaussian processes. Our results are confirmed by numerical experiments on deep ne ural networks with two hidden layers, and settle the conjecture stating that random deep neural networks are biased towards simple functions. The conjecture that random deep neural networks are biased towards simple functions was proposed and numerically explored in [Valle Pérez et al., arXiv:1805.08522] to explain the unreasonably good generalization properties of deep learning algorithms. By providing a precise characterization of the form of this bias towards simplicity, our results open the way to a rigorous proof of the generalization properties of deep learning algorithms in real-world scenarios. -- 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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Annonce Postdoc -- Paris Dauphine
by Niccolo Torri 26 Mar '19

26 Mar '19

Ricevo e inoltro. Buona giornata, Niccolò Torri Post-Doc Université Paris-Est Créteil, LAMA, Bat. P2, 61 Av. Général de Gaulle, 94010 Créteil, Bureau P2-232 http://perso.math.u-pem.fr/torri.niccolo/index.html %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Dear all, We are pleased to announce the opening of a 12-month post-doctoral position as part of the ANR MALIN (Interactive Random Walks) for the 2019/20 academic year, with flexible start and end dates. The themes of the ANR are - Gaussian Free Field (GFF), Branching Random Walks (BRW), and Random Interlacements - Random walks in random environments (RWRE) - Self-Interacting random walks (SIRW) - Particle systems, forest fires and percolation but all applications in the field of probability/statistical physics related to these themes will also be carefully considered. The candidate will be affiliated to CEREMADE, Université Paris-Dauphine (*). The file must consist of the following documents: - Curriculum vitae - List of publications - Research statement - 2 letters of recommendation Applications should be sent as soon as possible, and in any case before 3 April 2019, via the CNRS website : https://emploi.cnrs.fr/Offres/CDD/UMR7534-JULPOI-001/Default.aspx With kind regards, Pierre Tarrès (*) PS: Here is the list of Parisian members of the ANR MALIN: Elie Aidekon, Sorbonne Université Anne-Laure Basdevant, Université Paris Nanterre Eric Brunet, Sorbonne Université Bernard Derrida, Sorbonne Université/Ecole Normale Supérieure Paris Laure Dumaz, Université Paris Dauphine Nathalie Eisenbaum, Université Paris Descartes Nathanaël Enriquez, Université Paris-Sud Anna Erschler, Ecole Normale Supérieure Paris Gabriel Faraud, Université Paris Nanterre Nicolas Fournier, Sorbonne Université Yueyun Hu, Université Paris 13 Cyrille Lucas, Université Paris Diderot Titus Lupu, Sorbonne Université Satya Majumdar, Université Paris-Sud Bastien Mallein, Université Paris 13 Julien Poisat, Université Paris Dauphine Olivier Raimond, Université Paris Nanterre Grégory Schehr, Université Paris-Sud Zhan Shi, Sorbonne Université François Simenhaus, Université Paris Dauphine Damien Simon, Sorbonne Université Arvind Singh, Université Paris-Sud Pierre Tarrès, Université Paris Dauphine (en détachement à NYU Shanghaï) Laurent Tournier, Université Paris 13 Olivier Zindy, Sorbonne Université

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Assegno di ricerca all'Aquila
by davide gabrielli 25 Mar '19

25 Mar '19

Si segnala l'assegno di ricerca dal titolo "Comportamento su larga scala di particelle in interazione" Responsabile Prof. Anna De Masi, presso L' UNIVERSITA DEGLI STUDI DELLAQUILA DIPARTIMENTO DI INGEGNERIA E SCIENZE DELLINFORMAZIONE E MATEMATICA. Il bando e' reperibile all'indirizzo http://www.univaq.it/section.php?id=766 ed e' anche in allegato al presente messaggio. Scadenza 09/04/2019 cordiali saluti Davide Gabrielli

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extended deadline: 2019 Bocconi Summer School on Random Graphs
by Antonio Lijoi 25 Mar '19

25 Mar '19

************************************************************* Applications are still open for the 2019 edition of the Bocconi Summer School in Advanced Statistics & Probability on RANDOM GRAPHS AND COMPLEX NETWORKS (July 8-19, 2019) INFO: http://bocconi2019.lakecomoschool.org EXTENDED DEADLINE FOR APPLICATIONS: April 2, 2019 ************************************************************* --- Dai il tuo 5x1000 alla Bocconi. Aiuta gli studenti meritevoli a costruire il proprio futuro. CF 80024610158. www.unibocconi.it/5x1000 Please note that the above message is addressed only to individuals filing Italian income tax returns. 5x1000 is a percentage of Italian personal income tax that taxpayers can allocate to Universities, scientific research and non profit organizations. ---

