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Colloquium di Lorenzo Zambotti a Milano-Bicocca (lunedì 28 ottobre)
by Francesco Caravenna 15 Oct '19

15 Oct '19

Ho il piacere di annunciare il seguente Colloquium del Dipartimento di Matematica e Applicazioni, Università di Milano-Bicocca, congiuntamente con il Seminario Matematico e Fisico di Milano. Il giorno lunedì 28 ottobre 2019, alle ore 16:00, Lorenzo Zambotti (Sorbonne Université, Paris) terrà un colloquium dal titolo "Regularity structures: from physics to probability, from analysis to algebra, from combinatorics to geometry" Il seminario si terrà nell'aula 3014 (edificio U5, terzo piano, via Cozzi 55, Milano) e sarà seguito da un rinfresco. Segue l'abstract. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%%%%%%%%%%%% Abstract: In this talk I wish to present some of the ideas at the heart of the theory of regularity structures (RS), introduced by Martin Hairer in 2014. RS are perhaps best described as a theory of Taylor expansions in a fractal (random) setting. I plan to show how this theory is based on a fascinating interplay between several different disciplines, as announced by my title. %%%%%%%%%%%%%%%%%%%%%%%%%%%% _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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Workshop “Half day in Stochastic Analysis and applications”
by Paolo Dai Pra 15 Oct '19

15 Oct '19

Dear Colleagues, it is with pleasure that we announce the *workshop* *** Half day in Stochastic Analysis and applications *** WHEN: Wednesday 30 October 2019, starting at 10:30 WHERE: Aula 1C150, Torre Archimede, via Trieste 61, Padova *** SCHEDULE: *** 10.30: Therry Lyons (Oxford) 11.05: Franco Flandoli (SNS Pisa) 11.40: Francesco Caravenna (Milano Bicocca) 12.15: Franco Rampazzo (Padova) Please find more details below and the poster in attachment. Looking forward to your participation, Fabio Ancona, Paolo Dai Pra, Franco Rampazzo ---------------------------------------------------------------- *** Half day in Stochastic Analysis and applications *** Wed. 30 Oct. 2019, Aula 1C150 Maths Department, Padova ---------------- *** Special Guest: THERRY LYONS (Oxford) *** *** Opening the workshop at 10:30*** ---------------- *** Speaker: FRANCO FLANDOLI (SNS Pisa)*** *** Seminar at 11:05*** *** Title: Effect of transport noise on PDEs *** *** Abstract *** Linear PDEs of transport type are regularized by the addition of an extra transport term of stochastic type; this is a phenomenon discovered around 2010 and consolidated by different techniques and on different examples. However, the effect on nonlinear PDEs is much less clear. Two results for point vortex solutions and point charge solutions of 2D Euler equations and 1D Vlasov-Poisson equations respectively, indicate that a rich noise has to be considered, opposite to the linear case where a simple space-independent noise suffices to regularize. Some confirmations that such rich noise may have regularizing properties on nonlinear models came for Leray alpha model and dyadic models of turbulence. We now have new insight in the case of 2D Euler equations and 3D Navier-Stokes equations, that will be explained in the talk. The results mentioned above, the classical and the new ones, have been obtained by several authors including Gubinelli, Priola, Barbato, Galeati, Luo and myself. ---------------- *** Speaker: FRANCESCO CARAVENNA (Milano Bicocca) *** *** Seminar at 11:40 *** *** Title: On the two-dimensional KPZ equation *** *** Abstract: *** We consider the Kardar-Parisi-Zhang (KPZ) equation in two space dimensions, driven by space-time white noise. This is a singular PDE which lacks a solution theory, so it is standard to consider a regularized version of the equation and then to investigate the behavior of the solution when the regularization is removed. We first show that the regularized solution undergoes a phase transition, as the noise strength is varied on a logarithmic scale. Then, in the sub-critical regime, we prove convergence (after centering and rescaling) to an explicit well-posed random PDE, the additive Stochastic Heat Equation, with a non-trivial constant on the noise. Based on joint works with Rongfeng Sun and Nikos Zygouras. ---------------- *** Speaker: FRANCO RAMPAZZO (Padova) *** *** Seminar at 12:15 *** *** Title: Limit solutions for control-affine nonlinear systems of ode's *** *** Abstract: *** The aim of this talk, which is fully devoted to deterministic input-output systems, is to present the extremely weak notion of 'limit solution', that might be (or might be not) of interest also for whom is more interested in Stochastic Analysis. For a nonlinear (deterministic) control system with a given initial condition and with a dynamics which is affine in the control variable, a 'limit solution' verifies the following properties: i) it is pointwise defined for an input which is (formally) the derivative of a Lebesgue integrable function; ii) in the commutative case (i.e. when all Lie brackets of the involved vector field vanish identically) the limit solution coincides with the solution one can obtain via a (existing) change of coordinates which makes all vector fields constant; iii) the notion of limit solution subsumes former concepts of solution valid for the generic, non-commutative case. In particular, when the control is the derivative of a bounded variation path, a quite clear relation is established between limit solutions and so-called 'graph completion' solutions. Paolo Dai Pra Dipartimento di Informatica Università degli Studi di Verona Strada Le Grazie 15, 37134 Verona, Italy Tel. +390458027093

