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Vienna Congress on Mathematical Finance 2025 - Submission Deadline: March 16
by Sandra Trenovatz 11 Mar '25

11 Mar '25

Vienna Congress on Mathematical Finance (VCMF 2025) Wednesday, July 9 - Friday, July 11, 2025 https://fam.tuwien.ac.at/vcmf2025/ ----------------------------------------------------- The call for contributed talks & posters is open until March 16, 2025. https://fam.tuwien.ac.at/vcmf2025/registration.php ----------------------------------------------------- Dear colleagues, the third Vienna Congress on Mathematical Finance (VCMF 2025) will be held from July 9-11, 2025, once again at the WU campus. The conference will bring together leading experts from various fields of Mathematical Finance such as: - Financial Economics - Green and Sustainable Finance (Electricity, Energy,...) - Insurance (Climate Risk, Cyber Risk, ...) - Statistics for Financial Markets and Large Language Models - Mean Field Games and Stochastic Control - New Technologies in Finance and Insurance (Computational Methods and Machine Learning, Cryptocurrencies, Limit Order Book and High Frequency Trading, Algorithmic Trading) - Optimal Transport (Robust Finance) - Portfolio Optimisation - Risk Management (Risk Allocation, Risk Aggregation, Credit Risk and Systemic Risk) - Rough Analysis in Finance and Insurance (Rough and Stochastic Volatility) The conference program will feature plenary lectures, parallel sessions with invited and contributed talks as well as poster sessions. Moreover, there will be an attractive social program. In the framework of a Panel Discussion on the theme "AI in Finance and Insurance" we offer the conference participants a platform for discussions with a number of renowned experts. The VCMF 2025 follows the successful previous editions VCMF 2019 and VCMF 2016. For further information including details on plenary and invited speakers see the conference homepage at: https://fam.tuwien.ac.at/vcmf2025/ We are looking forward to meeting you in July! With kind regards from the VCMF 2025 organizers, Christa Cuchiero, Julia Eisenberg, Zehra Eksi-Altay, Rüdiger Frey, Stefan Gerhold, Paul Krühner, Uwe Schmock, Josef Teichmann ----------------------------------------------------- Venue: Campus of WU Wien Welthandelsplatz 1, 1020 Vienna, Austria Jointly organized by: TU Wien University of Vienna WU Vienna - Vienna University of Economics & Business WPI - Wolfgang Pauli Institute Gold Sponsors: Bank Austria IQAM Invest Raiffeisen Bank International Silver Sponsors: Deloitte Meyerthole Siems Kohlruss (further sponsors are welcome) Plenary Speakers: - Eduardo Abi Jaber (Ecole Polytechnique, FR) - René Aïd (Université Paris-Dauphine, FR) - Caroline Hillairet (ENSAE-Paris, CREST, FR) - Marcel Nutz (Columbia University, US) - Aaditya Ramdas (Carnegie Mellon University, US) - Sara Svaluto-Ferro (University of Verona, IT) - Renyuan Xu (University of Southern California, US) - Stefan Zohren (University of Oxford, UK) Invited Speakers: - Hansjoerg Albrecher (University of Lausanne, CH) - Ofelia Bonesini (London School of Economics, UK) - Katia Colaneri (University of Rome Tor Vergata, IT) - Damir Filipovic (EPFL and Swiss Finance Institute, CH) - Ruimeng Hu (University of California, US) - Grégoire Loeper (BNP Paribas CIB, FR) - Yuri F. Saporito (Fundação Getulio Vargas, BR) - Konstantinos Spiliopoulos (Boston University, US) Additionally on the first day of the congress there will be a panel discussion with the title: "AI in Finance and Insurance" Moderator: - Josef Teichmann (ETH Zurich, CH) For further details see the schedule overview: https://fam.tuwien.ac.at/vcmf2025/speakers.php Important dates and deadlines: Submission: The call for contributed talks & posters is open until March 16, 2025. Acceptance/rejection letters will be sent until April 15, 2025 at the latest. Registration: Early registration is possible until April 30, 2025. Registration is possible until June 15, 2025. Submission and Registration: https://fam.tuwien.ac.at/vcmf2025/registration.php CPD - Continuing Professional Development for actuaries: VCMF 2025 is accredited by the Actuarial Association of Austria (AVÖ). Actuaries can earn up to 17 CPD points. For any requests, do not hesitate to write an e-mail to the conference managers Katrin Artner and Sandra Trenovatz <vcmf2025(a)fam.tuwien.ac.at> ----------------------------------------------------- "Le congrès danse beaucoup, mais il ne marche pas." ("The congress does not move forward, it dances.") Prince Charles de Ligne’s famous words at the Congress of Vienna (1814-1815) https://en.wikipedia.org/wiki/Congress_of_Vienna -----------------------------------------------------

