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Postdoc in Financial Mathematics at Dublin City University
by Paolo Guasoni 16 Dec '22

16 Dec '22

Dear Colleague, Dublin City University has a Postdoctoral position (Two-year) in Financial Mathematics https://www.dcu.ie/sites/default/files/inline-files/RF1781%20Postdoctoral%2… The closing date for the application is January 22nd, 2022. With best wishes of Merry Christmas and Happy New Year, Paolo Guasoni -- <https://www.facebook.com/DCU/> <https://twitter.com/DCU> <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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SPASS seminar: Andrea Papini - TUE 20.12 at 14:00
by Andrea Agazzi 16 Dec '22

16 Dec '22

Dear Colleagues, We would like to invite you to the following SPASS <https://sites.google.com/unipi.it/spass> seminar, jointly organized by UniPi, SNS, UniFi and UniSi: *Turbulence Enhancement in Kinetic Coagulation Equations* by Andrea Papini (Scuola Normale Superiore di Pisa) The seminar will take place in person on *TUE, 20.12.2022 at 14:00 CET* in Aula Seminari, Department of Mathematics, University of Pisa and streamed online here <https://meet.google.com/gji-phwo-vbg>. The organizers, A. Agazzi, G. Bet, A. Caraceni, F. Grotto, G. Zanco https://sites.google.com/unipi.it/spass -------------------------------------------- *Title: Turbulence Enhancement in Kinetic Coagulation Equations* *Abstract: A Smoluchowski type model of coagulation in a turbulent fluid is given, heuristically expressed by means of a stochastic model of a system of second-order (microscopic) coagulating particles, then in a suitable scaling limit as a deterministic model with enhanced diffusion in the velocity component. Existence, uniqueness and regularity is proven under different initial conditions in suitable weighted spaces for the spatially-homogeneous PDE. A precise link between mean intensity of the turbulent velocity field and coagulation enhancement is obtained by numerical simulations.* *Based on joint works with Franco Flandoli and Ruojun Huang.*

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Seminar by Salvatore Scognamiglio in Milano (21.12.22)
by Valeria Bignozzi 15 Dec '22

15 Dec '22

Dear all, you're invited to the seminar that will take place, in hybrid mode, at the Department of Statistics and Quantitative Methods, University of Milano-Bicocca. More details: 21st of December 2022, h 16:30, Aula seminari 4026, Building U7, 4th floor Department of Statistics and Quantitative Methods, University of Milano-Bicocca Webex Link: https://unimib.webex.com/unimib/j.php?MTID=mcd5a40a675fd6136e8c3be8a8ead4143 Join by meeting number Meeting number (access code): 2742 148 3807 Meeting password: x3765HJJdRf (93765455 from phones) Speaker: Salvatore Scognamiglio Title: ''Deep learning models for longevity risk'' Abstract: In recent decades, the mortality rates of most developed countries have been gradually declining due to improvements in public health, medical advances, lifestyle changes and government regulation. Although longevity improvement is an obvious benefit for society, it could also represent a risk for governments and insurance companies. Indeed, they could get in financial trouble if they do not adequately consider these longevity improvements for retirement planning and life insurance product pricing. The risk that future mortality and life expectancy outcomes turn out differently than expected is typically called longevity risk, and its management requires stochastic mortality projection models. We introduce a neural network (NN) to fit the Lee-Carter models and some of its extensions on multiple populations. The NN architecture is specifically designed to calibrate each individual model using all available information instead of using a population-specific subset of data as in the traditional estimation schemes. An extensive set of numerical experiments performed on all the countries of the Human Mortality Database shows the effectiveness of our approach. In particular, the resulting parameter estimates appear smooth and less sensitive to the random fluctuations often present in the mortality rates’ data, especially for low-population countries. In addition, the forecasting performance results significantly improved as well. Best regards, Valeria ********************************************** Valeria Bignozzi Professore associato di Metodi Matematici dell’Economia e delle Scienze Attuariali e Finanziarie Dipartimento di Statistica e Metodi Quantitativi (DiSMeQ), Università degli Studi di Milano-Bicocca, Edificio U7

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Annuncio Seminario Sapienza - Giacomo Greco
by Lorenzo Taggi 14 Dec '22

