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Seminario Davide Bignamimi - Politecnico di Milano - 27 Novembre 2024
by Luca Scarpa 18 Nov '24

18 Nov '24

Si segnala il seguente seminario a tutti gli interessati. Mercoledì 27 Novembre 2024, ore 11:00. Aula Seminari III Piano, Dipartimento di Matematica, Politecnico di Milano. Speaker: Davide Bignamini, Università degli Studi dell'Insubria. Title: Strong uniqueness for SPDEs and regularity of Kolmogorov equations. Abstract: Pathwise uniqueness plays a crucial role in the investigation of the existence of strong solutions to Stochastic Differential Equations (SDEs) since the seminal result by Yamada and Watanabe in 1971, where they proved that weak existence and pathwise uniqueness imply strong existence. A few years later, Zvonkin introduced the so-called Zvonkin transformation, which allows to remove a drift term by means of a suitable change of coordinates using the Ito formula, and then applies the result of Yamada and Watanabe to construct strong solutions to a class of SDEs with rough drift coefficient. In recent years, these techniques have been extended to Stochastic Partial Differential Equations (SPDEs) . One of the main tools for proving pathwise uniqueness in infinite dimensions is the so-called Itô-Tanaka trick, which involves replacing the "bad" drift term with the solution to a suitable Kolmogorov equation. In this talk, we will examine these topics for a class of parabolic and hyperbolic SPDEs. Link Zoom: <https://polimi-it.zoom.us/j/94505074623> Join our Cloud HD Video Meeting<https://polimi-it.zoom.us/j/94505074623> polimi-it.zoom.us<https://polimi-it.zoom.us/j/94505074623> [zoom.ico]<https://polimi-it.zoom.us/j/94505074623> Link Seminario Polimi: <https://www.mate.polimi.it/eventi/?id=2503> Eventi Dipartimento di Matematica - Politecnico di Milano<https://www.mate.polimi.it/eventi/?id=2503> mate.polimi.it<https://www.mate.polimi.it/eventi/?id=2503> [apple-touch-icon-152x152-precomposed.png]<https://www.mate.polimi.it/eventi/?id=2503> ----- Prof. Luca Scarpa, PhD Associate Professor in Probability Department of Mathematics Politecnico di Milano Via E. Bonardi 9 20133 Milano, Italy e.mail: luca.scarpa(a)polimi.it<mailto:luca.scarpa@polimi.it> url: https://sites.google.com/view/lucascarpa

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Call postdoc @Unisi
by Piero MAZZARISI 18 Nov '24

18 Nov '24

Dear colleagues, I want to advertise a call for a one-year (renewable) postdoc position at the University of Siena on: “Time-varying parameters models of climate change, financial stability, and systemic risk” The project is founded by PRIN 2022 PNRR n. P20229CJRS “Climate change, Uncentainty, and Financial Risk: Robust Approaches based on Time-Varying Parameters”. A synthetic description of the project topic can be found here: https://www.unisi.it/sites/default/files/albo_pretorio/bandi/concorsi_inter… Gross salary: 35000 Euro (yearly) Deadline for applications: December 3rd, 2024 The call as well as instructions for application, can be found here: https://www.unisi.it/albo_pretorio/bandi/concorsi_interni/conferimento-di-u… Do not hesitate to contact me for any info. Best regards, Piero Mazzarisi — Piero Mazzarisi Department of Economics and Statistics University of Siena Personal website: https://pieromazzarisi.wordpress.com <https://pieromazzarisi.wordpress.com/>

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MOX COLLOQUIUM 21.11.24 ore 14:00 Politecnico di Milano - Prof Klaus-Robert Müller - Technische Universität Berlin
by Laura Maria Sangalli 18 Nov '24