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Fwd: annuncio convegno
by Francesco Caravenna 15 Oct '19

15 Oct '19

Ricevo e inoltro. > Da: malongob(a)unina.it > > Dear colleagues, > > We are writing to keep you updated on the news regarding the 14th International Conference on Ordered Statistical Data - OSD2020, which will take place at Vietri sul Mare (SA), Italy, May 26th - 29th, 2020. > > The instructions for registration and abstract submission are now available on the web page of the conference. To register please visit the conference webpage (http:www.osd2020.unina.it) then click on the ?Registration? tab. If you are going to give a talk or to present a poster, please click on the ?Authors? tab for getting instructions on how to prepare and submit the abstract of your contribution. > > The deadline for early registration is April 1st and deadline for submissions of abstracts is February 15th, 2020. > > If you have any questions, do not hesitate to ask us by sending an e-mail to osd2020(a)unina.it. > > We are looking forward to seeing you in Vietri sul Mare, > > On the behalf of the Organizing Committee, > Maria Longobardi > > Maria Longobardi > E-mail: maria.longobardi(a)unina.it > Dipartimento di Matematica e Applicazioni "R. Caccioppoli" > Universita' degli Studi di Napoli FEDERICO II > Via Cintia - 80126 Napoli - Italy > Studio 114 - V livello > Tel. +39 081 675620

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Seminario di Antonio Blanca a Roma Tre il 24-10-2019
by Pietro Caputo 15 Oct '19

15 Oct '19

Speaker: Antonio Blanca (Penn State University) Titolo: Lower bounds for testing spin systems Giovedi' 24 Ottobre 2019 ORE 10:00 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Largo San Leonardo Murialdo,1 - Pal.C - Aula 211 Abstract We study the identity testing problem in the context of spin systems where it takes the following form: given the parameter specification of the model M and a sampling oracle for the distribution μ of an unknown model M*, can we efficiently determine if the two models M and M* are the same? We establish hardness results for this problem for two prototypical spin systems: the Ising model and proper colorings. For the ferromagnetic (attractive) Ising model, Daskalakis et al. (2018) presented a polynomial-time algorithm for identity testing. I will present a hardness result for the antiferromagnetic (repulsive) setting. In our proofs, we use random graphs as gadgets; this is inspired by similar constructions in seminal works on the hardness of approximate counting. The results for proper colorings are based on the presumed hardness of #BIS, the problem of (approximately) counting independent sets in bipartite graphs. Based on joint work with Ivona Bezakova, Zongchen Chen, Daniel Stefankovic and Eric Vigoda

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Seminario KOLOKOLTSOV @ UniTo
by Cristina Zucca 14 Oct '19

14 Oct '19

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Martedì 17 Aprile 2018 alle ore 15:00 in Aula Marro presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. *VASSILI KOLOKOLTSOV* terrà un seminario dal titolo *Recent developments in probabilistic and analytic methods for fractional differential equations * Abstract: We shall discuss recent achievements in solving fractional differential equations and their extensions arising from generalized fractional calculus. Probabilistic techniques will be derived from the notion of Markov processes interrupted on the attempt to cross the boundary. Analytic techniques will cover generalized operator-valued Mittag-Leffler functions and chronological Feynman-Kac formulas. Tutti gli interessati sono invitati a partecipare. -- Dr. Cristina Zucca Department of Mathematics University of Torino Via Carlo Alberto 10 10123 Torino, Italy tel: +39-011-6702850 fax: +39-011-6702878

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Announcement -- Half day in Stochastic Analysis and applications (fwd)
by Tiziano Vargiolu 14 Oct '19

