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An Autumn Day in Probability and Statistical Physics
by Francesca Romana Nardi 29 Nov '17

29 Nov '17

Carissimi, scrivo per annunciare che il 15 Dicembre 2017 si svolgera` il secondo incontro della serie di giornate sulla probabilita` e le sue applicazioni alla Fisica, Biologia e Scienze sociali. Ricordo che lo scopo e` di stimolare lo scambio di idee, la collaborazione scientifica tra i partecipanti e offrire ai piu` giovani l'opportunita` di venire a contatto con un ampio panorama di temi di ricerca. L'incontro si svolgera` in un'aula universitaria vicino alla stazione di Firenze S. Maria Novella, per rendere piu` agevole la partecipazione. Di seguito trovate i dettagli della giornata AN AUTUMN DAY IN PROBABILITY AND STATISTICAL PHYSICS University of Florence Friday 15 December 2017 Lecturers: Milton Jara (IMPA) and Nikos Zygouras (Warwick) Location: Aula Magna di Via S. Gallo 10, Firenze Dr. Milton Jara (IMPA: Istituto de Matematica Pura e Aplicada, Rio de Janeiro, Brasil) Title: Weak universality of the stationary KPZ equation Dr. Nikos Zygouras (University of Warwick, Coventry, UK) Title: Combinatorial structures in KPZ stochastic models Program: 11.00-11.45 Introductory lecture: Jara 11.45-12.00 Break 12.00-12.45 Seminar: Jara 13.00-14.30 Lunch 14.30-15.15 Introductory lecture: Zygouras 15.15-15.30 Break 15.30-16.15 Seminar: Zygouras Organizers: F. Caravenna N. Cancrini E.N.M. Cirillo P. Dai Pra A. De Masi D. Fanelli F. Flandoli C. Giardina` R. Livi F. Martinelli I.G. Minelli F.R. Nardi E. Presutti B. Scoppola E. Scoppola Note pratiche: 1) E` importante prenotare il biglietto del treno il piu` presto possibile per poter usufruire di sconti!!!! 2) Stiamo prenotando un ristorante con un paio di menu fissi che possa ospitarci, ma ho bisogno del numero di persone che vogliono mangiare insieme. A coloro che fossero interessati chiedo di mandare un email a francescaromana.nardi(a)unifi.it Resta fermo il fatto che saremo in pieno centro di Firenze, quindi ci sono moltissime altre possibilita` per mangiare se preferite regolarvi indipendentemente. Vi aspettiamo, Francesca R. Nardi Dipartimento di Matematica e Informatica Università degli Studi di Firenze Viale Morgagni 67, Firenze, Italy

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2018 ABS Summer School on Bayes and Sport (Como, Italy)
by Consonni Guido 29 Nov '17