18 Nov '24

Cari Colleghi, vi ricordo il seguente seminario della serie dei MOX COLLOQUIA, presso il Dipartimento di Matematica del Politecnico di Milano Seguirà rinfresco. 21.11.24, Ore 14:00 - Aula Consiglio VII piano - Dipartimento di Matematica Speaker: Klaus-Robert Müller, Technische Universität Berlin Titolo: Machine Learning and AI for the Sciences: toward understanding Abstract: In recent years, machine learning (ML) and artificial intelligence (AI) methods have begun to play a more and more enabling role in the sciences and in industry. In particular, the advent of large and/or complex data corpora has given rise to new technological challenges and possibilities. In his talk, Müller will touch upon the topic of ML applications in the sciences, in particular in chemistry and physics. He will also discuss possibilities for extracting information from machine learning models to further our understanding by explaining nonlinear ML models. Finally, Müller will briefly discuss perspectives and limitations. Il seminario verrà erogato anche in modalità on-line attraverso la piattaforma Cassyni, si vedano i seguenti link: https://mox.polimi.it/mox-colloquia-seminars-list/mox-seminars/?id_evento=2… https://cassyni.com/events/HPfFtf7ELqgkkzqR7cbDru Per seguire il seminario è necessario iscriversi alla piattaforma Cassyni, seguendo le istruzioni indicate sotto. Tutti gli interessati sono cordialmente invitati. Un cordiale saluto, Laura --------------- Info generale: I MOX Colloquia si sono spostando sulla piattaforma Cassyni. Li trovate al link https://cassyni.com/s/mox-colloquia Tutti gli interessati possono iscriversi al canale (semplicemente cliccando il tasto blu "Subscribe" nella pagina principale). —— Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy (+39) 02 2399 4554 laura.sangalli(a)polimi.it<mailto:laura.sangalli@polimi.it> https://sangalli.faculty.polimi.it

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Conference: Matrix-Analytic Methods in Stochastic Models, June 25-27, 2025
by Federico Poloni 18 Nov '24

18 Nov '24

Hello All, We are pleased to announce that the 12th edition of the Matrix-Analytic Methods in Stochastic Models (MAM) Conference will be held in the heart of Toronto, Canada, at the Fields Institute, from June 25th to June 27th, 2025. While the MAM 12 Conference will be held in person and all presentations will take place in person, live streaming will be available to registered attendees who are unable to attend the conference in person. You can register via the conference homepage: https://sites.google.com/ontariotechu.net/mam-12-conference/home We are excited to have four distinguished keynote speakers who will bring their valuable insights to the conference: • Dr. Amy Ward (University of Chicago) • Dr. Ivo Adan (Eindhoven University of Technology) • Dr. Mark Squillante (IBM Research) • Dr. Opher Baron (University of Toronto and CEO of SiMLQ) After the conference, speakers will have the option to submit their full papers for publication in a special issue of Performance Evaluation (PEVA). We look forward to welcoming you to Toronto for what promises to be an exceptional gathering of researchers from across engineering, mathematics, and the sciences. Warm regards, Organizing co-chairs: Dr. Amir Rastpour (Ontario Tech University) Dr. Yiqiang Zhao (Carleton University) Program co-chairs: Dr. Brian Fralix (Clemson University) Dr. Federico Poloni (University of Pisa) -- --Federico Poloni Dipartimento di Informatica, Università di Pisa https://www.di.unipi.it/~fpoloni/ tel:+39-050-2213143

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Fwd: Announcement: Workshop "Stochastic processes on random geometries” at TU Braunschweig
by Faggionato, Alessandra 18 Nov '24

18 Nov '24

Buongiorno, ricevo e con piacere inoltro. Saluti Alessandra ---------- Forwarded message --------- From: Andres, Sebastian <sebastian.andres(a)tu-braunschweig.de> Dear Colleagues, We kindly ask for your support in sharing the following announcement: The Institute for Mathematical Stochastics at the* Technical University Braunschweig* will host the Workshop *"Stochastic processes on random geometries”* scheduled from* February 17-21 2025.* The program will feature two mini lecture series delivered by: *Martin Barlow* (University of British Columbia) *Nina Gantert* (TU Munich) In addition, the event will include 14 invited lectures and one session dedicated to young researchers. The specific topics include random walks in random environment, static and dynamic percolation, interacting particle systems, statistical mechanics and their applications in physics, materials science and biology. Our aim is to provide a platform for the presentation of recent results, national and international scientific exchange and the education of younger scientists that are interested in the subject. For more information, including a list of invited speakers and a link for registration, see the workshop webpage https://www.tu-braunschweig.de/stochastik/aktuell/workshops The workshop is supported by the *SSP2265 "Random Geometric Systems"*. Best regards, On behalf of the Organising Committee, Sebastian Andres and Benedikt Jahnel -- ************************************************* 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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Seminar of Francesco Caravenna - Thursday 21th of Nov., 16.00-17.00
by SAU FEDERICO 14 Nov '24