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An afternoon in Probability: Torino meets Leeds
by Elvira Di Nardo 24 Mar '19

24 Mar '19

%---------------------------------------------------------------------------% An afternoon in Probability: Torino meets Leeds Torino, April 16, 2019 %----------------------------------------------------------------------------% Room 09 - ESOMAS Department Corso Unione Sovietica 218/bis, 10134, Torino -----------------Program (Speakers and abstracts)------------------ 14:30-15:10 Tiziano De Angelis (School of Mathematics, University of Leeds) 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. 15:10-15:40 Elena Issoglio (School of Mathematics, University of Leeds) Title: A numerical scheme for a multidimensional SDEs with distributional drift Abstract: This talk focuses on a multidimensional SDE where the drift is an element of a fractional Sobolev space with negative order, hence a distribution. This SDE admits a unique weak solution in a suitable sense - this was proven in [Flandoli, Issoglio, Russo (2017)]. The aim here is to construct a numerical scheme to approximate this solution. One of the key problems is that the drift cannot be evaluated pointwise, hence we approximate it with suitable functions using Haar wavelets, and then apply (an extended version of) Euler-Maruyama scheme. We then show that the algorithm converges in law, and in the special 1-dimensional case we also get a rate of convergence. This talk is based on a joint work with T. De Angelis and M. Germain. 15.40-16:10 coffee break 16:10-16:50 Elena Vigna (ESOMAS , University of Leeds) Title: On time consistency for mean-variance portfolio selection Abstract: This talk addresses a comparison between different approaches to time inconsistency for the mean-variance portfolio selection problem. We define a suitable intertemporal preferences-driven reward and use it to compare the three possible approaches to time inconsistency for the mean-variance portfolio selection problem over $[t_0,T]$: precommitment approach, consistent planning or game theoretical approach, and dynamically optimal approach. We find that the precommitment strategy beats the other strategies if the investor only cares at the view point at time $t_0$ and is not concerned to be time-inconsistent in $(t_0,T)$; the consistent planning strategy dominates the dynamically optimal strategy until a time point $t^*\in(t_0,T)$ and is dominated by the dynamically optimal strategy from $t^*$ onwards. 16:50-17:30 Cristina Zucca (Dept. of Mathematics, University of Torino) Title: Inverse First Passage Time problem for diffusions Abstract: In several applications the dynamics of the variables of interest is described via suitable stochastic processes constrained by boundaries and the focus is on the first passage time (FPT). This is the direct FPT problem. However, there are also instances when the underlying stochastic process is assigned, one knows or estimates the FPT distribution and wishes to determine the corresponding boundary shape. This is the inverse first passage time (IFPT) problem. Here we study this problem in the case of one dimensional diffusion process constrained by a single boundary or two boundaries. We also extend the IFPT method to multivariate Gauss-Markov processes and we investigate the boundary shape corresponding to given FPT distributions for suitable choices of the parameters. Special attention is given to the Integrated Brownian motion and the two-dimensional Ornstein-Uhlenbeck process. Some examples of applications of the proposed methods will be illustrated. The participation is free. Please, share this information with people potentially interested. -- %------------------------------------------------------- Elvira Di Nardo Dept. Mathematics "G. Peano" University of Torino Via Carlo Alberto 10 10123 Torino, Italia tel. +39 0116702862 fax +39 0116702878 http://www.elviradinardo.it %------------------------------------------------------- <http://www.avg.com/email-signature?utm_medium=email&utm_source=link&utm_cam…> Mail priva di virus. www.avg.com <http://www.avg.com/email-signature?utm_medium=email&utm_source=link&utm_cam…> <#DAB4FAD8-2DD7-40BB-A1B8-4E2AA1F9FDF2>

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Seminari 25 marzo a Pisa
by Dario Trevisan 23 Mar '19