29 Nov '17

We are glad to announce that the 2018 Applied Bayesian Statistics Summer School (15th edition) will be held in the magnificent Villa del Grumello, Como (Italy) along the Lake Como shore. BAYESIAN STATISTICAL MODELLING AND ANALYSIS IN SPORT 4-8 June, 2018 Lecturer: Kerrie MENGERSEN, Distinguished Professor of Statistics, Queensland University of Technology, Brisbane, Australia. Further details are provided below. Guido Consonni and Fabrizio Ruggeri ABS18 Directors Raffaele Argiento ABS18 Executive Director ------------------------------------------------------------------------ ******************************* * ABS18 * ******************************* Applied Bayesian Statistics School BAYESIAN STATISTICAL MODELLING AND ANALYSIS IN SPORT Villa del Grumello, Como, Italy 4-8 June, 2018 Lecturer: Kerrie MENGERSEN, Distinguished Professor of Statistics, Queensland University of Technology, Brisbane, Australia. The conference webpage is >>>> web.mi.imati.cnr.it/conferences/abs18.html <<<< Registration is now open. Please note that the conference room allows only for a limited number of participants. The ABS18 Secretariat can be contacted at fabrizio(a)mi.imati.cnr.it COURSE OUTLINE The aim of this course is to increase students' ability to develop Bayesian models and computational solutions for real problems in the world of sport. A case study based teaching approach will be taken for the course. Each day, students will be presented with one or two problems posed by Sports Institutes regarding aspects of athlete training for world games. Through participatory problem solving, the students will be challenged to learn about theory, methods and applications of a range of Bayesian models including mixtures, spatio- temporal models, hidden Markov models and experimental design, and computational approaches including Markov chain Monte Carlo and Approximate Bayesian Computation. This hands-on course pays equivalent attention to theory and application, foundation and frontiers in Bayesian modelling and analysis. While the focus of the case studies is on sport, both sporting novices and lovers of sports are welcome, noting that the learning obtained in the course will be widely applicable to many other areas. COURSE SCHEDULE Day 1: Lectures on introduction to Bayesian modelling and computation. Presentation of Problem 1: ranking and benchmarking athletes. Discussion and implementation of potential Bayesian hierarchical models and computational solutions. Communication of results. Day 2: Lectures on foundational Bayesian theory. Presentation of Problem 3: modelling swimmers' effective work per stroke. Discussion and implementation of potential Bayesian high dimensional regression models and computational solutions. Communication of results. Presentation of Problem 4: modelling cyclists' wearable data. Discussion and implementation of potential (marked) time series models and computational solutions. Communication of results. Day 3: Lectures on foundational Bayesian computation. Presentation of Problem 5: optimising athletes' resilience. Discussion and implementation of potential Bayesian mixture models to relate performance, fatigue and recovery. Communication of results. Day 4: Lectures on foundational Bayesian computation and frontier Bayesian theory. Presentation of Problem 6: optimal sampling strategies. Discussion and implementation of potential Bayesian experimental design methods for acquiring data from athletes. Presentation of Problem 7: using video data to compare planned and set play in team sports. Discussion and implementation of potential Bayesian spatio-temporal models. Communication of results. Day 5: Lectures on frontier Bayesian computation. Finalisation of problems 1-7. Extensions. Concluding remarks. PRACTICAL INFORMATION The school will replicate the successful format of the previous years, and will feature lectures and practical sessions (run by a junior researcher), as well as participants' talks. It will start on Monday after lunch and end on Friday before lunch; Wednesday afternoon is free. Accommodation is available either at the Villa guesthouse or in downtown hotels (info will appear soon on the website). Como can be easily reached by train from Milan and its airports. More details are available on the website.

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Seminario C. Olivera @ UniTo
by Cristina Zucca 29 Nov '17

29 Nov '17

A tutti gli interessati. Lunedì 4 dicembre alle ore 14:30 in aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, il Prof. Christian Olivera (Universita` di Campinas) terrà un seminario dal titolo: "On a class of stochastic transport equations for L^2_loc vector fields" Abstract: //In this talk we discuss the existence and uniqueness of solutions to a class of stochastic transport equations with irregular coefficients. Asking only boundedness of the divergence of the coefficients (a classical condition in both the deterministic and stochastic setting), we can lower the integrability regularity required in known results on the coefficients. This is based on a joint work with Ennio Fedrizzi and Wladimir Neves. -- 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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seminar at LUISS
by Marco Scarsini 27 Nov '17

27 Nov '17

Tuesday December 5, at 12:00 room 209 LUISS Viale Romania 32 00197 Roma, ITALY Speaker: Tim Roughgarden (Stanford University) Title: Data-Driven Optimal Auction Theory Abstract: The traditional economic approach to revenue-maximizing auction design posits a known prior distribution over what bidders are willing to pay, and then solves for the auction that maximizes the seller's expected revenue with respect to this distribution. But where does this distribution come from? One obvious answer is from data, in the form of previous bids by comparable bidders in auctions for comparable items. We survey recent work that develops theory to help reason about questions such as: (i) How much data is necessary and sufficient to identify a near-optimal auction? (ii) What is the optimal way to use data? (iii) Are there fundamental trade-offs between auction complexity and auction optimality? ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Deadline extension - Quantitative Finance Workshop 2018 - Uniroma3
by Francesco Cesarone 27 Nov '17

27 Nov '17

==================================================================== EXTENSION OF THE DEADLINE TO DECEMBER 7TH QFW2018 XIX edition of the Workshop on Quantitative Finance Department of Business Studies - Roma Tre University, Rome, Italy 24-25-26 January 2018 http://disa.uniroma3.it/qfw2018/ ==================================================================== Dear Colleagues, Due to several requests, the deadline for submitting an Extended Abstract is extended to December 7th, 2017. We recall that there is no registration fee, conference sponsors will provide coffee-breaks, lunches and the social dinner. Furthermore, several research prizes connected with the conference could be made available for young researchers (for more details see http://disa.uniroma3.it/qfw2018/#1488886813070-37410e9c-f120) We also organized several satellite events before the conference: 1) on 15-16-17-18-19-22-23 January 2018, Prof. Mustafa Pinar of Bilkent University in Ankara will hold an intensive course on Optimization in Economics and Finance; 2) on 23 January 2018, Mathworks <https://www.mathworks.com/>Researchers will organize a mini-workshop; 3) on 24 January 2018, Advanced Risk and Portfolio Management (ARPM <https://www.arpm.co/>) Researchers will organize a mini-workshop. The attendance of these three events is free, but for organizational reasons it is necessary to register by sending an email to francesco.cesarone(a)uniroma3.it with the following subjects: for event 1): Name Surname - course on Optimization; for event 2): Name Surname - Mathworks mini-workshop; for event 3): Name Surname - ARPM mini-workshop. We look forward to meeting you in Rome! Best regards, The organizing committee -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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Seminario MLADEN SAVOV (presso Federico II - dip di Matematica)
by Bruno Toaldo 27 Nov '17