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Fwd: Seminario di Matematica, Scienza & Società
by Faggionato, Alessandra 10 Mar '25

10 Mar '25

Ricevo e con piacere inoltro Saluti Alessandra ---------- Forwarded message --------- From: Teta, Alessandro <teta(a)mat.uniroma1.it> Date: Mon, 10 Mar 2025 at 17:07 Subject: Fwd: Seminario di Matematica, Scienza & Società %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Avviso di seminario di Matematica, Scienza & Società Lunedì 17 marzo 2025, alle ore 17.00 Aula Picone del Dipartimento di Matematica G. Castelnuovo di Sapienza Università di Roma *Michela Procesi* (Università di Roma Tre) *Moti ricorsivi e stabilità nei sistemi dinamici* Sommario Uno dei problemi fondamentali della meccanica è descrivere matematicamente i moti, per esempio il moto planetario o delle particelle in un fluido. A parte esempi specialissimi però, non ci si può aspettare di poter dare una descrizione esatta del comportamento in ciascun istante. In effetti in generale le evoluzioni temporali possono essere molto imprevedibili, ad esempio, in assenza di attrito, ci si aspetta la coesistenza di dinamiche ricorrenti e caotiche. In questo seminario discuterò principalmente modelli semplificati che sono piccole perturbazioni di sistemi di molle e mostrerò che già in questo caso si osservano vari fenomeni matematicamente interessanti e fisicamente significativi. Per le registrazioni dei seminari già svolti e altre informazioni visita il sito https://sites.google.com/view/alessandro-teta/matematica-scienza-e-societa?… F. Dell'Isola, M. Pulvirenti, E. Rogora, B. Scoppola, A. Teta %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% -- ************************************************* Prof. Alessandra Faggionato https://www1.mat.uniroma1.it/people/faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 123, first floor *************************************************

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Seminario Padova - Andrea Macrina
by alekos.cecchin＠unipd.it 10 Mar '25

10 Mar '25

Buongiorno a tutti, Vorremmo segnalarvi che venerdì prossimo (14 Marzo) in aula 2BC30 (Torre Archimede, Università di Padova) ci sarà un seminario per il ciclo di seminari in Probabilità e Finanza di: Andrea Macrina (UCL London) <https://amacrina.wixsite.com/macrina> https://amacrina.wixsite.com/macrina Title: Continuous-Time Quantile Processes with Applications in Finance and Insurance Date: March 14, 2025, at 16:30, room 2BC30 Abstract: We develop a novel approach for the construction of quantile processes governing the stochastic dynamics of quantiles in continuous time. Two classes of quantile diffusions are identified: the first, which we largely focus on, features a dynamic random quantile level that allows for direct interpretation of the resulting quantile process characteristics such as location, scale, skewness, and kurtosis, in terms of the model parameters. The second type are function--valued quantile diffusions and are driven by stochastic parameter processes, which determine the entire quantile function at each point in time. By the proposed construction method, quantile processes are obtained by transforming the marginals of a diffusion process under a composite map consisting of a distribution and a quantile function. Sub-classes of quantile diffusions are explored, with emphasis placed on the Tukey family of models whereby skewness and kurtosis are directly parameterised and thus the composite map is explicable with respect to such statistical behaviours. As an example of an application of quantile diffusions, we show how probability measure distortions, a form of dynamic tilting, can be induced. Though particularly useful in financial mathematics and actuarial science, examples of which are given in this work, measure distortions feature across multiple research areas. For instance, dynamic distributional approximations (statistics), non-parametric and asymptotic analysis (mathematical statistics), dynamic risk measures (econometrics), behavioural economics, decision making (operations research), signal processing (information theory), and not least in general risk theory including applications thereof. Vi aspettiamo numerosi! Alberto Chiarini e Alekos Cecchin Sito web del seminario: https://www.math.unipd.it/~chiarini/seminars/