14 Oct '19

---------- Forwarded message ---------- Date: Mon, 14 Oct 2019 07:53:54 +0200 From: ancona(a)math.unipd.it To: users(a)math.unipd.it Subject: Announcement -- Half day in Stochastic Analysis and applications Dear Colleagues, it is our great pleasure to announce at our Department the *workshop* *** Half day in Stochastic Analysis and applications *** WHEN: Wednesday 30 October 2019, starting at 10:30 WHERE: Aula 1C150, Torre Archimede, via Trieste 61, Padova *** SCHEDULE: *** 10.30: Terry Lyons (Oxford) 11.05: Franco Flandoli (SNS Pisa) 11.40: Francesco Caravenna (Milano Bicocca) 12.15: Franco Rampazzo (Padova) Please find more details below in attachment. Looking forward to your participation, Fabio Ancona, Paolo Dai Pra, Franco Rampazzo ---------------------------------------------------------------- *** Half day in Stochastic Analysis and applications *** Wed. 30 Oct. 2019, Aula 1C150 Maths Department, via Trieste 63, Padova ---------------- *** Special Guest: TERRY LYONS (Oxford) *** *** Opening the workshop at 10:30 *** ---------------- *** Speaker: FRANCO FLANDOLI (SNS Pisa)*** *** Seminar at 11:05 *** *** Title: Effect of transport noise on PDEs *** *** Abstract *** Linear PDEs of transport type are regularized by the addition of an extra transport term of stochastic type; this is a phenomenon discovered around 2010 and consolidated by different techniques and on different examples. However, the effect on nonlinear PDEs is much less clear. Two results for point vortex solutions and point charge solutions of 2D Euler equations and 1D Vlasov-Poisson equations respectively, indicate that a rich noise has to be considered, opposite to the linear case where a simple space-independent noise suffices to regularize. Some confirmations that such rich noise may have regularizing properties on nonlinear models came for Leray alpha model and dyadic models of turbulence. We now have new insight in the case of 2D Euler equations and 3D Navier-Stokes equations, that will be explained in the talk. The results mentioned above, the classical and the new ones, have been obtained by several authors including Gubinelli, Priola, Barbato, Galeati, Luo and myself. ---------------- *** Speaker: FRANCESCO CARAVENNA (Milano Bicocca) *** *** Seminar at 11:40 *** *** Title: On the two-dimensional KPZ equation *** *** Abstract: *** We consider the Kardar-Parisi-Zhang (KPZ) equation in two space dimensions, driven by space-time white noise. This is a singular PDE which lacks a solution theory, so it is standard to consider a regularized version of the equation and then to investigate the behavior of the solution when the regularization is removed. We first show that the regularized solution undergoes a phase transition, as the noise strength is varied on a logarithmic scale. Then, in the sub-critical regime, we prove convergence (after centering and rescaling) to an explicit well-posed random PDE, the additive Stochastic Heat Equation, with a non-trivial constant on the noise. Based on joint works with Rongfeng Sun and Nikos Zygouras. ---------------- *** Speaker: FRANCO RAMPAZZO (Padova) *** *** Seminar at 12:15 *** *** Title: Limit solutions for control-affine nonlinear systems of ode's *** *** Abstract: *** The aim of this talk, which is fully devoted to deterministic input-output systems, is to present the extremely weak notion of 'limit solution', that might be (or might be not) of interest also for whom is more interested in Stochastic Analysis. For a nonlinear (deterministic) control system with a given initial condition and with a dynamics which is affine in the control variable, a 'limit solution' verifies the following properties: i) it is pointwise defined for an input which is (formally) the derivative of a Lebesgue integrable function; ii) in the commutative case (i.e. when all Lie brackets of the involved vector field vanish identically) the limit solution coincides with the solution one can obtain via a (existing) change of coordinates which makes all vector fields constant; iii) the notion of limit solution subsumes former concepts of solution valid for the generic, non-commutative case. In particular, when the control is the derivative of a bounded variation path, a quite clear relation is established between limit solutions and so-called 'graph completion' solutions.

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Postdoctoral position in Paris - Saclay with Eric Moulines and Nicolas Chopin
by Julyan Arbel 12 Oct '19

12 Oct '19

---------- Forwarded message ---------- From: eric.moulines(a)polytechnique.edu Date: 12 Oct 2019 at 09:33 +0200 To: 'Julyan Arbel' <julyan.arbel(a)inria.fr> Subject: TR: offre de post-doc > As a consequence of its recent funding by the Agence Nationale de la Recherche (ANR), the ABSint research group is recruiting a post-doctoral collaborator for up to 21 months. The accronym ABSint stands for Approximate Bayesian solutions for inference on large datasets and complex models. The project involves researchers in Paris, Saclay, Montpellier, Lyon and Nice. This second call seeks candidates with an excellent research record interested to collaborate more closely with members on the ABSint team located in Saclay, at institutions such as Institut Polytechnique de Paris (e.g. Nicolas Chopin and Eric Moulines), Université Paris Saclay, on any topic (broadly) relevant to ABSint and to these researchers' interests. > Applications can be submitted in either English or French. > The candidate must obtain a PhD degree by the date of application. > Good working knowledge of English is required. > Estimated salary is around 2500 EUR with taxes, depending on experience since PhD. > Position opened December 1, 2019, with possible accommodation for later start. > Call opened until position filled. > Candidates should contact Nicolas Chopin (mail address: nicolas.chopin(a)ensae.fr) with a vita and a motivation letter. Letters of recommendation can also be sent to the same address. >

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Seminario PODOLSKIJ
by Pierpaolo De Blasi 11 Oct '19

11 Oct '19

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 18 Ottobre 2019, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Mark PODOLSKIJ (Aarhus University) OPTIMAL ESTIMATION OF CERTAIN RANDOM QUANTITIES ASSOCIATED WITH LEVY PROCESSES In this talk we present new ideas on optimality of statistical estimates of certain random quantities of stochastic processes, such as supremum or local times. Despite the existing results on estimation of such objects through high frequency observations, the question of optimality is rarely discussed. We will demonstrate some optimal estimation methods for the supremum and local times of the Brownian motion in the L2 and L1 sense. In the second part of the talk we will investigate how the main ideas can be extended towards the class of Levy processes and continuous diffusion models. (joint work with J. Ivanovs) ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats <http://www.carloalberto.org/stats>) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Pierpaolo De Blasi --- Pierpaolo De Blasi University of Torino & Collegio Carlo Alberto https://sites.google.com/a/carloalberto.org/pdeblasi/