27 Nov '17

Lunedì 4 dicembre alle ore 15 in aula E al III livello del dipartimento di Matematica e Applicazioni "Renato Caccioppoli" dell'Università degli Studi di Napoli Federico II si svolgerà il seguente seminario: Speaker: Mladen Savov (Bulgarian Academy of Sciences) Titolo: Bernstein-gamma functions and exponential functionals of Lévy processes Abstract: In this talk we introduce a new class of special functions, called Bernstein-gamma functions. This simple class extends the classical Gamma function. We derive the Stirling asymptotic and describe the main analytic properties of the class of Bernstein-gamma functions. We then use these functions to evaluate explicitly the Mellin transform of the so-called exponential functionals of Levy processes which in turn allows a thorough study of these random variables. We also discuss the link between the Bernstein-gamma functions and many quantities related to one-dimensional self-similar Markov processes. The latter suggests that Bernstein-gamma functions can play the same role the Gamma function plays in the understanding of many continuous path stochastic processes. This is joint work with Pierre Patie (Cornel, US) Tutti gli interessati sono invitati a partecipare. Bruno Toaldo

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Fwd: Ausschreibung der Stochastikstelle (W3 professorship in Ulm)
by Marco Romito 26 Nov '17

26 Nov '17

The Faculty of Mathematics and Economics at Ulm University invites applications for a Professorship (W3, associate) in "Stochastics" to be filled by 1 October 2018. Candidates should have an internationally outstanding research and teaching record in Stochastics (Probability Theory and Mathematical Statistics) as well as experience in the acquisition of third party funding. The research focus should be in the area of Stochastics at the interface with Analysis (e.g. Stochastic Partial Differential Equations) with relations to applications in the natural or life sciences or in engineering. A particular interest in collaborations within the various research areas of Ulm University and with further local research institutions is desired. The teaching includes courses for students in our mathematical and teacher training programmes as well as mathematical courses for students in other study programmes. Conditions for appointment are a completed course of studies at a university, pedagogical aptitude, doctorate and additional academic qualification (§ 47 LHG). Ulm University is committed to increase the share of women in research and teaching and therefore explicitly encourages female candidates to apply. Applications with the usual documents (including CV, teaching experience, the three most important publications, and certificates of academic degrees and other relevant verifications) are due by 5 January 2018 to the Dean of the Faculty of Mathematics and Economics, Prof. Dr. Alexander Lindner, Ulm University, D-89069 Ulm, (Phone: +49 731 50 23500, Fax: +49 731 50 23610, http://www.uni-ulm.de/mawi) Please send all documents in electronic form in one single PDF file (Email: mawi.dekanat(a)uni-ulm.de) indicating the reference number 118 in the subject line. Physically disabled applicants receive favourable consideration when equally qualified.

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Prize Fellow positions at the University of Bath (UK)
by Ilaria Prosdocimi 26 Nov '17

26 Nov '17

Dear all, May I bring to your attention the University-wide Prize Fellowship at the University of Bath (UK): http://www.bath.ac.uk/campaigns/university-of-bath-prize-fellowships-in-the… In particular there is one fellowship at the Department of Mathematical Sciences for fellows interested in working on probability & its connections and one fellowship at the Institute fro Mathematical Innovation (IMI) for fellows interested in working on Machine learning, Statistics and data science or Mathematical modelling in industry. Please share this with whoever you think might be interested to apply - links for the specific posts are given below. Best wises Ilaria Prosdocimi https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=SF5354 - Faculty of Science Fellowship https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=SF5353 - IMI Fellowship

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Post-doctoral positions in Paris (deadline december 1st)
by Cristina Toninelli 25 Nov '17