14 Nov '24

Dear all, this is to announce the following seminar in Probability and Mathematical Physics, jointly organized with Marcello Porta and Tamara Grava from SISSA. Speaker: Francesco Caravenna (University of Milano-Bicocca) Title: The 2d Stochastic Heat Equation and related critical models Abstract: We present recent progress in understanding a class of "critical" models, including the Stochastic Heat Equation and Kardar-Parisi-Zhang Equation (KPZ) in two space dimensions, as well as a random walk model in statistical mechanics, known as the directed polymer in random environment. We discuss in particular the construction of a non-trivial solution for the ill-posed two-dimensional Stochastic Heat Equation, which has led to a novel object named the critical 2d Stochastic Heat Flow. Venue, date and time: SISSA, Room 134, on Thursday November 21 at 16:00. With best regards, Federico (for the organizers)

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Save the date: OWABI - Jeremias Knoblauch - Nov 28
by Massimiliano Tamborrino 14 Nov '24

14 Nov '24

Dear all, the next One World Approximate Bayesian Inference (OWABI) Seminar<https://warwick.ac.uk/fac/sci/statistics/news/upcoming-seminars/abcworldsem…> is scheduled on Thursday, November 28 at 11am. Our next OWABI speaker is Jeremias Knoblauch<https://jeremiasknoblauch.github.io/> (UCL), who will talk about "Post-Bayesian machine learning ", with the following Abstract: In this talk, I provide my perspective on the machine learning community’s efforts to develop inference procedures with Bayesian characteristics that go beyond Bayes’ Rule as an epistemological principle. I will explain why these efforts are needed, as well as the forms which they take. Focusing on some of my own contributions to the field, I will trace out some of the community’s most important milestones, as well as the challenges that lie ahead. Throughout, I will provide success stories of the field, and emphasise the new opportunities that open themselves up to us once we dare to go beyond orthodox Bayesian procedures. Keywords: Generalised Bayes; robustness; Bayesian machine learning. The talk will be streamed on MS Teams: Join the meeting now<https://teams.microsoft.com/l/meetup-join/19%3adhZ_4e_XLNJzCXPAMzTvT6BZ5KSh…> Meeting ID: 310 294 300 441 Passcode: Pmgfnq In case you missed the 1st OWABI talk by Ullriche Köthe, you can find his slides and recorded talk on the OWABI webpage<https://warwick.ac.uk/oneworldabc>. We are looking forward to seeing you all, best, Massimiliano on the behalf of the OWABI Organisers ------ Dr. Massimiliano Tamborrino Reader (Associate Professor) and WIHEA Fellow Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino

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SPASS Seminar: João Pedro Mangi
by Gianmarco Bet 12 Nov '24

12 Nov '24

Dear Colleagues, We would like to invite you to the following SPASS seminar, jointly organized by UniPi, SNS, UniFi and UniSi: *Exclusion Processes with non-reversible boundary: Hydrodynamics and Large Deviations* by *João Pedro Mangi* (*IMPA*) The seminar will take place on TUE, 19.11.2024 at *11:00 CET* in Aula Tricerri, Dipartimento di Matematica e Informatica "Ulisse Dini", Università degli Studi di Firenze, and streamed online at this link <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 -------------------------------------------- *Abstract: We consider a family of exclusion processes defined on the discrete interval with weak boundary interaction that allows the creation and annihilation of particles on a neighborhood of radius L of the boundary under very general rates. We prove that the hydrodynamic equation is the heat equation with non-linear Robin boundary conditions. We present a particular choice of boundary rates for which we have multiple stationary solutions but for which it still holds the uniqueness of the solution of its hydrodynamic equation. We also prove the associated dynamical large deviations principle. Joint work with Claudio Landim and Beatriz Salvador.*

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Women in Mathematical Finance @Pavia
by Giacomo Bormetti 11 Nov '24