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Seminars in Statistics at Collegio Carlo Alberto - Sahani PATHIRAJA (UNSW SYDNEY) and Quan ZHOU (TEXAS AMU)
by Matteo Giordano 08 Mar '25

08 Mar '25

SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.google.com/url?q=https://www.carloalberto.org/events/category/s…> Venerdì 14/03/2025, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente doppio seminario: ------------------------------------------------ 11.00-12.00 Speaker: Sahani PATHIRAJA (UNSW SYDNEY) Title: ON CONNECTIONS BETWEEN SEQUENTIAL BAYESIAN INFERENCE AND EVOLUTIONARY DYNAMICS Abstract: It has long been posited that there is a connection between the dynamical equations describing birth-death & evolutionary processes in biology (so-called ``replicator-mutator’’ dynamics) and sequential Bayesian learning methods. This talk describes new research in which this precise connection is rigorously established in the continuous time setting. Here we focus on a class of interacting particle methods for solving the sequential Bayesian inference problem which are characterised by a McKean-Vlasov Stochastic differential equation. Of particular importance is a piecewise smooth approximation of the observation path from which the discrete time filtering equations are shown to converge to a Stratonovich interpretation of the Kushner equation. This smooth formulation will then be used to draw precise connections between nonlinear filtering and replicator-mutator dynamics. Additionally, gradient flow formulations will be investigated as well as a particular form of replicator-mutator dynamics which is shown to be beneficial for filtering with misspecified models. It is hoped this work will spur further research into exchanges between sequential learning and evolutionary biology and to inspire new algorithms in filtering and sampling. 12.00-13.00 Speaker: Quan ZHOU (TEXAS AMU) Title: GENERATIVE MODELING USING SOFT-CONSTRAINED SCHRODINGER BRIDGE Abstract: Schrodinger bridge can be viewed as a continuous-time stochastic control problem where the goal is to find an optimally controlled diffusion process whose terminal distribution coincides with a pre-specified target distribution. We propose to generalize this problem by allowing the terminal distribution to differ from the target but penalizing the Kullback-Leibler divergence between the two distributions. We call this new control problem soft-constrained Schrodinger bridge (SSB). The main contribution of this work is a theoretical derivation of the solution to SSB, which shows that the terminal distribution of the optimally controlled process is a geometric mixture of the target and some other distribution. This result is further extended to a time series setting. One application is the development of robust generative diffusion models. We propose a score matching-based algorithm for sampling from geometric mixtures and showcase its use via a numerical example for the MNIST data set. Joint work with J. Garg and X. Zhang. ------------------------------------------------ Sarà possibile il seminario anche in streaming: chiunque volesse collegarsi è pregato di inviare una email entro *mercoledì 12/03/2025* a matteo.giordano(a)unito.it <mailto:matteo.giordano@unito.it> Il webinar 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, Matteo Giordano Assistant Professor (RTDA) Department of Economics, Social Studies, Applied Mathematics and Statistics (ESOMAS) www.matteogiordano.weebly.com <https://matteogiordano.weebly.com/>

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StatPhys29 Satellite Conference: "Non-equilibrium statistical physics: mathematical and physical advances", Florence 21-25 July 2025:
by luca.avena＠unifi.it 07 Mar '25