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Fellowships at Heilbronn Institute
by Tiziano De Angelis 10 Oct '19

10 Oct '19

Dear All, The fellowship advertised below might be of interest to people in your network. Best wishes Tiziano Posted on behalf of the Heilbronn Institute: The Heilbronn Institute invites applications for Heilbronn Research Fellowships. We have a number of Fellowships available at Imperial College London, King’s College London, University of Bristol, University College London, University of Manchester. Deadline 17 November 2019. Please see our website for further details: https://heilbronn.ac.uk/fellowships-2/ Heilbronn Research Fellowship: https://www.jobs.ac.uk/job/BVN616/heilbronn-research-fellowship Data Science Heilbronn Research Fellowship: https://www.jobs.ac.uk/job/BVF215/data-science-heilbronn-research-fellowship

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Seminario Enrico Scalas @ UniTo - 15 Ottobre
by Bruno Toaldo 10 Oct '19

10 Oct '19

******************************************************************** SEMINARI DI PROBABILITÀ E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITÀ DEGLI STUDI DI TORINO ********************************************************************* Martedì 15 Ottobre 2019 alle ore 16:30 in Sala S presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. *Enrico Scalas* (Department of Mathematics – University of Sussex, UK) terrà un seminario dal titolo *Functional and Thermodynamic Limits of a Simple Coagulation-Fragmentation Markov Chain* Abstract: We discuss a simple random exchange model for the distribution of wealth. There are N agents, each one endowed with a fraction of the total wealth; indebtedness is not possible, so wealth fractions are positive random variables. At each step, two agent are randomly selected, their wealths are first merged (coagulation) and then randomly split into two parts (fragmentation) conserving the total wealth. We start from a discrete state space - discrete time version of this model and, under suitable scaling, we present its functional convergence to a continuous space - discrete time model. Then, we discuss how a continuous-time version of the one-point marginal Markov chain functionally converges to a kinetic equation of Boltzmann type. Solutions to this equation are presented and they coincide with the appropriate limits of the invariant measure for the marginal Markov chain. In this way, in this simple case, we complete Boltzmann’s program of deriving kinetic equations from random dynamics. Joint work with: Bertram Duering, Nicos Georgiou, Sara Merino Aceituno Tutti gli interessati sono invitati a partecipare.

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Seminario Jonathan Hermon a Roma Tre il 15-10-2019
by Pietro Caputo 09 Oct '19

09 Oct '19

Martedi' 15 Ottobre 2019 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Largo San Leonardo Murialdo,1 - Pal.C - Aula 211 Speaker: Jonathan Hermon Titolo: Anchored expansion in supercritical percolation on nonamenable graphs. Abstract: Let G be a transitive nonamenable graph, and consider supercritical Bernoulli bond percolation on G. We prove that the probability that the origin lies in a finite cluster of size n decays exponentially in n. We deduce that: 1. Every infinite cluster has anchored expansion (a relaxation of having positive Cheeger constant), and so is nonamenable in some weak sense. This answers positively a question of Benjamini, Lyons, and Schramm (1997). 2. Various observables, including the percolation probability and the truncated susceptibility (which was not even known to be finite!) are analytic functions of p throughout the entire supercritical phase. 3. A RW on an infinite cluster returns to the origin at time 2n with probability exp(-Theta(n^{1/3})). Joint work with Tom Hutchcroft.

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Seminar Mealli @Bocconi
by Giacomo Zanella 08 Oct '19

08 Oct '19

We announce the following DEC Statistics seminar: Thursday, October 10 12:30 Meeting room 3-e4-sr03, Bocconi University, Via Roentgen 1, 3rd floor Fabrizia Mealli (University of Florence) Title: Assessing causal effects in the presence of treatment switching through principal stratification Abstract: consider clinical trials focusing on survival outcomes for patients suffering from Acquired Immune Deficiency Syndrome (AIDS)-related illnesses or particularly painful cancers in advanced stages. These trials often allow patients in the control arm to switch to the treatment arm if their physical conditions are worse than certain tolerance levels. The Intention-To-Treat analysis compares groups formed by randomization regardless of the treatment actually received. Although it provides valid causal estimates of the effect of assignment, it does not measure the effect of the actual receipt of the treatment and ignores the information of treatment switching in the control group. Other existing methods propose to reconstruct the outcome a unit would have had if s/he had not switched. But these methods usually rely on strong assumptions, for example, there exists no relation between patient's prognosis and switching behavior, or the treatment effect is constant. Clearly, the switching status of the units in the control group contains important post-treatment information, which is useful to characterize the treatment effect heterogeneity. We propose to re-define the problem of treatment switching using principal stratification and introduce new causal estimands, principal causal effects for patients belonging to subpopulations defined by the switching behavior under control. For statistical inference, we use a Bayesian approach to take into account that (i) switching happens in continuous time generating infinitely many principal strata; (ii) switching time is not defined for units who never switch in a particular experiment; and (iii) survival time and switching time are subject to censoring. We illustrate our framework using a synthetic dataset based on the Concorde study, a randomized controlled trial aimed to assess causal effects on time to-disease progression or death of immediate versus deferred treatment with zidovudine among patients with asymptomatic HIV infection. Joint work with Alessandra Mattei and Peng Ding Kind regards, Giacomo Zanella The DEC statistics seminars schedule is available at http://www.unibocconi.eu/statseminar 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 arianna.colombo(a)unibocconi.it