11 Nov '24

Dear Colleagues, It is a pleasure to announce the cycle "Women in Mathematical Finance" co-organized with Daria Ghilli from the Department of Economics and Management, University of Pavia, and Gabriele Cedrani, alumnus of the Collegio Ghislieri. The venue is Collegio Ghislieri, Aula Goldoniana, Piazza Ghislieri 5, Pavia. Wednesday, November 27, 2024, 6:00 - 8:00 PM CET Prof. GIULIA LIVIERI (London School of Economics) An Overview on Mean Field Games and Applications Wednesday, February 19, 2025, 6:00 - 8:00 PM CET Prof. SARA SVALUTO-FERRO (Università di Verona) Signatures in Finance: Life, Death, and Miracles Thursday, March 13, 2025, 6:00 - 8:00 PM CET Prof. GIULIA IORI (Università Ca' Foscari Venezia) Networks and Agent-Based Modelling in Finance Monday, March 17, 2025, 6:00 - 8:00 PM CET Prof. BEATRICE ACCIAIO (ETH Zurich) Beyond Models: Exploring Model-Independent Finance via Optimal Transport Monday, March 31, 2025, 6:00 - 8:00 PM CET Prof. GIORGIA CALLEGARO (Università di Padova) Stochastic control and recent applications to cybersecurity: A quick guided tour On the same days, the speakers will give a talk at the Department of Economics and Management, Via San Felice al Monastero, 5 Pavia. Giulia Livieri will give the first seminar. Wednesday, November 27, 2024, 1:30 - 2:30 PM CET, Sala del Consiglio Prof. Giulia Livieri, London School of Economics A Mean Field Game approach for pollution regulation of competitive firms Abstract: We develop a model based on mean-field games of competitive firms producing similar goods according to a standard AK model with a depreciation rate of capital generating pollution as a byproduct. Our analysis focuses on the widely-used cap-and-trade pollution regulation. Under this regulation, firms have the flexibility to respond by implementing pollution abatement, reducing output, and participating in emission trading, while a regulator dynamically allocates emission allowances to each firm. The resulting mean-field game is of linear quadratic type and equivalent to a mean-field type control problem, i.e., it is a potential game. We find explicit solutions to this problem through the solutions to differential equations of Riccati type. Further, we investigate the carbon emission equilibrium price that satisfies the market clearing condition and find a specific form of FBSDE of McKean-Vlasov type with common noise. The solution to this equation provides an approximate equilibrium price. Additionally, we demonstrate that the degree of competition is vital in determining the economic consequences of pollution regulation. Joint work with G. Del Sarto and M. Leocata. We look forward to meeting you in Pavia. Kind Regards, Giacomo Bormetti Giacomo Bormetti Department of Economics and Management, University of Pavia

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Introduction to Monte Carlo Simulation in Finance
by Enea Bongiorno 11 Nov '24

11 Nov '24

ricevo ed inoltro. Enea ***************************************************** Carissimi segnalo il corso Introduction to Monte Carlo Simulation in Finance (7th edition) tenuto dal prof. Ioannis Kyriakou (Bayes Business School, City, University of London) c/o DISEI - UPO - Novara Il corso in inglese della durata di 16 h. si terrà nelle seguenti giornate (sia in presenza sia in remoto) Tuesday 19th of November, h. 11.00-13.00 and 14.00-16.00 Wednesday 20th of November, h. 09.00-13.00 Thursday 21th of November, h. 09.00-13.00 Friday 22nd of November, h. 09.00-13.00 Per informazioni su iscrizione e costi (tariffa agevolata per studenti, soci SIS e UMI) è possibile scrivere a: manfin(a)uniupo.it. Un caro saluto Gianluca Fusai ***************************************************** -- Enea G. Bongiorno, Università degli Studi del Piemonte Orientale - Amedeo Avogadro Via Perrone 18, 28100, Novara, Italia Phone: +390321375317 enea.bongiorno(a)uniupo.it upobook.uniupo.it/enea.bongiorno ------ IWFOS 2025 6th International Workshop on Functional and Operatorial Statistics - iwfos2025.uniupo.it <https://iwfos2025.uniupo.it/home> Math-Stat Seminars at UPO seminari-ms.uniupo.it/home-page ------

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