23 Mar '19

Cari tutti, lunedì 25 marzo presso la Sala Seminari del Dipartimento di Matematica dell'Università degli studi di Pisa si terranno i seguenti seminari: (Dear all, on Monday, March 25th, the following two talks will take place in Sala Seminari, Dipartimento di Matematica, University of Pisa:) ORE 14:00 -- Stefano Pagliarani (Università degli studi di Udine) **Contraction methods for a class of McKean-Vlasov (mean-field) SDEs with jumps.** ORE 15:00 -- Martin Saal (University of Darmstadt) **White noise solutions for (m)SQG** Tutti gli interessati sono invitati a partecipare. ### Abstract S. Pagliarani: We consider two prototype classes of McKean-Vlasov (mean-field) SDEs with jumps. In the first case, the coefficient is assumed to be affine in the state-variable, only measurable in the law, and the dynamics allow for Lévy jumps. We study the equivalent functional fixed-point equation for the unknown time-dependent coefficients of the associated Markovian SDE. By proving a contraction property for the functional map in a suitable normed space, we infer existence and uniqueness results for the MK-V SDE, and derive a discretized Picard iteration method that approximates the law of the solution. Numerical illustrations show the effectiveness of the method, which appears to be appropriate to handle multi-dimensional settings. We finally describe possible extensions and generalizations to more general settings. The second class of MKV SDEs that we consider allows for self-exicitng jumps, which amounts to having jumps through hitting the boundary in the equivalent large particle system. The corresponding PDE problem is a particular instance of free-boundary problems known as supercooled Stefan-like problems. We write a Volterra equation for the free boundary and prove contraction results that are useful to determine the properties of the solution and to provide convergent numerical schemes. Abstract M. Saal: The inviscid surface quasigeostrophic equation (SQG) describes (roughly speaking) the temperature in a rapidly rotating stratified fluid which is transported by the velocity field. The velocity field is connected to the temperature via Riesz-transform, which are singular integral operators. It has applications in both meteorological and oceanic flows, while in mathematics it is often used as a toy model for the 3D Euler equations due to some structural similarities of these equations. We give a brief overview on versions of the SQG equation and of the known mathematical results. For a modified version (mSQG) with a smoother velocity field, which links the SQG equation to the vorticity formulation of the 2D Euler equations, we will show that by using a special symmetry in the kernel a white noise solution to mSQG can be constructed. Finally, we give some comments on the difficulties of our approach in the case of SQG itself. -- 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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RTDA 13/D4 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie
by Marco Scarsini 23 Mar '19

23 Mar '19

Bando Ricercatore art. 24, comma 3, lett. a) 13/D4 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie Pubblicato sulla Gazzetta Ufficiale in data 15 marzo 2019 Settore scientifico-disciplinare SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie, presso il Dipartimento di Economia e Finanza della Luiss Libera Università Internazionale degli Studi Sociali Guido Carli. Codice concorso DEF-RIC-01/2019 Scadenza: 29 aprile 2019 - ore 14:00 Central European Summer Time (CEST) UTC+2 https://www.luiss.it/sites/www.luiss.it/files/Bando_7.pdf ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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corso di dottorato a roma1
by Faggionato, Alessandra 23 Mar '19

23 Mar '19

Buongiorno Lunedì 1 aprile, ore 10:30-13:00, aula B, Dipartimento di Matematica La Sapienza ci sara' il primo incontro del corso di dottorato di Fabio Toninelli (in cui verra' anche stabilito l'orario definitivo). Il corso si svolgerà durante il mese di aprile. sotto trovate dettagli del corso. saluti alessandra faggionato %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Fabio Toninelli (University Lyon 1) The dimer model: equilibrium and non-equilibrium aspects Abstract. This course focuses on various mathematical aspects of lattice dimer models. These are very classical two-dimensional statistical mechanics models, that are exactly solvable in some sense (Kasteleyn, 1961): partition function and correlations can be computed in determinantal form. Recently there has been a new wave of interest in dimer models, both in probability, combinatorics and mathematical physics. One reason is that these models, as well as other two-dimensional critical models, exhibit conformal invariance properties. Another interesting aspect is that they allow to obtain very nice Markov dynamics of two-dimensional interfaces, whose large-scale dynamical behavior can be studied. Detailed contents: • Kasteleyn theory (partition functions, correlations, determinantal properties) • correlations and representation determinantale • thermodynamic limit and ergodic Gibbs measures • height fluctuations and massless Gaussian field • dynamics of dimer models: mixing time and hydrodynamic limits. References : • R. Kenyon, Lectures on dimers, arXiv:0910.3129. • F. Toninelli, Lecture notes on the dimer model, http://math.univ-lyon1.fr/homes-www/toninelli/noteDimeri.pdf-- ************************************************* 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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TWELFTH EUROPEAN SUMMER SCHOOL IN FINANCIAL MATHEMATICS
by Tiziano Vargiolu 22 Mar '19