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2-year Teaching Fellow in Statistics at the University of Leeds
by Tiziano De Angelis 07 Oct '19

07 Oct '19

Dear All, We have an opening for a Teaching Fellow in Statistics at the University of Leeds. The position is fixed term for 2 years. Please see the advert below https://www.timeshighereducation.com/unijobs/minisites/university-of-leeds/… I would be most grateful if you could please circulate the advert to any potential candidate. Best wishes Tiziano

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Postdoctoral position at UBC, Vancouver
by Antonio DI CRESCENZO 04 Oct '19

04 Oct '19

---------- Forwarded message --------- From: Mathav Murugan <mathav(a)math.ubc.ca> Date: Fri, 4 Oct 2019 at 00:09 Subject: Postdoctoral position at UBC Dear friends and colleagues, We invite applications for postdoctoral fellowships in probability theory in the Mathematics Department, University of British Columbia, Vancouver, Canada. For more details, please see the link: http://www.math.ubc.ca/Research/Probability/pdf.html We would be grateful if you could forward the information to potential interested candidates. With best regards, Omer Angel, Jonathan Hermon, Mathav Murugan, Ed Perkins, Gordon Slade ------------------------------

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PhD studentship in spatial stochastics
by Gianluca Finocchio 02 Oct '19

02 Oct '19

Gentili colleghi/e,vi inoltro l'annuncio della Prof. Marie-Colette van Lieshout, University of Twente (Olanda). Gianluca Finocchio ============================================= The University of Twente, The Netherlands, invites applications for a PhD studentship in spatial stochastics in the project `Comprehensive monitoring and prediction of seismicity within the Groningen gas field using large scale field observations', which is embedded in the national research programme DeepNL funded by the Dutch Research Council. Candidates are required to have a Master’s degree in mathematics or a related discipline and a solid background in probability, statistics and numerical mathematics. They should have excellent grades, research talent (as proven by their Master’s thesis), an excellent command of English and good academic writing and presentation skills. The terms of employment are in accordance with the Dutch Collective Labour Agreement for universities. The salary will range from EUR 2325 per calendar month in the first year to 2972 in the fourth year. Additional secondary conditions include superannuation and health care benefits, a holiday allowance and end-of-year bonus. To apply, please send a letter of motivation, a list of your BSc and MSc courses with grades and either a copy of your Master's thesis if available or a copy of your Bachelor's thesis accompanied by an outline of your Master's thesis to Prof.dr M.N.M. van Lieshout Centrum Wiskunde & Informatica Science Park 123, 1098 XG Amsterdam Email: m.n.m.vanlieshout(a)utwente.nl before October the 27th. Further information can be obtained at the same address.

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Leeds Winter School on Theory and Practice of Optimal Stopping and Free Boundary Problems
by Tiziano De Angelis 01 Oct '19

01 Oct '19

Dear All, I would like to draw your attention to the following winter school: *-------------------------* *Title:* Leeds Winter School on Theory and Practice of Optimal Stopping and Free Boundary Problems. *Website:* https://conferences.leeds.ac.uk/osfbp/ *Date and Location:* 13th-17th of January 2020, School of Mathematics University of Leeds *Registration:* registration is free but compulsory by the 15th of December (see details at https://conferences.leeds.ac.uk/osfbp/registration/ ) *Short description: *This winter school is mainly aimed at PhD students and post-docs but participation is open to anyone with an interest in the subject. The lectures will provide a comprehensive introduction to the theory of optimal stopping for Markov processes, including applications to Dynkin games, with an emphasis on the existing links to the theory of partial differential equations and free boundary problems. Alongside traditional lectures there will also be tutorial classes (4 hours) with a focus on solutions of specific problems. On Wednesday 15th of January there will be a full day workshop on a broad range of topics related to optimal stopping and stochastic control. We strongly encourage attendees of the winter school to submit a contributed talk at the time of their registration. -------------------------- I would be most grateful if you could please pass this advert on to potentially interested people. All enquiries can be addressed directly to me (t.deangelis(a)leeds.ac.uk) Thank you and best wishes Tiziano De Angelis

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Seminar announcement
by Marco Scarsini 01 Oct '19