07 Mar '25

Dear colleagues, We are pleased to announce the upcoming StatPhys29 Satellite Conference: "Non-equilibrium statistical physics: mathematical and physical advances", Florence 21-25 July 2025: https://sites.google.com/view/nesp-2025 Research on non-equilibrium statistical physics has been developing rapidly and today represents a theme of growing interest worldwide. Fundamental ideas, methods and techniques have gradually made their way from statistical physics into probability theory and mathematical physics, where they lead to new problems and new solutions. This crossroad has developed into a very active research area over the past 10 years. In the proposed workshop the focus is on common concepts and tools and on the surprising new connections that have become available recently. Key topics that will be addressed at the conference are: (1) Non-equilibrium steady states of classical, quantum, and stochastic systems; (2) KPZ universality; (3) integrable quantum dynamics; (4) hydrodynamic limit and large deviations; (5) anomalous transport. The satellite meeting aims at gathering major experts in these fields, with the goal of exchanging ideas and setting the stage for further progress. Registration Details: This Satellite Conference is open to everybody. There is the possibility of a few contributed talks. • Deadline: April 30, 2025. • Please register via https://sites.google.com/view/nesp-2025 • There is no registration fee. Feel free to share this invitation with anyone who may be interested. Best regards, L. Avena, F. Colomo, C. Giardina', P. Goncalvez, F. Essler, T. Sasamoto, H. Spohn.

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R: Seminario Padova - Marc Hoffman - zoom
by alekos.cecchin＠unipd.it 06 Mar '25