25 Nov '17

The Fondation Science Mathematiques de Paris (FSMP) offers *postdoctoral positions of one or two years in mathematics and computer science available from october 2018*. *20 postdoctoral years* will be provided in total. Find here the detailed offer: https://www.sciencesmaths-paris.fr/en/postdoctoral-programmes-247.htm *Online applications until December 1st:* https://www.sciencesmaths-paris.fr/en/2012-2013- postdoctoral-positions-380.htm Please forward this information to your students or to any interested person. Best regards, Gaël Octavia Responsable de la communication Fondation Sciences Mathématiques de Paris www.sciencesmaths-paris.fr IHP - 11 rue Pierre et Marie Curie 75231 Paris Cedex 05 communication(a)fsmp.fr Tél : 33 (0)1 44 27 67 70 Fax : 33 (0)1 44 27 68 04

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EFI3, February 15-16, 2018, Pescara (Italy): deadline approaching
by Tiziano Vargiolu 23 Nov '17

23 Nov '17

(sorry for cross-postings) Dear all, we are glad to invite you to contribute and take part in the third edition of the workshop Energy Finance Italia, this time held in Pescara (Italy) on February 15-16, 2018 http://energyfinanceitalia.dtdns.net/index.php/efi3 A selection of papers contributed to the workshop will be published on the Journal of Energy Markets. Call for papers: acceptance of submissions has started. The deadline for extended abstract submission is November 26, 2017. The format of the abstract is maximum two pages, in pdf, in which the name of the presenting Author and the title of the presentation have to be specified. The abstract should be sent to the address energyfinanceitalia(a)gmail.com Fees: 100 euros per person. They include session break refreshments, lunches and the social dinner. Instructions about how to pay will be given soon. EFI3 Young Investigator Training Program ---------------------------------------- The network of Italian universities behind EFI3 will participate in a competitive call of the Associazione di Fondazioni e di Casse di Risparmio (ACRI) named 'YOUNG INVESTIGATOR TRANING PROGRAM'. If financed, this program will allow our network to issue some grants to young researchers (younger than 40 years of age) working outside Italy (Italian or not) to facilitate them 1) to participate to the EFI3 workshop, and 2) to spend one month in one of the universities of the network. These grants will be awarded on a competitive basis. ACRI is expected to announce the results of its financing competition by the end of December 2017. News about this initiative will appear on the website http://energyfinanceitalia.dtdns.net/index.php/efi3 We all hope to see you all in Pescara! Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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PhD Positions at IST Austria
by Giovanni Alessandro ZANCO 23 Nov '17

23 Nov '17

Dear Colleague, The Institute of Science and Technology Austria (IST Austria) is looking for highly qualified candidates to apply for our ISTScholar PhD program. We offer fully-funded PhD positions in the natural and mathematical sciences in a world-class research environment on the outskirts of Vienna. The research topics that might interest students in your department include: Mathematics Barton Mathematical Models of Evolution Edelsbrunner Algorithms, Computational Geometry and Topology Erdős Mathematical Physics, Probability Fischer Theory of Partial Differential Equations, Applied and Numerical Analysis Hausel Geometry and its Interfaces Maas Stochastic Analysis, Optimal Transport Seiringer Quantum Statistical Mechanics, Mathematical Physics Wagner Discrete and Computational Geometry and Topology Our PhD program is characterized by innovative training with a special focus on interdisciplinarity, close mentoring by outstanding faculty within small research groups, and access to first-rate facilities. Students spend the first year completing coursework and rotations before choosing a thesis group and passing the qualifying exam. Our PhD graduates have gone on to top positions in academia and industry all over the world. Students with a bachelor’s or master’s degree in a relevant field are encouraged to apply. We offer internationally competitive salaries co-funded by an EU Marie Sklodowska-Curie grant, full health benefits, and subsidized on-campus housing in the first year. For more information about the ISTScholar PhD program and application process, as well as faculty profiles, please visit our website at http://phd.ist.ac.at. The deadline for PhD applications is January 8th 2018 for a start date in September 2018. Yours sincerely, Hania Köver, Ph.D. Head of the Graduate School Office Institute of Science and Technology Austria Giovanni Zanco Stochastic Analysis group Institute of Science and Technology Austria gradschool(a)ist.ac.at Am Campus 1 3400 Klosterneuburg Austria ---------------------------------- Download our 2018 PhD open call flyers here: https://phd.pages.ist.ac.at/downloads/

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seminario di probabilità a Pavia
by benedetta.ferrario 22 Nov '17

22 Nov '17

Mercoledi` 29 novembre alle ore 14:30 in aula Beltrami del Dipartimento di Matematica dell'Università di Pavia si svolgerà il seguente seminario: *Titolo* On a class of stochastic transport equations for L^2_loc vector fields *Relatore * Christian Olivera (Universita` di Campinas) *Abstract *In this talk we discuss the existence and uniqueness of solutions to a class of stochastic transport equations with irregular coefficients. Asking only boundedness of the divergence of the coefficients (a classical condition in both the deterministic and stochastic setting), we can lower the integrability regularity required in known results on the coefficients. This is based on a joint work with Ennio Fedrizzi and Wladimir Neves. Tutti gli interessati sono invitati a partecipare.

