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Seminar in Pisa: Trishen Gunaratnam
by Francesco Grotto 07 Jun '22

07 Jun '22

Dear Colleagues, we would like to invite you to the following seminar by Trishen Gunaratnam (University of Geneva) to be held tomorrow, Wednesday, June 8th, at Dipartimento di Matematica in Pisa and online via Google Meets. The organizers, A. Agazzi and F. Grotto -------------------------------------------- Location: Sala Seminari, Dipartimento di Matematica, Pisa Google Meet Link: https://meet.google.com/gji-phwo-vbg Time: June 8th 2022, 14:00-15:00 CET Speaker: Trishen Gunaratnam (University of Geneva) Title: Phi 4 via random currents Abstract: The phi 4 model is a simple candidate for a nontrivial euclidean field theory. From the point of view of statistical mechanics, however, it (rigorously or otherwise) exhibits a wide range of beautiful phenomena. I will survey some upcoming joint works with collaborators towards understanding some global probabilistic properties of this model, and highlight some irresistible conjectures. I hope to at least explain a probabilistic representation of correlations via a type of random current representation.

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Seminari generali IAC- Mercoledì 8 Giugno ore 14:30 - Daniela De Canditiis
by Domenico Marinucci 06 Jun '22

06 Jun '22

Cari colleghi vi segnalo l'appuntamento con i "Seminari generali IAC" fissato per Mercoledì 8 Giugno ore 14:30. Il link per seguire il seminario sul Canale Youtube Cnr-IAC è: https://www.youtube.com/watch?v=F6uQpsqgBD8 Speaker: Daniela De Canditiis Titolo: The adaptive Lasso estimator for INAR(p) time series and application to Hawkes processes Abstract: We propose an adaptive Lasso estimator for inferring the fertility function of a Hawkes stationary point process, without any assumption on its form. We study both the numerical and theoretical properties of this estimator. We will show its numerical advantages over the classical CLS estimator and over the non-adaptive Lasso estimator, both in simulation and when applied to a set of epidemiological data. The theoretical properties of this estimator will instead be obtained by embedding this problem in the more general one of estimating the coefficients of an AR(p) model with stationary noise. This last result has its own specific interest because it enlarges the applicability of the adaptive LASSO procedure to the case of more general time series than those usually treated in the literature. Grazie per l'attenzione, Domenico Marinucci -- @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ Domenico Marinucci Dipartimento di Matematica Università di Roma Tor Vergata https://www.mat.uniroma2.it/~marinucc/ @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@

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Avviso di Seminario
by Enrica Pirozzi 05 Jun '22

05 Jun '22

************************************************************** AVVISO di Seminario: Martedì 7 giugno 2022 ore 15:30, Aula F Dipartimento di Matematica e Applicazioni, Monte S.Angelo, Università di Napoli FEDERICO II Professor Enrico Scalas Department of Mathematics, University of Sussex Title: Time-Fractional Queuing Systems - Applications in G/G/1 queues and Double Auction models Abstract: We present some generalizations and limit theorems for the time-fractional G/G/1 queue, where arrivals and departures from the system come according to (independent) fractional Poisson processes. We then use some of these generalizations to develop and study a Fractional Double Auction model. This is joint ongoing work with Jacob Butt and Nicos Georgiou ******************************************************************** -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Probability Seminar in Sapienza - Amine Asselah - 7th of June
by Lorenzo Taggi 03 Jun '22

03 Jun '22

*Tuesday 7th of June, 14:00, Sapienza Università di Roma,** Dipartimento di Matematica, **Sala di Consiglio.* *Speaker:* Amine Asselah (Paris-Est Créteil) *Title:* Visiting a ball for critical branching random walks in d=4 and d>4 *Abstract:* We study a critical branching random walk (BRW) on the Euclidean lattice. We focus on the tail of the time spent in a ball, in particular on the special features of the critical dimension four. We focus on the tail of the number of walks transported by the BRW on the boundary of a distant ball, and on the BRWs localized in a ball.