14 Dec '22

Martedì 20 Dicembre, ore 14:00, Sapienza Università di Roma, Dipartimento di Matematica, Sala di Consiglio *Speaker: *Giacomo Greco (Eindhoven University of Technology TU/e) *Titolo:* Travelling through turnpikes in the Kinetic Schrödinger Problem *Abstract:* The Schrödinger problem consists in finding the most likely evolution of a system of i.i.d. particles, conditionally on their initial and final configurations. In the last decade this problem has become more and more popular, thanks to its connections with stochastic optimal control theory and optimal transport. In this talk we are going to introduce a Schrödinger problem where the particles follow an (underdamped) Langevin dynamics (i.e. their density satisfies the kinetic Fokker-Planck equation) and where we are given only a partial observation of the initial and final configurations. Then, we will investigate the long-time behaviour of this kinetic system, proving that its most likely evolution is exactly the one that spends most of the time exponentially close to the equilibrium configuration (this property is commonly known in stochastic control theory as the turnpike property). Based on the paper Electron. J. Probab. 27: 1-32 (2022). DOI: 10.1214/22-EJP850

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10 PhD positions at HetSys Warwick - deadline Jan 25 2023
by Massimiliano Tamborrino 14 Dec '22

14 Dec '22

Dear all, the HetSys Centre for Doctoral Training<https://warwick.ac.uk/fac/sci/hetsys> at Warwick is opening 10 fully funded PhD positions for a start in October 2023, with deadline for applying on the 25th January 2023 (more details are reported below). Among other projects, I'm supervising, together with Tim Sullivan, a project on "Probabilistic learning for time-parallel solvers of complex models", see https://warwick.ac.uk/fac/sci/hetsys/themes/continuum/hp2023-04/ The project is suitable for anyone with a background in mathematics, statistics, or computer science. It will involve both programming and theoretical analysis, although the exact balance can be tuned to the interests and skills of the successful candidate. Please get in touch if you are interested and pass the message to potentially interested candidates. Best, Massi ------ Dr. Massimiliano Tamborrino Assistant Professor Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino --------- 10 Fully Funded PhD Positions within HetSys Centre for Doctoral Training at Warwick for October 2023 start HetSys<https://warwick.ac.uk/fac/sci/hetsys> is an EPSRC-supported Centre for Doctoral Training (CDT) which trains people to challenge current state-of-the-art in computational modelling of heterogeneous, real-world systems across a range of research themes spanning quantum<https://warwick.ac.uk/fac/sci/hetsys/themes/quantum/availableprojects/>, atomistic<https://warwick.ac.uk/fac/sci/hetsys/themes/atomistic/availableprojects/> and continuum<https://warwick.ac.uk/fac/sci/hetsys/themes/continuum/availableprojects/> models of materials and molecules. The HetSys team are now recruiting our fifth cohort of enthusiastic students from across the physical sciences who enjoy using their mathematical skills and thinking flexibly to solve complex problems to join our EPSRC Centre for Doctoral Training in Modelling of Heterogeneous Systems at the University of Warwick, UK. Our exciting range of new PhD projects<https://warwick.ac.uk/fac/sci/hetsys/themes/projectopportunities/> for Oct 2023 can be found on our webpage<https://warwick.ac.uk/fac/sci/hetsys/>. HetSys is built around a closely knit, highly collaborative team of academics from science departments across Warwick (this year including Physics, Engineering, Chemistry, Life Sciences, Mathematics, Statistics and the Warwick Manufacturing Group) at Warwick. With its project partners HetSys is developing talented, energetic PhD students to push boundaries in this exciting field. The students will inspire new ideas, approaches and innovation and become future leaders in developing new technologies. Full funding is available for 10 candidates, including those who meet the required UK residency criteria plus a small number of international students. We require at least a 2(i) honours degree at BSc or an integrated masters degree (e.g. MPhys, MChem, MSci, MEng etc.) in a physical sciences, mathematics or engineering discipline. The studentships pay a stipend to cover maintenance as well as paying the university fees and research training support. The stipend is at the standard UKRI rate (for 2022/23 that is £17,668 per annum) The first-round deadline for all applicants is 25 January 2023. Interviews will be held shortly after this closing date. Please pass this message on to potentially interested candidates. For more details of the HetSys training programme and our current PhD Projects see the HetSys webpage at https://warwick.ac.uk/hetsys or contact us by email at hetsys(a)warwick.ac.uk<mailto:hetsys@warwick.ac.uk>.

