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Fwd: IHP TRIMESTER : Disordered systems, random spatial processes and some applications/ Systèmes désordonnés, processus spatiaux aléatoires et certaines applications
by Cristian Giardina 31 Jan '14

31 Jan '14

---------- Forwarded message ---------- From: random15 <random15(a)ihp.fr> Date: Thu, Jan 30, 2014 at 1:46 PM Subject: IHP TRIMESTER : Disordered systems, random spatial processes and some applications/ Systèmes désordonnés, processus spatiaux aléatoires et certaines applications To: Cristian Giardina <cristian.giardina(a)unimore.it> Dear Colleague, It is our pleasure to announce a programme on "Disordered systems, random spatial processes and some applications" organized by the Emile Borel Centre from the Henri Poincare Institute in Paris from January 5th to April 3rd, 2015. Organizers: J-P. Bouchaud, P. Contucci, C. Giardina, P. Nolin, V. Sidoravicius, V. Vargas Information on the programme can be found on: www.ihp.fr/en/CEB/T1-2015 or *random15.dm.unibo.it/ <http://random15.dm.unibo.it/>* * Registration is free and recommended* *to participate to:* - the trimester + workshops on: www.ihp.fr/en/program/13698/colloques/register - workshop(s) only on: www.ihp.fr/en/program/13698/colloques/register/nosignupprogram *BE CAREFUL:* *Deadline to apply for financial support is June 2nd**, 2014.* At the beginning of the programme a one week pre school will take place at the CIRM Marseille "Introductory school at CIRM" and 3 workshops will be organized during the trimester: Statistical physics methods in social and economic systems Spin glasses, random graphs and percolation Interacting particles systems and non-equilibrium dynamics We are looking forward to welcoming you! PS: do not hesitate to forward this email to your colleagues. **************************************************** Cher Collegue, Nous avons le plaisir de vous annoncer l organisation d un programme sur les " Systemes desordonnes, processus spatiaux aleatoires et certaines applications" au Centre Emile Borel de l Institut Henri Poincare a Paris, du 5 janvier au 3 avril 2015. Les organisateurs: J-P. Bouchaud, P. Contucci, C. Giardina, P. Nolin, V. Sidoravicius, V. Vargas Vous pouvez consulter le programme a l adresse suivante: www.ihp.fr/fr/CEB/T1-2015 ou directement a cette adresse: *random15.dm.unibo.it/ <http://random15.dm.unibo.it/>* *L inscription au programme est gratuite et recommandee **sur l adresse suivante:* - pour le trimestre + conferences: www.ihp.fr/fr/program/13698/colloques/register - ou uniquement pour le/les conferences: www.ihp.fr/fr/program/13698/colloques/register/nosignupprogram *Attention:* *Date limite pour les supports financiers: 2 juin 2014* Le trimestre debutera par une pre ecole d une semaine au CIRM de Marseille. Pendant ce trimestre, 3 conferences seront organisees: Statistical physics methods in social and economic systems Spin glasses, random graphs and percolation Interacting particles systems and non-equilibrium dynamics C est avec plaisir que nous vous accueillerons a Paris. PS: merci par avance de bien vouloir transmettre ce courriel a vos collegues. -- Claire Berenger Organisation Assistant random15(a)ihp.fr CNRS UPMC - Institut Henri Poincare Centre Emile Borel 11, rue Pierre et Marie Curie - 75005 Paris Bureau 206 Tel: 01 44 27 67 64 Fax: 01 44 07 09 37www.ihp.fr Decouvrez la chaine de l'institut Henri Poincare<http://www.youtube.com/user/PoincareInstitute> <http://www.youtube.com/user/PoincareInstitute>.