01 Oct '19

Thursday, 3 October, 12:00 Luiss | Viale Romania, 32 | Room 207 Yosi Rinott, Hebrew University of Jerusalem Title Priors and Posteriors of Asset Values, Domination, Optimism, and Monotonicity Abstract Suppose there is a set of states that are relevant to the value of an asset, and the market has a prior distribution on the state space. Consider signals having distribution depending on the true state. The price of an asset depends on the market’s posterior probability that the asset is in a good state, given a signal. Before the signal is given, the market considers the expectation of this (random) posterior probability, and more generally, its distribution. It is well known that the expected posterior equals the prior, but the actual posterior probability may be higher or lower than the prior depending on the signal. Suppose an insider has a different prior than the market. We study the question of what kind of priors will make the insider expect that the asset value following the signal will be higher than the market’s value (suggesting to buy, or to be optimistic). Since the posterior is a random variable, this leads to stochastic ordering, and in fact, we obtain a very strong ordering, namely likelihood ratio order. Given such a setup, if signals are generated independently according to a given state, then Doob’s Bayesian Consistency Theorem says that the posterior probability of this state converges to one. We study some monotonicity properties of this convergence, and some (perhaps) surprising lack of monotonicity. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Seminario di Claudio Macci presso l’Università di Salerno
by Barbara Martinucci 01 Oct '19

01 Oct '19

Il Prof. Claudio Macci (Università di Roma Tor Vergata) terrà il seguente seminario mercoledì 9 ottobre alle ore 16.00 presso la sala riunioni del Dipartimento di Matematica dell’Università di Salerno: *Titolo*: "Multivariate fractional (possibly compound) Poisson processes " *Abstract:* We present multivariate space-time fractional Poisson processes by considering common random time-changes of a finite-dimensional vector of independent classical (non fractional) Poisson processes. In some cases we also consider compound processes. We obtain some equations in terms of some suitable fractional derivatives and fractional difference operators, which provides the extension of known equations for the univariate processes. In particular we show that, for each fixed t≥0, the conditional joint distribution of the components given their sum is multinomial, as happens for the non fractional Poisson processes. Thus we consider a suitable multivariate "alternative" fractional Poisson process, and we study its asymptotic behavior for large times (large and moderate deviations). The results appear in two papers with Luisa Beghin Cordiali saluti, Barbara Martinucci

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🆕 Intensive Research Programme in Quantitative Finance
by Maria Elvira Mancino 30 Sep '19

30 Sep '19

Da: "Centre de Recerca Matemàtica (CRM)" difusions(a)crm.cat Cc: Data: Mon, 30 Sep 2019 12:18:34 +0000 Oggetto: 🆕 Intensive Research Programme in Quantitative Finance View this email in your browser [1] Dear colleague, we are pleased to announce the forthcoming CRM Intensive Research Programme in QUANTITATIVE FINANCE JUNE – JULY 2020 Centre de Recerca Matemàtica (BARCELONA) This intensive program focuses in hot topics in Quantitative Finance. In the last decades, problems emerging in the financial industry have been a starting point for the development of quantitative techniques. These techniques cover a wide spectrum of mathematical fields, from probability theory to numerical and computational tools. A huge volume of research has done in the academia inspired by these problems. In the contrary direction, the financial industry is using more and more advanced (from the mathematical point of view) tools and concepts, due to the increasing complexity of markets, that can only be addressed with high-level quantitative methods. This program has been designed to create a bridge between the academia and the industry and it is thought to be a forum to gather professionals working in this area. This means, from the academia, the financial industry and specialized software companies. The program will last for two months and it will take place at the Centre de Recerca Matemàtica during the period June-July 2020. The program is composed of: ADVANCED COURSE ON NUMERICAL METHODS IN FINANCE [2]. June 8th to 12th, 2020 ADVANCED COURSE ON STOCHASTIC TOOLS IN FINANCE [3]. June 15th to 19th, 2020 WEEKLY SEMINARS FOR RESEARCHERS. June 22nd to July 24th, 2020 WEEKLY SEMINARS FOR STUDENTS. June 22nd to July 24th, 2020 WORKSHOP: NEW CHALLENGES IN QUANTITATIVE FINANCE [4]. July 13th to 17th, 2020 ORGANIZERS: Elisa Alòs Universitat Pompeu Fabra Luis Ortiz-Gracia Universitat de Barcelona Josep Vives Universitat de Barcelona-IMUB SCIENTIFIC COMMITTEE: Elisa Alòs Universitat Pompeu Fabra José Manuel Corcuera Universitat de Barcelona Maria Elvira Mancino Università di Firenze Cornelis W. Oosterlee Delft University of Technology and CWI Luis Ortiz-Gracia Universitat de Barcelona Carlos Vázquez Cendón Universidade da Coruña Josep Vives Universitat de Barcelona-IMUB We hope you find this information of interest. Best regards, CENTRE DE RECERCA MATEMÀTICA Campus de Bellaterra, Edifici C 08193 Bellaterra (Barcelona) Tel.: + 34 93 581 10 81 Fax: + 34 93 581 22 02 WWW.CRM.CAT [5] @CRMATEMATICA [6] [7] [8] [9] Centre de Recerca Matemàtica, Campus de Bellaterra, Edifici C 08193 Bellaterra (Barcelona) tl.: 935811081 fax:935812202 crm(a)crm.cat Want to change how you receive these emails? You can update your preferences [10] or unsubscribe from this list [11]. This email was sent to info(a)amases.org _why did I get this?_ [12] unsubscribe from this list [11] update subscription preferences [10] Consorci del Centre de Recerca Matemàtica · Centre de Recerca Matemàtica · Campus de Bellaterra, Edifici C · Bellaterra, Barcelona 08193 · Spain [13] Links: ------ [1] https://mailchi.mp/cdea4a0dcf23/intensive-research-programme-in-quantitativ… [2] https://crm.us20.list-manage.com/track/click?u=34be5dbb4af0e8e87fd462228&am… [3] https://crm.us20.list-manage.com/track/click?u=34be5dbb4af0e8e87fd462228&am… [4] https://crm.us20.list-manage.com/track/click?u=34be5dbb4af0e8e87fd462228&am… [5] https://crm.us20.list-manage.com/track/click?u=34be5dbb4af0e8e87fd462228&am… [6] https://crm.us20.list-manage.com/track/click?u=34be5dbb4af0e8e87fd462228&am… [7] https://crm.us20.list-manage.com/track/click?u=34be5dbb4af0e8e87fd462228&am… [8] https://crm.us20.list-manage.com/track/click?u=34be5dbb4af0e8e87fd462228&am… [9] https://crm.us20.list-manage.com/track/click?u=34be5dbb4af0e8e87fd462228&am… [10] https://crm.us20.list-manage.com/profile?u=34be5dbb4af0e8e87fd462228&id… [11] https://crm.us20.list-manage.com/unsubscribe?u=34be5dbb4af0e8e87fd462228&am… [12] https://crm.us20.list-manage.com/about?u=34be5dbb4af0e8e87fd462228&id=3… [13] http://www.mailchimp.com/monkey-rewards/?utm_source=freemium_newsletter&amp…