06 Mar '25

Buongiorno, Segnaliamo che il seminario di Marc Hoffman di domani (di seguito titolo e abstract) si potrà seguire anche su zoom. Di seguito il link Alekos Cecchin ti sta invitando a una riunione pianificata in Zoom. Argomento: Zoom meeting invitation - Riunione Zoom di Alekos Cecchin Ora: 7 mar 2025 02:30 PM Amsterdam, Berlino, Roma, Stoccolma, Vienna Entra nella riunione in Zoom https://unipd.zoom.us/j/85199623921?pwd=tEaW5MtO9cYnFp6cA4ZnHC6pgbZiCd.1 ID riunione: 851 9962 3921 Codice d’accesso: 292730 --- Un tocco su dispositivo mobile +17193594580,,85199623921# Stati Uniti +12532050468,,85199623921# Stati Uniti --- Componi in base alla tua posizione • +1 719 359 4580 Stati Uniti • +1 253 205 0468 Stati Uniti • +1 253 215 8782 Stati Uniti (Tacoma) • +1 301 715 8592 Stati Uniti (Washington DC) • +1 305 224 1968 Stati Uniti • +1 309 205 3325 Stati Uniti • +1 312 626 6799 Stati Uniti (Chicago) • +1 346 248 7799 Stati Uniti (Houston) • +1 360 209 5623 Stati Uniti • +1 386 347 5053 Stati Uniti • +1 408 638 0968 Stati Uniti (San Jose) • +1 507 473 4847 Stati Uniti • +1 564 217 2000 Stati Uniti • +1 646 876 9923 Stati Uniti (New York) • +1 646 931 3860 Stati Uniti • +1 669 444 9171 Stati Uniti • +1 669 900 6833 Stati Uniti (San Jose) • +1 689 278 1000 Stati Uniti ID riunione: 851 9962 3921 Trova il tuo numero locale: https://unipd.zoom.us/u/km68cLJ8a --- Partecipa tramite SIP • 85199623921(a)zoomcrc.com --- Entra tramite H.323 • 144.195.19.161 (Stati Uniti Occidentali) • 206.247.11.121 (Stati Uniti Orientali) • 115.114.131.7 (Mumbai - India) • 115.114.115.7 (Hyderabad - India) • 159.124.15.191 (Amsterdam Paesi Bassi) • 159.124.47.249 (Germania) • 159.124.104.213 (Australia Sydney) • 159.124.74.212 (Australia Melbourne) • 170.114.180.219 (Singapore) • 64.211.144.160 (Brasile) • 159.124.132.243 (Messico) • 159.124.168.213 (Canada Toronto) • 159.124.196.25 (Canada Vancouver) • 170.114.194.163 (Giappone Tokyo) • 147.124.100.25 (Giappone Osaka) ID riunione: 851 9962 3921 Codice d’accesso: 292730 Da: alekos.cecchin(a)unipd.it <alekos.cecchin(a)unipd.it> Inviato: sabato 1 marzo 2025 20:31 A: random(a)mail.dm.unipi.it Cc: 'MARC HOFFMANN' <hoffmann(a)ceremade.dauphine.fr> Oggetto: Seminario Padova - Marc Hoffman Buongiorno a tutti, Vorremmo segnalarvi che venerdì prossimo (7 Marzo) in aula 2BC30 (Torre Archimede, Università di Padova) ci sarà un seminario per il ciclo di seminari in Probabilità e Finanza di: Marc Hoffman (Université Paris-Dauphine) <https://www.ceremade.dauphine.fr/~hoffmann/> https://www.ceremade.dauphine.fr/~hoffmann/ Title: Some questions in mathematical statistics linked to evolution PDEs Date: March 7, 2025, at 14:30, room 2BC30 Abstract: Evolution models in applications are often analysed via PDEs, interpreted as a macroscopic decription of the phenomenon of interest. This classical approach is nevertheless challenged by empirical data for model validation, especially when the phenomenon of interest does not depend on well established physical laws. In particular the statistical inference of parameters (estimation and testing) requires a underlying stochastic model. This is usullay treated via some addition of noise, sometimes artificially and always a bit arbitrarily. Relying on some specific examples that appear in population biology (cell growth, human demography) or agent-based models in economy, we propose an alternative approach. Starting from a microscopic stochastic model that can be partially observed and for which the PDE of interest is a mean-field limit, the intrinsic statistical noise becomes the fluctuation between the empirical measure of the particle system and the solution of the PDE. We will outline a rigorous statistical program in this setting and will give some results on McKean-Vlasov models that shall emphasise the interest of our approach. Vi aspettiamo numerosi! Alberto Chiarini e Alekos Cecchin Sito web del seminario: https://www.math.unipd.it/~chiarini/seminars/

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Call for interest: postdoc position at USI, Lugano, Switzerland
by Mira Antonietta 06 Mar '25

06 Mar '25

Antonietta Mira invites expression of interest for a Research Associate (not tenure track) / Postdoc position in Statistics / Data Science (ideally 100%, maximum duration 1.5 years) at Università della Svizzera italiana (USI), Lugano, Switzerland. The Position. The candidate will work with Prof. Mira (http://usi.to/exz) in a dynamic research team and in a multidisciplinary and international scientific environment. Information about ongoing projects is available upon request. The candidate is expected to present papers at scientific conferences and produce publications in high-ranking journals. Candidates’ profile Ideal candidates should satisfy the following requirements: • PhD in Statistics, Computer Science, or similar • Programming knowledge in Python and/or R • Fluent in English Contract terms. Workplace is USI Università della Svizzera italiana, located in Lugano, Switzerland. Starting date is as soon as possible, applications received before end of February 2025 will be given priority. However, the position will be kept open until a suitable candidate has been found. Long distance cooperation for part of the time can be discussed, as well as part time positions. The salary levels correspond to those set by the Swiss National Science Foundation for postdoctoral researchers (80.000 CHF per year, full time). The Application. Please send your expression of interest or requests for further information to Antonietta Mira (antonietta.mira(a)usi.ch) The Application procedure is quite easy. We will request (1) a letter in which the applicants describe their research interests, (2) a complete CV, (3) full transcript of records (does not need to be an official transcript), (4) a complete list of publications (5) contact information of 2 or 3 scientific references. The University. USI is a young and lively university, a hub of opportunity open to the world where students are offered a quality interdisciplinary education in which they can be fully engaged and take center stage, and where our researchers can count on having the space to freely pursue their initiative. Established in 1996, USI is in constant evolution, always taking on new challenges while remaining true to its three guiding principles: quality, openness and responsibility. USI strives to be an equal opportunity and family friendly employer and is further responsive to the needs of dual career couples. We guarantee that the selection process will give equal opportunities to female and male researchers. As an institution that values diversity, USI particularly encourages applications from women and from all individuals from underrepresented groups.