22 Mar '19

(please disregard the other message, this one is correct) We are pleased to announce the TWELFTHTH EUROPEAN SUMMER SCHOOL IN FINANCIAL MATHEMATICS that which will be held at the University of Padova, September 2 - 6, 2019. The European Summer School in Financial Mathematics aims at bringing together the most talented young researchers in the field, looking at the very young who only just started their PhD studies. The Summer School is centered around the two courses: - Gilles Pages, Benedikt Wilbertz: "Numerical Probability" - Mark Podolskij, Roberto Reno': "High Frequency Data" For schedule, registration and application for financial support, see: https://www.math.unipd.it/~vargiolu/ESSFM/ On behalf of the organizing committee Tiziano Vargiolu -------------------------------------------------------------------------- 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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TWELFTH EUROPEAN SUMMER SCHOOL IN FINANCIAL MATHEMATICS
by Tiziano Vargiolu 22 Mar '19

22 Mar '19

We are pleased to announce the TWELFTHTH EUROPEAN SUMMER SCHOOL IN FINANCIAL MATHEMATICS that which will be held in Vienna, University of Padova, September 2 - 6, 2019. The European Summer School in Financial Mathematics aims at bringing together the most talented young researchers in the field, looking at the very young who only just started their PhD studies. The Summer School is centered around the two courses: - Gilles Pages, Benedikt Wilbertz: "Numerical Probability" - Mark Podolskij, Roberto Reno': "High Frequency Data" For schedule, registration and application for financial support, see: https://www.math.unipd.it/~vargiolu/ESSFM/ On behalf of the organizing committee Tiziano Vargiolu -------------------------------------------------------------------------- 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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Seminar announcement
by Marco Scarsini 22 Mar '19

22 Mar '19

Thursday, 28 March, 12:00 Room 204 Luiss Viale Romania, 32 00197 Roma Paul Dütting, London School of Economics and Political Science Prophet inequalities for independent random variables from an unknown distribution Abstract: A central object in optimal stopping theory is the single-choice prophet inequality for independent, identically distributed random variables: Given a sequence of random variables X_1,…,X_n drawn independently from a distribution F, the goal is to choose a stopping time τ so as to maximize α such that for all distributions F we have E[X_τ] ≥ α⋅E[max_t X_t]. What makes this problem challenging is that the decision whether τ = t may only depend on the values of the random variables X_1,…,X_t and on the distribution F. For quite some time the best known bound for the problem was α ≥ 1−1/e ≈ 0.632 [Hill and Kertz, 1982]. Only recently this bound was improved by Abolhassani et al. [2017], and a tight bound of α ≈ 0.745 was obtained by Correa et al. [2017]. The case where F is unknown, such that the decision whether τ = t may depend only on the values of the first t random variables but not on F, is equally well motivated (e.g., [Azar et al., 2014]) but has received much less attention. A straightforward guarantee for this case of α ≥ 1/e ≈ 0.368 can be derived from the solution to the secretary problem. Our main result is that this bound is tight. Motivated by this impossibility result we investigate the case where the stopping time may additionally depend on a limited number of samples from F. An extension of our main result shows that even with o(n) samples α ≤ 1/e, so that the interesting case is the one with Ω(n) samples. Here we show that n samples allow for a significant improvement over the secretary problem, while O(n^2) samples are equivalent to knowledge of the distribution: specifically, with n samples α ≥ 1−1/e ≈ 0.632 and α ≤ ln(2) ≈ 0.693, and with O(n^2) samples α ≥ 0.745−ε for any ε > 0. Joint work with Jose R. Correa, Felix Fischer, and Kevin Schewior Preprint: https://arxiv.org/abs/1811.06114 The calendar of future seminars can be found at http://economiaefinanza.luiss.it/en/seminari/prossimi-seminari ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Mini-course announcement: Affine and polynomial processes with applications in Finance [Dept. Comp. Science - UniVr]
by Luca di persio 22 Mar '19