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Seminar by A. Awerkin in Padova (Friday 16.12.2022)
by Giorgia Callegaro 13 Dec '22

13 Dec '22

Dear all, you're invited to the next seminar in Probability and Finance, that will take place on Friday 16th December, at 15.30, in hybrid mode at the Mathematics Department of the University of Padova. More details: * *Speaker*: *Almendra Awerkin* (Università di Brescia) * *Date and time*: 16th December 2022, 3.30 pm * *Room (Torre Archimede)*: room 702 * *Zoom link*: please find it at https://www.math.unipd.it/~bianchi/seminari/ * *Title*: *Optimal investment and fair sharing rules of the incentives for renewable energy communities * * *Abstract*: In order to face climate and energy objectives, as reduction of GHG emission and energy independency, countries start to promote sustainable energy plans. In the research for solutions to achieve such goals, Renewable Energy Communities (REC) start to play an important role. A REC is defined as a cooperative, non-profit organization of final customers, which can involve different stakeholders, such as municipalities, local societies, public and private companies, with the purpose of self-producing and self-consuming energy from renewable sources. Recently, the Italian government introduced an incentive tariff for REC. The special feature of this tariff is that it rewards the shared energy from the installation of new renewable sources. Shared energy is defined as the demand of the community which is satisfied by the self-production of energy. In this context, two relevant problems have to be solved: the optimal investment in new technologies and a fair division of the incentive among the community members. In this talk we address this problem by modeling an energy community as a static leader follower problem, where the leader, which can be understood as the administrator or coordinator of the REC, decides the percentage of the incentive that correspond to each member of the community, while the followers, represented by the members of the community, decide how much initially invest in new renewable energy production. We identified the optimal division of the incentive (leader) with a Nash bargaining solution. Additionally, we supposed a competitive game between the community members (followers) and we identified the initial optimal investment solution with a Nash equilibrium. We finish the talk by presenting some extension of our model, partial results and work in progress related to the optimal investment and management of energy communities. See you soon, thanks, Giorgia Callegaro -- Giorgia Callegaro Associate Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Two open positions at BCAM - Bilbao
by Gianni Pagnini 13 Dec '22

13 Dec '22

Dear colleagues, I would like to remind you that we have open at BCAM in Bilbao two positions: one PostDoc and one Research technician. The Research technician is intended as a bridge contract after the Master and before to start a PhD. The deadline for both positions is the 16th of December 2022, with a possible extension of two weeks. Here are the corresponding links: Postdoc. Research program "Stochastic Modelling and Simulation of Anomalous Diffusion" http://www.bcamath.org/en/research/job/ic2022-10-postdoctoral-fellow-on-eff… <http://www.bcamath.org/en/research/job/ic2022-10-postdoctoral-fellow-on-eff…> Research technician. Research program "Data Analysis for Anomalous Diffusion in Biological Media" http://www.bcamath.org/en/research/job/ic2022-10-research-technician-on-eff… <http://www.bcamath.org/en/research/job/ic2022-10-research-technician-on-eff…> For any question, you can get in contact with me: gpagnini(a)bcamath.org <mailto:gpagnini@bcamath.org> Thank you very much. Sincerely, Gianni Ps: further open positions at BCAM can be found at http://www.bcamath.org/en/research/job <http://www.bcamath.org/en/research/job> — Gianni Pagnini Ikerbasque Research Associate BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org | www.bcamath.org/gpagnini ( matematika mugaz bestalde )

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LUISS Math Seminars: Katia Colaneri, Thursday 15 December
by Alessandro Calvia 13 Dec '22

13 Dec '22

Dear all, I am pleased to announce the next seminar in the LUISS math seminars series. Speaker: Katia Colaneri, Università di Roma Tor Vergata. Title: Some Optimisation Problems in Insurance with a Terminal Distribution Constraint. Abstract: We study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time T follows a certain target distribution. First, we allow the insurance company to pay dividends and seek to maximise the expected discounted dividend payments or to minimise the ruin probability under the terminal distribution constraint that the surplus is Gaussian with given mean and variance. Here, we find explicit expressions for the optimal strategies in both cases, when the dividend strategy is updated at discrete points in time and continuously in time. Second, we let the insurance company buy a reinsurance contract for a pool of insured or a branch of business. In this setting we only allow for piecewise constant reinsurance strategies producing a normally distributed terminal surplus, whose mean and variance lead, e.g. to a given Value-at-Risk at some confidence level alpha. We investigate the question which admissible reinsurance strategy produces a smaller ruin probability, if the ruin-checks are due at discrete deterministic points in time. This presentation is based on an joint work with Julia Eisenberg (TU Vienna) and Benedetta Salterini (Univ. of Firenze) The seminar will take place on Thursday, 15 December at 12:00 PM in Room A202 - viale Romania 32, Roma. You can also attend the seminar online, at the link: https://luiss.webex.com/luiss/j.php?MTID=md2a2fee18ee7ce119c87b0babc7754c2 User: w_guest(a)luiss.it<mailto:w_guest@luiss.it> Password: iXqHekc0W7Q Best regards, Alessandro Calvia Alessandro Calvia Assistant Professor Dipartimento di Economia e Finanza Luiss Libera Università Internazionale degli Studi Sociali Guido Carli Viale Romania, 32 - 00197 Roma T +39 0685225907 acalvia(a)luiss.it<mailto:acalvia@luiss.it> www.luiss.it<http://www.luiss.it/> https://luiss.webex.com/meet/acalvia