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Avviso di Seminario -- Dott. Robert Knobloch
by Federico Polito 31 Jan '14

31 Jan '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Lunedì 10 Febbraio alle ore 15 in Aula S presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, il Dott. ROBERT KNOBLOCH (Department of Mathematics -- Saarland University) terrà un seminario dal titolo "An Itō type formula and related properties for convoluted Lévy processes" Abstract: In this talk we derive moment and path properties as well as an Itō type formula for a large class of convoluted Lévy processes M(t) that in particular contains fractional Lévy processes. To this end we make use of the S-transform, which is defined as the expectation under a suitable change of measure and results in Hitsuda-Skorokhod integrals appearing in our main results. For the general version of our Itō type formula we assume that the underlying Lévy process has a nontrivial Gaussian component and use this assumption to prove that the characteristic function of M(t), under the aforementioned changed measure, has nice integrability properties. This enables us to weaken the conditions in the Itō type formula compared to related results in the literature. Tutti gli interessati sono invitati a partecipare. Federico Polito -- Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy

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Fwd: Workshop "Teorie Matematiche della Crisi"
by marina pireddu 30 Jan '14

30 Jan '14

Cari Colleghi, vi segnaliamo il workshop "Teorie Matematiche della Crisi" che si terrà in Bicocca i prossimi 6 e 7 Febbraio. Trovate il programma in allegato. Tutti gli interessati sono invitati a partecipare. Un caro saluto, Marina Pireddu ed Ahmad Naimzada

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PhD position with deadline tomorrow
by Camilla Pisani 30 Jan '14

30 Jan '14

PhD position in Lund with deadline tomorrow: http://www.lunduniversity.lu.se/o.o.i.s?id=24914&Dnr=575675&Type=E _____________________ Camilla Pisani HPCFinance project-Phd student Aarhus University Business and Social Sciences Fuglesangs Allé 4 8210 Aarhus V, Denmark T: +45 87166015 M: cpisani(a)econ.au.dk W: http://au.dk/en/ cpisani(a)econ.au.dk [bslogo_mail_equis_stor_uk] Business and Social Sciences is a broad business school constituting one of four new main academic areas at Aarhus University. Business and Social Sciences is the largest university unit within business and social sciences in Denmark, encompassing a wide range of academic disciplines, outstanding research environments and strong degree programmes.

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course at GSSI L'Aquila
by davide gabrielli 29 Jan '14

29 Jan '14

The course of Maria Eulalia Vares: TOPICS IN SPECIAL INTERACTING PARTICLE SYSTEMS will start Tuesday February 4 at 16 pm and will continue up to February 27 with the following timetable: Tuesday: 16-18 Wednesday: 9-11 Thursday: 9-11 At Gran Sasso Science Institute, L'Aquila

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Seminario Probabilità a Roma Tre il 04-02-2014
by pietro caputo 29 Jan '14

29 Jan '14

Seminario di Probabilità a Roma Tre Alexandre Stauffer (University of Bath) Titolo: Mixing time of random walks on dynamical percolation Martedi' 04 Febbraio 2014 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 211 Largo San L. Murialdo,1 Abstract We study the behavior of random walk on dynamical percolation. In this model, the edges of a graph G are either open or closed and refresh their status at rate mu while at the same time a random walker moves on G at rate 1 but only along edges which are open. On the d-dimensional torus with side length n, we prove that in the subcritical regime, the mixing times is of order n^2/mu. We also obtain results concerning mean squared displacement and hitting times.This is a joint work with Yuval Peres and Jeff Steif.

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Re: [Random] JoMaC - Call-for-Paper for Special Issue (fwd)
by Tiziano Vargiolu 28 Jan '14

28 Jan '14

---------- Forwarded message ---------- Date: Mon, 27 Jan 2014 15:39:37 +0100 From: paolo pellizzari <paolop(a)unive.it> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: AW: JoMaC - Call-for-Paper for Special Issue caro Tiziano, please circulate the following call for paper http://www.springer.com/business+%26+management/accounting/journal/187: for a special issue "Simulation in Management Accounting and Management Control" of JoMaC. Details and deadlines in the attached file. grazie e saluti, paolo pellizzari -- Dept. of Economics Ca' Foscari University of Venice - ITALY email: paolop(a)unive.it http://virgo.unive.it/paolop @paolopellizzari Gli uomini son bestie rare, son capitomboli di allegria, sono carretti da trascinare, sono gomitoli di fantasia. (Scraps Orchestra, "Rosso di sera")

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Correzione data - Seminario I. Crimaldi
by alessandra bianchi 27 Jan '14