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Chapman Fellowship Blurb - postdoctoral position
by Antonio DI CRESCENZO 29 Sep '19

29 Sep '19

Imperial College London is seeking applicants for the Chapman Fellowship, a prestigious two-year postdoctoral position for finishing and recent PhDs in mathematics. The position is primarily research, with a small amount of teaching duties (about half the usual load). Chapman fellows are free to carry out their own independent program of research. Many past Chapman fellows have received excellent permanent positions. For more information and to apply, please go to the website: https://www.imperial.ac.uk/jobs/description/NAT00517/chapman-fellowship-mat… . Applications are *due on 1 November, 2019 (strictly by 11:59 PM, GMT)*, via the website linked to above. Note that applicants need to choose a staff member of Imperial's Mathematics Department to help review their application. Please pass this blurb on to anyone interested. Thank you very much!

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Fwd: premio Cuozzo
by Lucia Caramellino 27 Sep '19

27 Sep '19

Ricevo ed inoltro il seguente avviso per un premio di tesi di dottorato in Matematica. > Inizio messaggio inoltrato: > > Da: Filippo Bracci <fbracci(a)mat.uniroma2.it> > Oggetto: premio Cuozzo > Data: 26 settembre 2019 20:05:45 CEST > A: Filippo Bracci <fbracci(a)mat.uniroma2.it> > > (Con preghiera di diffusione tra gli interessati), > > Cari colleghi, > > sono lieto di informarvi che anche quest’anno la Famiglia Cuozzo ha generosamente rinnovato il premio di 3000 euro dedicato alla memoria di Michele Cuozzo, premio a cui possono partecipare tutti coloro che abbiano conseguito il titolo di Dottore di Ricerca in Matematica, o titolo riconosciuto equipollente, nei 12 mesi precedenti alla scadenza del bando. Maggiori informazioni a > > http://www.mat.uniroma2.it/Docs_avvisi-L/BandoCuozzo2019prot.pdf <http://www.mat.uniroma2.it/Docs_avvisi-L/BandoCuozzo2019prot.pdf> > > La scadenza per la presentazione delle domande è il 26 ottobre 2019 alle ore 12,00 > > Grazie > > a presto > > Filippo > > > -- > ************************ > Prof. Filippo Bracci > Dipartimento di Matematica > Universita' di Roma "Tor Vergata" > Via della Ricerca Scientifica 1 > 00133 Roma - ITALIA > Tel: (+39-)06-7259 4643/4105 > Fax: (+39-)06-7259 4699 > E-mail: fbracci(a)mat.uniroma2.it <mailto:fbracci@mat.uniroma2.it> > Web-page: www.mat.uniroma2.it/~fbracci <http://www.mat.uniroma2.it/~fbracci> > +++++++++++++++++++++++++++++++++ Lucia Caramellino Dipartimento di Matematica Università di Roma “Tor Vergata” Web: http://www.mat.uniroma2.it/~caramell

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Seminar Panaretos @Bocconi
by Giacomo Zanella 27 Sep '19