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Seminario di Probabilita' e Statistica Matematica a Roma 1
by Faggionato, Alessandra 21 Nov '17

21 Nov '17

Buongiorno, Martedi' 28 Novembre alle ore 14.00 ci sara' il seguente seminario in Aula di Consiglio (Dipartimento di Matematica, Universita' La Sapienza) : *Speaker: *Lorenzo Dello Schiavo (Institut für Angewandte Mathematik — Universität Bonn) *Title: *Two characterizations of Dirichlet—Ferguson measures *Abstract:* We consider the Dirichlet—Ferguson (DF) measure, a random probability on a locally compact Polish space X introduced by Ferguson in [1]. The measure has ever since found many applications, widely ranging from Bayesian non-parametrics to population genetics and stochastic dynamics of infinite particle systems. Firstly, we compute the characteristic functional of DF measures (addressing, if time permits, connections of these measures with Lie algebra theory and Pólya Enumeration Theory). Secondly, we prove a characterization of DF measures via a Mecke-type integral identity. Profiting of connections between DF measures and Poisson measures on configuration spaces, we argue how DF measures may be regarded as ‘canonical' measures on the space P(X) of Borel probability measures on X. Partly based on joint work with E. W. Lytvynov, University of Swansea, Wales, UK. [1] Ferguson, T. S., Ann. Stat. 1(2), pp. 209-230, 1973 Cordialmente, Alessandra -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Job Posting - four fixed term lectureships at Ca' Foscari University of Venice
by Antonella Basso 20 Nov '17

20 Nov '17

Ca’ Foscari University of Venice invites expressions of interest for four fixed term lectureships (“ricercatore a tempo determinato tipo a, rtdA”) in the Department of Economics. The positions are for three years with the possibility of an extension for two more years conditional on a positive evaluation by the department. There is also the possibility to apply for tenure track positions before the end of the contract. - The first position is in applied economics. - The second position is in econometrics. - The third position is in energy economics. - The fourth position is in Financial mathematics, mathematics for economics, actuarial sciences Applications should be received by December 10th, 2017. Further information on the web page: https://econjobmarket.org/postings.php?posid=4838 best regards, Antonella Basso -- Antonella Basso Prorettore alla Programmazione e Valutazione - Prorector at Planning and Valuation Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 E-mail address: basso(a)unive.it Web page: http://www.unive.it/data/persone/5591751

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Reminder - Call for Papers - Quantitative Finance Workshop 2018 - Uniroma3
by Francesco Cesarone 20 Nov '17

20 Nov '17

Dear Colleagues, We take great pleasure to invite you to attend the XIX edition of the Workshop on Quantitative Finance that will be held at the Department of Business Studies - University Roma Tre on 24-25-26 January 2018. The official website is http://disa.uniroma3.it/qfw2018/ After the great success of the previous edition at the University of Milano-Bicocca, we repeat the same conference format, lasting two days and a half (from Wednesday 24 January afternoon to Friday 26 January). The deadline for submitting an Extended Abstract is *26 November 2017*. Notification of acceptance will be given by 23 December 2017. The full paper for the discussant will have to be provided by 7 January 2018. We point out that there is no registration fee, conference sponsors will provide coffee-breaks, lunches and the social dinner. Furthermore, several research prizes connected with the conference could be made available for young researchers (for more details see http://disa.uniroma3.it/ qfw2018/#1488886813070-37410e9c-f120). Looking forward to seeing you in Rome! Best regards, The organizing committee -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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3-year Lecturership in Statistics at University of Leeds
by Tiziano De Angelis 17 Nov '17

17 Nov '17

Dear All, I am glad to announce that the School of Mathematics at the University of Leeds is advertising one post for a fixed term (3 years)* Lecturer in Statistics*. Please follow the link for details: https://jobs.leeds.ac.uk/Vacancy.aspx?ref=MAPMA1070 <https://jobs.leeds.ac.uk/Vacancy.aspx?ref=MAPMA1070> *Deadline for application: *31 December 2017. The expected interview dates are 5 February 2018. I would be most grateful if you could please forward this announcement to suitable candidates. Best wishes Tiziano