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Concorso da lecturer o professore associato in financial computing a UCL
by Germano, Guido 06 Mar '25

06 Mar '25

https://www.ucl.ac.uk/work-at-ucl/search-ucl-jobs/details?nPostingId=13253&… Lecturer/ Associate Professor in Financial Computing (Grade 8/9) Ref Number B04-05906 Professional Expertise Academic DepartmentUCL BEAMS (B04) Location London Working Pattern Full time Salary £66,711–£72,370 Contract Type Permanent Working Type On site Available for Secondment No Closing Date 28-Mar-2025 About us UCL’s Department of Computer Science (CS) is a top-ranked Computer Science Department in the UK. In the 2021 Research Excellence Framework (REF) evaluation, UCL Computer Science was ranked second in the UK for research power and first in England. The Financial Computing & Analytics Group is a leading research hub at the intersection of finance, data science, and technology. The group specialises in quantitative finance, machine learning, blockchain, and complex economic systems modelling, with strong ties to academia, industry, and policymakers. It also leads the UCL Centre for Blockchain Technologies and plays a key role in interdisciplinary collaborations across UCL and beyond. About the role The post holders will teach at undergraduate and graduate levels in areas allocated by the Head of Department or Director of Studies and carry out research and produce publications and other research outputs, in line with personal objectives agreed in the staff review process. They will also supervise or assist with supervision of undergraduate, taught graduate (Masters) or research graduate (MPhil/MRes/PhD/EngD) students. They will contribute to the development, planning and implementation of a high-quality curriculum, and to the development of learning materials. Additionally, they will be expected to secure research funding and actively engage in departmental, faculty and UCL-wide initiatives, working groups or committees. The post is advertised at Grade 8/9 with salary: Grade 8 (£52,487-£61,534), Grade 9 (£66,711- £72,370) inclusive of London Allowance per annum. Appointment at Grade 9 is dependent on evidence of a strong and sustained academic and research record. About you The successful candidate must hold a PhD in a relevant field (e.g., Computer Science, Physics, Mathematics, Economics) and demonstrate expertise in financial computing, quantitative finance, machine learning, complex systems modelling, or blockchain technologies. They should have a strong research track record, evidenced by high-quality publications and research outputs, as well as the ability to secure external research funding. The role requires excellent teaching skills, with experience in curriculum development, student supervision, and course delivery at undergraduate and postgraduate levels. Strong interpersonal, oral, and written communication skills are essential, along with the ability to work collaboratively in an interdisciplinary environment. A commitment to academic research, high-quality teaching, and fostering an inclusive learning environment is key. What we offer As well as the exciting opportunities this role presents, we also offer some great benefits some of which are below: • 41 Days holiday (27 days annual leave 8bank holiday and 6 closure days) • Additional 5 days’ annual leave purchase scheme • Defined benefit career average revalued earnings pension scheme (CARE) • Cycle to work scheme and season ticket loan • Immigration loan • Relocation scheme for certain posts • On-Site nursery • On-site gym • Enhanced maternity, paternity and adoption pay • Employee assistance programme: Staff Support Service • Discounted medical insurance Visit https://www.ucl.ac.uk/work-at-ucl/reward-and-benefitsto find out more. A job description and person specification can be accessed at the bottom of this page. To apply for the vacancy please click on the ‘Apply Now’ button below. If you have any queries regarding the vacancy or the application process, please contact Aste, Tomaso t.aste(a)ucl.ac.uk <mailto:t.aste@ucl.ac.uk> Our commitment to Equality, Diversity and Inclusion As London’s Global University, we know diversity fosters creativity and innovation, and we want our community to represent the diversity of the world’s talent. We are committed to equality of opportunity, to being fair and inclusive, and to being a place where we all belong. We therefore particularly encourage applications from candidates who are likely to be underrepresented in UCL’s workforce. These include people from Black, Asian and ethnic minority backgrounds; disabled people; LGBTQI+ people; and for our Grade 9 and 10 roles, women. Our department holds an Athena SWAN Bronze award, in recognition of our commitment to advancing gender equality. Available documents