27 Sep '19

We announce the following DEC Statistics seminar: Thursday, October 3 12:30 Meeting room 3-e4-sr03, Bocconi University, Via Roentgen 1, 3rd floor Victor Panaretos (École Polytechnique Fédérale de Lausanne) Title: Fréchet Means and Procrustes Analysis in Wasserstein Space Abstract: Given a collection of diffuse random measures in R^d, we consider the problems of: constructing their optimal multicoupling in a mean square sense (a.k.a. Procrustes analysis); and of determining their Fréchet mean with respect to the Wasserstein metric. Though these problems admit explicit solutions when d=1, they are considerably more challenging when d>1. To attack them, we exploit the geometry of Wasserstein space, and specifically the relation between its tangent bundle and the class of optimal coupling maps. This allows us to determine the gradient of the Fréchet functional and show that the two problems at hand represent two sides of the same coin: gradient descent for the Fréchet mean reduces to a Procrustes algorithm, requiring only successive solution of pairwise coupling problems, thus being practically feasible; and the optimal maps obtained as a bye-product can be used to explicitly construct the optimal multi-coupling. We show how these results can be used in order to consistently solve the problem of registration of warped spatio-temporal point processes in an entirely nonparametric fashion, by means of appropriate regularisation. Kind regards, Giacomo Zanella The DEC statistics seminars schedule is available at http://www.unibocconi.eu/statseminar 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 arianna.colombo(a)unibocconi.it

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seminario Fabio Antonelli a Roma Tor Vergata
by Anna Vidotto 27 Sep '19

27 Sep '19

Dear all, I would like to announce the following talk that will be held on Friday, October 4th 2019, at 4:30 PM, in Aula Dal Passo of the Department of Mathematics, University of Rome Tor Vergata. Speaker: Fabio Antonelli Title: CVA and vulnerable options in stochastic volatility model Abstract: CVA adjustment in order to evaluate correctly derivatives subject to default risk has become more and more important in the past decade, especially when Wrong Way Risk, that is an increase in the product's price when deterioration of credit occurs. Considering the most common stochastic volatility models, we express WWR in terms of the correlation between asset's price and default event, that is described exploiting the so called intensity approach. When intensity follows an affine process, we are able to parametrize this correlation and, applying accurately Ito's formula, to suggest a Taylor polynomial approximation of CVA. Some numerical results showing the efficiency of the method are provided. 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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Postdoc Position in Luxembourg
by Giovanni Peccati 26 Sep '19

26 Sep '19

Dear Colleagues, please find below an announcement for a post-doc position in Probability Theory at Luxembourg University. Best Regards, Giovanni ----------------------------- *Postdoc position in Luxembourg for March 2020 (deadline for submission of application: December 15th)* University of Luxembourg, campus Belval (Funded by the FNR project APOGee) Applications are invited for a postdoctoral fellowship in the field of stochastic analysis at the University of Luxembourg. The postdoc is funded by the FNR project APOGee. The project is about Malliavin calculus, Stein's method, and related topics, in a broad sense. Areas of interest include stochastic analysis and its interplay with other fields of mathematics (in particular, but not exclusively, functional analysis and geometry). The position is for 2 years (24 months), with a competitive salary and travel allowances. The starting date is March 1st, 2020. Applications, including a CV, a list of publications and a research statement must be sent to Ivan Nourdin (ivan.nourdin(a)uni.lu) Applicants should also arrange for two letters of recommendation to be sent to the same address. Applications will be evaluated first after *December 15th*, and then on a rolling basis until the position is filled. Requests for further information about the position should be also sent to the same address. -------------- -- Prof. Giovanni Peccati ------------------------------------------ UR en Mathématiques Faculté des Sciences, de la Technologie et de la Communication ------------------------------------------ Université du Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

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Third Haifa Probability School, 24-28 Feb 2020
by Marco Romito 26 Sep '19

26 Sep '19

---------- Forwarded message --------- Da: *Leonid Mytnik*<leonid(a)ie.technion.ac.il <mailto:leonid@ie.technion.ac.il>> Date: mer 25 set 2019 alle ore 13:44 Subject: Third Haifa Probability School, 24-28 Feb 2020 On behalf of the organizers, I would like to advertise *the third Haifa probability school (HPS3)*, which will be held during *24/2/2020 – 28/2/2020 *in *the Technion*, *Haifa, Israel.* The school aims at introducing current trends in probability theory to young scholars (mainly PhD students and postdocs). As usual, the school will consist of three mini-courses, which are given this year by: *Ivan Corwin (Columbia University)* *Grégory Miermont (ENS Lyon)* *Ron Rosenthal (Technion, Haifa)* In addition, several talks on related subjects will be given by: *Guillaume Barraquand (ENS Paris, France),* *Christina Goldschmidt (Oxford, UK),* *Kostya Khanin (U. of Toronto, Canada),* *Sayan Mukherjee (Duke, US),* *Omer Bobrowski (Technion, Israel).* We have limited financial support, which can be used towards covering the cost of accommodation in Haifa (and in some cases also travel). Preference will be given to those who register early. For further information, visit our (continuously updated) website: https://hps3.net.technion.ac.il/ Participation in the school is free, but requires filling out the *online registration form*, which is accessible from the website. *_Please also help us spread the word, by for warding this email to anyone who may be interested, including your students and postdocs, or through your university probability mailing list._* Best wishes, Leonid Mytnik. (On behalf of the organizers: Omer Bobrowski, Dima Ioffe, Oren Louidor, Ron Rosenthal and Lorenzo Zambotti.) --------------------------------------- Prof. Leonid Mytnik Faculty of Industrial Engineering and Management, Technion --- Israel Institute of Technology, Haifa 32000, Israel

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