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SPDEvent
by Lorenzo Zambotti 02 Jun '22

02 Jun '22

---------------------------------------------- Dear colleagues, We are happy to announce the establishment of the SpdePostdocDocEvent (SPDEvent) that will be held in presence at the University of Bielefeld, Germany, September 7-9, 2022. The SPDEvent will provide a platform to young researchers working on stochastic partial differential equations and broadly related fields, allowing them to network, exchange ideas, present their own research and initiate collaborations. The event is meant exclusively for Phd students and Postdocs. All details are provided on the conference web page https://www.uni-bielefeld.de/fakultaeten/mathematik/ag/hofmanova/conference… Limited travel and hotel funding is available and will be allocated on a "first come first serve" basis. We explicitly encourage female researchers to apply. We would appreciate if you would forward this message to anybody who might be interested in attending and are looking forward to welcoming you in Bielefeld, The organizers, Florian Bechtold Stefanie Berkemeier Theresa Lange -- Lorenzo Zambotti Postal Address: Sorbonne Universite', LPSM - Boite courrier 158 4, place Jussieu - 75252 Paris cedex 05, France Bureau n. 22, 2eme etage, tours 16/26, Jussieu E-mail: lorenzo.zambotti(a)upmc.fr https://www.lpsm.paris/users/zambotti/

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Seminar in Padova by Prof. Umut Cetin (in presence and online)
by Giorgia Callegaro 01 Jun '22

01 Jun '22

Dear all, you're invited to the next seminar in Probability and Finance that will take place next Monday, at 4 pm, in hybrid mode. All the details follow: * Speaker: Prof. Umut Cetin (LSE) * Date and time: Monday 6th June 2022, 4pm * Room (Torre Archimede): 1BC45 * Zoom link: please find it here https://www.math.unipd.it/~bianchi/seminari/ * Title: POWER LAWS IN MARKET MICROSTRUCTURE * Abstract: We develop an equilibrium model for market impact of trades when investors with private signals execute via a trading desk. Fat tails in the signal distribution lead to a power law for price impact, while the impact is logarithmic for lighter tails. Moreover, the tail distribution of the equilibrium trade volume obeys a power law. The spread decreases with the degree of noise trading and increases with the number of insiders. In case of a monopolistic insider, the last slice traded against the limit order book is priced at the fundamental value of the asset reminiscent of Kyle (1985). However, competition among insiders leads to aggressive trading, hence vanishing profit in the limit. The model also predicts that the order book flattens as the amount of noise trading increases converging to a model with proportional transactions costs with non-vanishing spread. See you soon, Giorgia -- 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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Seminario S Castruccio - Politecnico di Milano
by Laura Maria Sangalli 31 May '22

31 May '22

Si avvisa che in data 07-06-2022, alle ore 15:30 precise presso il Politecnico di Milano, Dipartimento di Matematica, Aula Saleri sesto piano (Edificio 14 - La Nave), nell’ambito delle attività del MOX, si svolgerà il seguente seminario: Stefano Castruccio, University of Notre Dame Titolo: Physics-Informed, Data-Driven and Hybrid Approaches to Space-Time Systems Abstract: In this talk I will discuss two different approaches to characterize space-time systems. This first one is model-driven and loosely inspired by physics, assumes that the system is locally diffusive through a stochastic partial differential equation, and can be efficiently approximated with a Gaussian Markov random field. This approximation will be used to produce a stochastic generator of simulated multi-decadal global temperature, thereby offering a fast alternative to the generation of large climate model ensembles. The second approach is instead data-driven, and relies on (deep) neural networks in time. Instead of traditional machine learning methods aimed at inferring an extremely large parameter space, we instead rely on an alternative fast, sparse and computationally efficient echo state network dynamics on an appropriately dimensionally reduced spatial field. The additional computational time is then used to produce an ensemble and probabilistically calibrate the forecast. The approach will be used to produce air pollution forecasts from a citizen science network in San Francisco and forecasting wind energy in Saudi Arabia. Towards the end of the presentation, I will discuss how these two broad frameworks could be used in synergy to allow for improved predictability and understanding of space-time systems whose physical understanding is currently limited and/or largely influenced by parametrizations. Link: https://mox.polimi.it/mox-seminars/?id_evento=2169 Il link per seguire il seminario online sarà reso disponibile su Link zoom: https://polimi-it.zoom.us/j/91015435557 L’evento è patrocinato da GRASPA https://graspa.org Tutti gli interessati sono cordialmente invitati a partecipare, Laura Sangalli —— Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it<mailto:laura.sangalli@polimi.it> url: http://mox.polimi.it/~sangalli

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Posizione RTDA in MAT06 Sapienza Roma
by Alessandro Degregorio 31 May '22