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avviso di seminario
by Marco Alessandro Fuhrman 16 Nov '17

16 Nov '17

Il giorno 22 novembre, alle ore 14.30, in Aula C del Dipartimento di Matematica dell'Università degli Studi di Milano (via Saldini, 50) il prof. Matteo Barigozzi (London School of Economics, Londra) terrà un seminario dal titolo "Statistical analysis of high-dimensional time series via factor models" Abstract High-dimensional time series are among the most common type of dataset available today, and have entered current practice in many areas, including meteorology, genomics, chemometrics, complex physics simulations, biological and environmental research, finance and econometrics. The analysis of such datasets poses significant challenges, both from a statistical as well as from a numerical point of view. Some of the most successful procedures so far have been based on dimension reduction techniques and, more particularly, on high-dimensional factor models which have been developed, essentially, within time series econometrics. In this talk I will first review the main results on the representation of high-dimensional stationary times series as generalized dynamic factor models. Then I will present two different estimation techniques based on principal component analysis and on Kalman filtering. Both a time and a frequency domain approach are considered. Last, some extensions to non-stationary time series are also discussed. Tutti gli interessati sono invitati a partecipare ------------------------------------------- Carati Andrea, Dipartimento di Matematica, Via Saldini 50, 20133 Milano, Italy ------------------------------------------- tel: ++39/02/5835.6139 fax: ++39/02/5835.6090 -------------------------------------------

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Fwd: Posizione aperta a Finscience
by enea giuseppe bongiorno 16 Nov '17

16 Nov '17

Ricevo ed inoltro posizione aperta presso finscience. Cordiali saluti, EB ---------- Forwarded message ---------- From: Alberto Santangelo <alberto.santangelo(a)finscience.com> Date: 2017-11-15 16:12 GMT+01:00 Subject: Posizione aperta a Finscience To: enea.bongiorno(a)uniupo.it Ciao Enea, Ti chiedo una cortesia: potresti girare la job description in allegato alle persone che secondo te potrebbero essere interessate? La figura che stiamo cercando deve avere un'esperienza dimostrabile in campo Natural Language Processing, e buone conoscenza statistico-matematiche. Non deve essere necessariamente una figura con molti anni di esperienza. Grazie -- [image: FinScience Srl] <http://www.finscience.com/> ALBERTO SANTANGELO FINANCIAL QUANTITATIVE ANALYST Office: (+39) 02 76281064 <+3902+76281064>Foro Buonaparte, 71 - Milano WWW.FINSCIENCE.COM <http://www.finscience.com/> Le informazioni contenute in questo messaggio email sono riservate e destinate esclusivamente al destinatario. In caso di ricevimento del presente messaggio da parte di soggetti diversi dal destinatario, questi è avvertito che qualsiasi uso, copia, diffusione di quanto in esso contenuto è assolutamente proibita. Se questa comunicazione Vi è pervenuta per errore, Vi preghiamo di rispondere a questa mail e successivamente cancellarla dal Vostro sistema. Information contained in this email is confidential and intended for the addressee only. Any use, copy or dissemination of this information by persons or entities other than the intended recipient is prohibited. If you receive this message in error, please reply to this e-mail and delete the material from your computer.

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Final announcement: "Winter school on Energy Systems", Eindhoven (NL), 11-15 December 2017
by Zocca, Alessandro 15 Nov '17

15 Nov '17

Dear colleagues, we are pleased to announce that the “Winter school on Energy Systems” will take place in the week of December 11-15, 2017, in Eindhoven (NL). This winter school is part of a longer tradition of workshops, called YEQT (Young European Queueing Theorists), organized annually by the Eurandom research institute for Stochastics located at the Eindhoven University of Technology. This year we organize the 11th edition of the YEQT workshop on the theme "Stochastic modelling and analysis of energy networks". This year’s YEQT has a different structure than usual, being structured as a winter school. The workshop consists of several tutorials presented by six renowned researchers: - Ana Bušić (INRIA, Paris) - James Cruise (Heriot-Watt University) - Pär Holmberg (Research Institute of Industrial Economics, Stockholm) - Pierre Pinson (Technical University of Denmark) - John Moriarty (Queen Mary University of London) - Kostya Turitsyn (MIT) Next to the tutorials, there will be 16 research talks given by invited young researchers and a poster session. For more information, program, titles and abstracts, we welcome you to take a look at the winter school webpage: https://www.eurandom.tue.nl/events/workshops/2017/YEQT_XI_2017/YEQT_XI_2017… Registration is free, but compulsory for organizational purposes (see the link in the webpage). Best wishes, Alessandro Zocca (Caltech) Nicolas Gast (INRIA, Grenoble) Fiona Sloothaak (Eindhoven University of Technology)