27 Jan '14

Giovedì 6 febbraio, alle ore 15:00, presso l'aula Seminario VII del Dipartimento di Matematica di Padova la Prof.ssa Irene Crimaldi (IMT Lucca) terra' il seguente seminario TITLE: Asymptotic Results for some Preferential Attachment Models with Random Weights ABSTRACT: Various asymptotic results will be shown for the "randomly reinforced" versions of three popular models: Polya urn, Poisson-Dirichlet sequence and Indian buffet process. The main central limit theorem will be stated for an arbitrary sequence of real random variables. Indeed, although this result has been thought for urn problems, it deals with the general problem of the rate of convergence of predictive distributions and empirical distributions for dependent data. The main references are: - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "A central limit theorem and its applications to multicolor randomly reinforced urns", J. Appl. Probab., 48(2), 527-546 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for multicolor urns with dominated colors", Stochastic Processes and their Applications, 120(8), 1473-1491 - F. Bassetti - I. Crimaldi - F. Leisen, "Conditionally identically distributed species sampling sequences", Adv. Appl. Probab., 42(2), 433-459 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for an Indian buffet model with random weights", forthcoming in Annals of Applied Probability -- Alessandra Bianchi Dip. di Matematica Pura e Applicata Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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Seminario di Probabilità - Università di Padova
by alessandra bianchi 27 Jan '14

27 Jan '14

Ho il piacere di invitarvi al seguente seminario, che si terrà mercoledì 5 febbraio, alle ore 15:00, nell'aula 1BC45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Prof.ssa Irene Crimaldi AFFILIATION: IMT- Institute for advanced studies -Lucca TITLE: Asymptotic Results for some Preferential Attachment Models with Random Weights ABSTRACT: Various asymptotic results will be shown for the "randomly reinforced" versions of three popular models: Polya urn, Poisson-Dirichlet sequence and Indian buffet process. The main central limit theorem will be stated for an arbitrary sequence of real random variables. Indeed, although this result has been thought for urn problems, it deals with the general problem of the rate of convergence of predictive distributions and empirical distributions for dependent data. The main references are: - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "A central limit theorem and its applications to multicolor randomly reinforced urns", J. Appl. Probab., 48(2), 527-546 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for multicolor urns with dominated colors", Stochastic Processes and their Applications, 120(8), 1473-1491 - F. Bassetti - I. Crimaldi - F. Leisen, "Conditionally identically distributed species sampling sequences", Adv. Appl. Probab., 42(2), 433-459 - P. Berti - I. Crimaldi - L. Pratelli - P. Rigo, "Central limit theorems for an Indian buffet model with random weights", forthcoming in Annals of Applied Probability -- Alessandra Bianchi Dip. di Matematica Pura e Applicata Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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Seminario di Fabio Gobbi a Bologna
by giacomo.scandolo＠univr.it 27 Jan '14

27 Jan '14

Il giorno Giovedì 30 Gennaio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna si terrà il Seminario del Dott. Fabio Gobbi Dipartimento di Scienze Statistiche, Università di Bologna Titolo: C-CONVOLUTION AND ITS APPLICATION TO FINANCE Abstract In ﬁnancial applications is interesting to determine the distribution function of the sum of two random variables X and Y in the case where they are dependent. We address the problem using the convolution operator which recovers the distribution of X+Y when a copula function C describes the dependence structure and the marginal distributions of the two r.vs. are given. Nevertheless, almost all the ﬁnancial data are generated by stochastic processes. Our C-convolution approach allows to build dependent increments processes since setting X = X(t-1) − and Y = DX, their sum is X_t . In this framework we model the dependence structure between the level of the process and its next increment. From an empirical point of view, ﬁnancial data are time series and the econometric analysis is provided by the concept of conditional copula introduced by Patton (2006) which allows us to deﬁne the conditional 𝐶-convolution as a data generating process. We estimate such a model by a three-stage maximum likelihood method and we provide some asymptotic results of this estimator. An immediate ﬁnancial application of such a method is given by a copula-based model to recover the distribution of actively managed funds. The analysis is based on a general representation of the Henriksson Merton (1981) model, in which the forecasting ability of the asset manager is modeled with a copula function (linking the forecasts of the asset manager and actual market movements). This is a convolution-based copula yielding at the same time the marginal distribution of the return on the managed fund and the dependence structure between the managed fund and the market. The model is very well suited to estimate and simulate the conditional distribution of managed funds.

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