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Seminar in Statistics - MARTA CATALANO
by Pierpaolo De Blasi 12 Dec '22

12 Dec '22

SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.carloalberto.org/events/category/seminars/seminars-in-statistic…> Venerdi 16 Dicembre 2022, alle ore 12.00, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Speaker: *Marta Catalano* (University of Warwick) Title: *Optimal transport to measure the impact of the prior in Bayesian nonparametrics* Abstract: The Dirichlet process has been pivotal to the development of Bayesian nonparametrics, allowing one to learn the law of the observations through closed-form expressions. Still, its learning mechanism is often too simplistic and many generalizations have been proposed to increase its flexibility, a popular one being the class of normalized completely random measures. Here we investigate a simple yet fundamental matter: will a different prior actually guarantee a different learning outcome? To this end, we develop a new framework for assessing the merging rate of opinions based on three leading pillars: i) the investigation of identifiability of completely random measures; ii) the measurement of their discrepancy through a novel optimal transport distance; iii) the establishment of general techniques to conduct posterior analyses, unravelling both finite-sample and asymptotic behaviour of the distance as the number of observations grows. Our findings provide neat and interpretable insights on the impact of popular Bayesian nonparametric priors, with very mild assumptions on the data-generating process. ------------------------------------------------ Sarà possibile seguire il seminario anche in streaming: Join Zoom Meeting <https://us02web.zoom.us/j/84498069342?pwd=ZkJOcnlNalEybmlEdE1QUGFEczZmdz09> Il seminario è organizzato dalla "de Castro" Statistics Initiative www.carloalberto.org/stats -- Pierpaolo De Blasi University of Torino & Collegio Carlo Alberto carloalberto.org/pdeblasi <https://sites.google.com/a/carloalberto.org/pdeblasi/>

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PhD positions at the Maxwell Institute, Edinburgh
by Ottobre, Michela 09 Dec '22

09 Dec '22

Dear all, Heriot Watt and the Maxwell Institute, Edinburgh, are advertising a number of fully funded PhD Scholarships, of the duration of 3 and a half years. Applications are open in any area of Pure and Applied Mathematics, including (but not restricted to) Algebra, Mathematical Physics, Analysis of PDEs, Inverse Problems, Uncertainty Quantification, Calculus of Variations, Probability, Stochastic Analysis, Numerical Analysis, Mathematical Biology and Ecology, Modelling, Statistics, Computational Science, Actuarial Mathematics etc. The deadline for applications is 23rd of January 2023. We will accept applications also after this deadline, but best chances are before January 23rd. For information on our programmes, see the link below https://www.maxwell.ac.uk/graduate-school/ A description of (many of) the PhD projects offered by the HW research groups can be found here https://www.hw.ac.uk/uk/schools/mathematical-computer-sciences/research/phd… We actively promote Equality, Diversity and Inclusion and welcome applications from all qualified applicants. All the Best, Michela -------------------------------------- Michela Ottobre Associate Professor in Mathematics Heriot-Watt University ________________________________ Founded in 1821, Heriot-Watt is a leader in ideas and solutions. With campuses and students across the entire globe we span the world, delivering innovation and educational excellence in business, engineering, design and the physical, social and life sciences. This email is generated from the Heriot-Watt University Group, which includes: 1. Heriot-Watt University, a Scottish charity registered under number SC000278 2. Heriot- Watt Services Limited (Oriam), Scotland's national performance centre for sport. Heriot-Watt Services Limited is a private limited company registered is Scotland with registered number SC271030 and registered office at Research & Enterprise Services Heriot-Watt University, Riccarton, Edinburgh, EH14 4AS. The contents (including any attachments) are confidential. If you are not the intended recipient of this e-mail, any disclosure, copying, distribution or use of its contents is strictly prohibited, and you should please notify the sender immediately and then delete it (including any attachments) from your system.

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