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Seminario di probabilità al Politecnico di Milano
by Fabio Zucca 15 Nov '17

15 Nov '17

Si avvisa che in data 23/11/2017, alle ore 10:00 precise, presso l'Aula Seminari del III piano del DIpartimento di Matematica del Politecnico di Milano si svolgerà il seguente seminario: Titolo: On segmentation with hidden, pairwise and triplet Markov models Relatore: Juri Lember, University of Tartu, Estonia Abstract: The well-known hidden Markov model (HMM) is a two-dimensional stochastic process (X,Y), where Y is a Markov chain and conditionally on Y, the X-process consists of independent random variables, the distribution of the random variable X_t depending on Y_t, only. Over the last decades, HMM's have become very popular stochastic models with applications to speech recognition, signal processing, linguistic, computational molecular biology and so on. Often the Y-process is unobserved (hidden) and the goal of the inference is to estimate its unobserved realization based on a realization of X-process. This task is called the segmentation problem and the standard ways to solve it is to use either maximum likelihood (so-called Viterbi) path or pointwise maximum likelihood (so-called PMAP) path. A trivial but important property of HMM is that the process Z=(X,Y) is itself a Markov process with a product state space. This observation allows naturally enlarge the class of HMM's to the class of pairwise Markov models (PMM) as follows: Z=(X,Y) is a PMM if Z has Markov property. Now it is clear that PMM's are a much larger class of models whose HMM\'s is just a little subclass. We briefly discuss several PMM's like Markov switching models and HMM's with dependent noise. It is important to note that if (X,Y) is a Markov process, then neither X nor Y need to have Markov property, but conditionally on X, the Y-process is Markov and vice versa. It turns out that many good properties of HMM's are mainly due to the Markov property of Z and hence these properties carry on to PMM's as well. In particular the well-known Viterbi and forward-backward algorithms apply and so standard segmentation approaches can be applied in the case of PMM's. Moreover, PMM-models provide a rather flexible and realistic model for the homology of random sequences. A triplet Markov model (TMM), introduced by W. Pieczynski, is a three-dimensional Markov process (X,Y,U), where, as previously, X stands for observations and Y is the hidden state sequence of interest. But in addition, there is another hidden component U. Since conditionally on U, the pair (X,Y) is an inhomogeneous PMM, the U-component models now the change of environment. It turns out that adding the U-component makes the model really flexible. We give a general approach to the risk-based segmentation problem that also applies for PMM's and TMM's, discuss the weaknesses standard approaches and introduce a way to overcome these problems. We also discuss the asymptotics of Viterbi segmentation for PMM\'s. Tutti gli interessati sono invitati a partecipare Fabio Zucca

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Lectureship position in Probability and Statistics at the University of Birmingham
by Francesco Caravenna 15 Nov '17

15 Nov '17

Ricevo e inoltro. > Applications are invited for a Lectureship position in the School of > Mathematics at the University of Birmingham, in the area of > Probability and Modern Statistics, broadly defined, including any area > of statistics, probability theory, computational data analysis, > machine learning, or related areas. The position is full-time and > permanent. > > Detailed information about the position can be found under > > http://www.jobs.ac.uk/job/BFD545/lecturer-in-probability-and-modern-statist… > > For information on the department and the Birmingham Combinatorics and > Probability group, please visit > > http://web.mat.bham.ac.uk/combinatorics/ > > Application deadline: 13 December 2017 > > For informal enquiries, please contact Professor Daniela Kühn, > d.kuhn(a)bham.ac.uk or Professor Deryk Osthus, d.osthus(a)bham.ac.uk.