31 May '22

Cari tutti, in data odierna è stato pubblicato il Bando n. RTDA/03/2022 PROT. N. 805/2022 della procedura selettiva, per titoli e colloquio, per il reclutamento di* n. 1 ricercatore con rapporto di lavoro a tempo determinato di tipologia “A”*, per l’esecuzione del programma di ricerca relativo al seguente progetto: “Teoria dei processi aleatori” - Settore concorsuale 01/A3, *Settore scientifico-disciplinare **MAT/06*, presso il Dipartimento di Scienze Statistiche, Università di Roma "La Sapienza". Il bando è visionabile sul sito della trasparenza Sapienza al seguente link: https://web.uniroma1.it/trasparenza/bando/191351_rtda/03/2022 Si prega di dare la massima diffusione del presente avviso presso tutti gli interessati. Cordiali saluti, Alessandro De Gregorio

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avviso di seminari
by Barbara Martinucci 30 May '22

30 May '22

UNIVERSITA' DI SALERNO Dipartimento di Matematica AVVISO DI SEMINARI Mercoledì 1 giugno 2022, nella sala del consiglio del Dipartimento di Matematica, edificio F2, livello 1, si terranno i seguenti seminari in presenza e online (su Teams): 1) ore 15:00-15:45 - Prof. Enrico Scalas (University of Sussex, Brighton, UK) Limit theorems for prices of options written on semi-Markov processes link: https://teams.microsoft.com/l/meetup-join/19%3ameeting_ZmRiNmFjZmUtNmFlMS00… We consider plain vanilla European options written on an underlying asset that follows a continuous time semi-Markov multiplicative process. We derive a formula and a renewal type equation for the martingale option price. In the case in which intertrade times follow the Mittag-Leffler distribution, under appropriate scaling, we prove that these option prices converge to the price of an option written on geometric Brownian motion time-changed with the inverse stable subordinator. For geometric Brownian motion time changed with an inverse subordinator, in the more general case when the subordinator's Laplace exponent is a special Bernstein function, we derive a time-fractional generalization of the equation of Black and Scholes. This is joint work with Bruno Toaldo 2) ore 16:00-16:45 - Dott. Giacomo Ascione (Scuola Superiore Meridionale, Napoli) Bulk behaviour of ground states for relativistic Schrödinger operators with spherical potential well link: https://teams.microsoft.com/l/meetup-join/19%3ameeting_OTMzYTBmYTAtZDFiYS00… In this talk, we show a probabilistic representation of the ground state of a massive or massless Schrödinger operator with a spherical potential well. Such a representation will lead to a two-sided approximation with different behaviours depending on the fact that we are inside or outside the well. Both of them rely on some functionals of the first exit time of a subordinated Brownian motion from a suitable open set (the well or its complement). We also develop a moving planes-type argument to prove the radial monotonicity of the ground state, which is one of the main tools of the two-sided bounds. This is joint work with József Lőrinczi. Gli interessati sono cordialmente invitati a partecipare, Cordiali saluti, Barbara Martinucci

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5 Luglio (online): La Statistica al CNR al servizio del Paese
by Fabrizio Ruggeri 30 May '22

30 May '22

Vi segnalo che la sede milanese dell'IMATI CNR ha organizzato un evento online il 5 luglio in cui 12 ricercatori CNR, di diversi istituti e diversa formazione, presenteranno loro lavori. L'iniziativa, in collaborazione con la Societa' Italiana di Statistica e nell'ambito delle iniziative verso il Festival della Statistica e della Demografia (Treviso, 16-18 Settembre), intende mostrare alla comunita' statistica nazionale cio' che si fa al CNR (e non e' praticamente conosciuto da questa) e anche favorire interazioni fra ricercatori CNR che spesso operano senza sapere che ci sono altri colleghi che utilizzano e sviluppano metodi e modelli stocastici. Il sito web e' https://sis.mi.imati.cnr.it/index.html E' possibile registrarsi entro il 26 giugno. Nei giorni successivi verranno inviate ai registrati le indicazioni sulla piattaforma online che verra' utilizzata. Cordiali saluti Fabrizio Ruggeri -- Fabrizio Ruggeri fabrizio AT mi.imati.cnr.it CNR IMATI tel +39 0223699532 Via Alfonso Corti 12 fax +39 0223699538 I-20133 Milano (Italy) www.mi.imati.cnr.it/fabrizio

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