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Fwd: International Seminar on SDEs and Related Topics: Laurent Denis - March14
by Gianmario Tessitore - UNIMIB 06 Mar '25

06 Mar '25

Diffondo con piacere Mario ============================================================================ Dear Colleague, *on Friday, March 14,* (12:30 noon London, 1:30 pm Berlin, 2:30 pm Helsinki, 8:30 pm Beijing) in the *International Seminar on SDEs and Related Topics* in Zoom https://jyufi.zoom.us/j/61891007917 *Laurent Denis* (Université du Maine, France) will speak about */BSDE with singular terminal condition: the continuity up to terminal time problem/ * Abstract: We study the limit behavior of the solution of a backward stochastic differential equation when the terminal condition is singular, that is it can be equal to infinity with a positive probability. In the Markovian setting and in the case where the equation is driven by a Brownian motion, Malliavin's calculus enables us to prove continuity if a balance condition between the growth w.r.t. /y/ and the growth w.r.t. /z/ of the generator is satisfied. We apply our result to liquidity problem in finance and to the solution of some semi-linear partial differential equation ; the imposed assumption is also new in the literature on PDE. Finally, we prove that if there are jumps (i.e. the operator of the PDE is non local), we observe a propagation of the singularity, contrary to the continuous case (local operator). This talk is based on several joint works with D. Cacitti-Holland and A. Popier. References: Cacitti-Holland D., Denis L., Popier A. Continuity problem for BSDE and IPDE with singular terminal condition,/Journal of Mathematical Analysis and Applications/, Vol. 543, issue 1 (2025). Cacitti-Holland D., Denis L., Popier A. Growth condition on the generator of BSDE with singular terminal value ensuring continuity up to terminal time, to appear in /Stochastic Processes and their Applications/ (2025). ABOUT THE SPEAKER: Laurent Denis is professor at the mathematical laboratory, LMM, of "Le Mans Université" in France, since 2013. Formerly, he was professor at "Université d’Evry » from 2005 to 2013.He received a PhD in Mathematics from University Paris VI in 1994 under the supervision of F. Hirsch and his habilitation from Le Mans University in 2012. From 2012 to 2023 he was also teaching at Ecole Polytechnique. His research interests are centered around uncertain models in finance, non-linear expectation, Stochastic Partial Differential Equations, Malliavin calculus for jump processes, Dirichlet forms and more recently Backward Stochastic Differential equations.. Besides numerous publications, he is the co-author with N. Bouleau of the monograph "Dirichlet Forms Methods for Poisson Point Measures and Lévy Processes » published in 2017. Welcome in the name of all the organizers Hannah Geiss For the dates and the list of the upcoming speakers go to http://users.jyu.fi/~chgeiss/seminar-on-sdes.html -- Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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Reminder to register for SPDEvent 2025
by Umberto PAPPALETTERA 05 Mar '25

05 Mar '25

Dear colleagues, This is a friendly reminder that the deadline for registrations to the SPDEvent 2025 is approaching. If you wish to participate and you haven't already registered and/or applied for funding, please do it now to secure your participation. We look forward to seeing you in Bielefeld! The organizers, Florian Bechtold Stefanie Berkemeier Theresa Lange Eliseo Luongo Umberto Pappalettera

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