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Bernoulli Society New Researcher Award
by Antonio Di Crescenzo 15 Nov '17

15 Nov '17

> > > > > >Dear fellow members of the Bernoulli Society, >The Bernoulli Society welcomes submissions to >the New Researcher Award. The details about the >award can be found below. We would very much >appreciate it if you could share this >information with anyone who might be interested >in applying. >Many thanks in advance! > >Best wishes, >Parthanil Roy - Youth Representative >Leonardo T. Rolla - Membership Secretary > > >Bernoulli Society New Researcher Award > >The Bernoulli Society welcomes submissions to >the New Researcher Award. Each awardee will >deliver a 30-minute talk at the ISI World >Statistics Congress in Malaysia in 2019, and >will receive funding (up to EUR 1000) to >compensate for travel and other expenses. >Bernoulli News will publish announcements >including each awardee's picture and a piece >about their work. > >Candidates should submit a 3-page synopsis of >their presentation, along with their CV, >to <mailto:ber.soc.yra@gmail.com>ber.soc.yra(a)gmail.com by February >28, 2018. > >To be eligible, candidates should: > >- be active researchers in Mathematical Statistics; >- at the time of submission, be regular members of the Bernoulli Society >- have received their PhD within the last >5 years (female candidates get 1 extra year for >each child born since receiving the PhD). > > > --

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MSP - 2018
by gianluca cassese 14 Nov '17

14 Nov '17

The University of Milano Bicocca jointly with the University of Pavia and University Bocconi is pleased to announce the first workshop on: "THE MATHEMATICS OF SUBJECTIVE PROBABILITY" to be held in Milan on 3-5 September 2018. We aim at putting together researchers from such diverse fields as probability, statistics, gambling, game theory or economics who view probability as a mathematical model of subjective attitudes. Contributed talks and sessions are welcome and will undergo a regular refereeing process (submission deadline: March 31; notification of acceptance: April 30). Further details: https://sites.google.com/view/MSP-2018 The Organizing Committee: Gianluca Cassese, Pietro Rigo and Barbara Vantaggi -- *Gianluca Cassese* ------------------------------------------------------------------------------- Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa Università degli Studi di Milano-Bicocca via Bicocca degli Arcimboldi, 8 - 20126, Milan, Italy Building U7 - Room 2097 -------------------------------------------------------------------------------

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seminario Chiara Corsato
by Emanuela Rosazza 13 Nov '17

13 Nov '17

Si avvisa che il giorno lunedì 20 novembre alle ore 15 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula 4026) si terrà il seguente seminario: Speaker: Chiara Corsato (Università di Trieste) Titolo: “Weak Dutch Books: the lose-or-draw case with lower previsions” Abstract: This seminar is devoted to present some recent results obtained in the field of Imprecise Previsions. We introduce the general topic evidencing the link with risk measures and we concentrate on the notions of convex and Williams' coherent imprecise previsions. These concepts are interpreted in a betting scheme, following de Finetti's approach to subjective probability. Uncertainty assessments for imprecise previsions based on those consistency conditions require that the suprema of certain random numbers, interpreted as gains, are non-negative. The extreme situation that a supremum is zero represents what is called a Weak Dutch Book (WDB). The core of this presentation aims to analyse the properties of WDBs with convex and Williams' coherent imprecise previsions. Namely, we show that WDB assessments ensure a certain `local precision' property and imply, in the agent's evaluation, some kind of `protection' against real losses. Further, these properties vary with the consistency notion we adopt, tending to vanish with the weaker one of convexity. A generalisation of the classical strict consistency notions is also discussed, in order to rule out the extreme situations caused by WDBs. Tutti gli interessati sono invitati a partecipare. Un saluto cordiale, Emanuela ******************************************************************************************* 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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Assistant Professor and Postdoctoral Fellow in Financial Mathematics at Dublin City University
by Paolo Guasoni 11 Nov '17

11 Nov '17

Dear Colleague, Dublin City University has two openings in Financial Mathematics: Assistant Professor (Permanent) https://www4.dcu.ie/sites/default/files/hr/lecturer_financial_maths_nov_201… Postdoctoral Fellow (Two-year) https://www4.dcu.ie/sites/default/files/hr/postdoct_financial_maths_nov_201… The closing date for both applications is January 7th, 2018. With best regards, Paolo Guasoni -- *Séanadh Ríomhphoist/Email DisclaimerTá an ríomhphost seo agus aon chomhad a sheoltar leis faoi rún agus is lena úsáid ag an seolaí agus sin amháin é. Is féidir tuilleadh a léamh anseo. <https://www4.dcu.ie/iss/seanadh-riomhphoist.shtml>This e-mail and any files transmitted with it are confidential and are intended solely for use by the addressee. Read more here. <https://www4.dcu.ie/iss/email-disclaimer.shtml>* -- <https://www.facebook.com/DCU/> <https://twitter.com/DublinCityUni> <https://www.linkedin.com/company/dublin-city-university> <https://www.instagram.com/dublincityuniversity/?hl=en> <https://www.youtube.com/user/DublinCityUniversity>

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