22 Mar '19

The Dept. of Comp. Science, College of Mathematics [ UniVr ], will host the following mini-course *Title*: Affine and polynomial processes with applications in Finance which will be given by prof. Christa Cuchiero *Abstract*: The course will be focused on the analysis of affine and polynomial processes. Particular emphasis will be given to the study of their infinite dimensional versions, which take values in (signed) measures or functions spaces. This allows to consider applications ranging from rough volatility models over non-linear PDEs, to stochastic portfolio theory. *Time table*: Monday 25/03: 9.30 -11.30 (Room G) Wednesday 27/03: 13.30-16.30 (Room M) Thursday 28/03: 12.30 - 14.30 ( Room Tessari) See also: http://www.di.univr.it/?ent=seminario&id=4703 Do not hesitate to contact me: luca.dipersio(a)univr.it for any further info. Best, LuCa __ Luca Di Persio - PhD College of Mathematics Dept. of Computer Science - University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <http://www.hpa8.com/>

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Conference in Verona
by Stefania Ugolini 21 Mar '19

21 Mar '19

The Department of Mathematics of the University of Milano in collaboration with INDAM-GNAMPA, University of Trento, University of Insubria, Linneaus University, Wuppertal University organizes the following conference: RANDOM TRANSFORMATIONS AND INVARIANCE INSTOCHASTIC DYNAMICS Chapter Hall of San Giorgio in Braida’smonastery, Verona 25-29 March 2019 The study of transformations, symmetries and invariance properties of ordinary and partial differential equations, and associated conserved quantities, is a classical area of research. The inclusion of random terms in the deterministic systems has received a considerable attention only in recent years. The purpose of the conference is to allow researchers of different areas, particularly mathematical physics, probability, analysis, interact in order to reduce the gap between deterministic and stochastic frameworks. For further information see http://users.mat.unimi.it/users/ugolini/workshop2019/ On behalf of the organizing committe, Stefania Ugolini. <signaturebeforequotedtext></signaturebeforequotedtext><signatureafterquotedtext></signatureafterquotedtext>

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de Finetti risk seminar
by Emanuela Rosazza 21 Mar '19

21 Mar '19

Gentile Prof. Cambini, Le sarei grata se potesse inoltrare il seguente avviso di messaggio. La ringrazio anticipatamente e saluto cordialmente, Emanuela --- On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture A mathematical model of learning reward uncertainty in the brain Rafal Bogacz Nuffield Department of Clinical Neurosciences, University of Oxford Abstract: To maximise their chances for survival, humans and animals need to base their decisions not only on the average consequences of chosen actions, but also on the variability of the rewards resulting from these actions. For example, when ones food reserves are depleted, one should prefer to forage in an area where food is guaranteed, rather than an area where the amount of food is higher on average but variable, thus avoiding the risk of starvation. To implement such policies, the brain needs to be able to learn about variability of rewards resulting from taking different actions. This talk will present a simple mathematical model describing how such learning may be implemented in the brain. The models suggests how the information about reward uncertainty is used by the brain to make decisions that not only maximize expected rewards but also take risks into account. The models is consistent with a wide range of experimental data from neuroscience. The talk will also include a discussion of the relationship between the model and the probability weighting functions from the prospect theory. LOCATION: The seminar will be held on Wednesday, March 27, at 15.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. A refreshment will be offered at 14.45. Scientific Committee: Prof. Simone Cerreia-Vioglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) ******************************************************************************************* 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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UCL-Rome Workshop on Stochastic and PDE Methods in Finance and Economics, 20-22 May 2019
by Germano, Guido 20 Mar '19

20 Mar '19

Cari colleghi, annuncio un workshop che si terrà alla LUISS dal 20 al 22 maggio. Cordiali saluti Guido Germano ====== UCL-Rome Workshop on Stochastic and Partial Differential Equation Methods in Finance and Economics LUISS University, Rome, Italy, 20-22 May 2019 Dipartimento di Economia e Finanza, Viale Romania 32 Comprehensive information can be found on http://www.cs.ucl.ac.uk/staff/g.germano/ucl-rome_workshop.html The aim of the workshop is to bring together researchers of University College London and of various Universities in Rome who work on different areas of stochastic and PDE methods motivated by problems in economics and finance. The intended format of the workshop is, for the experienced researchers, to give a broad perspective on an area of research, discussing also current developments and, potentially, major open problems. The afternoon of the second day will be devoted to short talks by junior participants. The workshop will start in the early afternoon of the first day and end around noon of the third day. This arrangement allows participants from outside Rome to attend the whole workshop spending only two nights in the city. Participation is free of charge and open to everyone. — Dr Guido Germano www.cs.ucl.ac.uk/staff/g.germano +44 7481 388380 Associate Professor, Department of Computer Science, University College London Programme Director and Admissions Tutor, UCL MSc Computational Finance Research Associate, Systemic Risk Centre, London School of Economics

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