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Seminar by Prof. Giorgio Ferrari in Padova and via Zoom!
by Giorgia Callegaro 03 Jul '21

03 Jul '21

Dear all, it's a pleasure to announce the forthcoming seminar by Giorgio Ferrari, which will be held in room 2BC30 of the Mathematics Department (Torre Archimede) of the University of Padova and online, via Zoom, next week. Here are the details: * Date and time: 7 July, 14.30 pm * Title: Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls * Abstract: Singular stochastic control problems naturally arise in applications and are intimately related to variational inequalities and free-boundary problems. A key difficulty in the analysis of singular stochastic control problems in multiple dimensions concerns the characterization of an optimal policy, being the latter typically related to the construction of a stochastic process with reflecting boundary conditions. In this talk we show how to construct the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost functional over an infinite time-horizon through a process of bounded variation affecting an Itô-diffusion. The setting is multidimensional, the dynamics of the state and the costs are convex, the volatility matrix can be constant or linear in the state. We prove that the optimal control acts only when the underlying diffusion attempts to exit the so-called waiting region, and that the direction of this action is prescribed by the derivative of the value function. Our approach is based on the study of a suitable monotonicity property of the derivative of the value function through its interpretation as the value of an optimal stopping game. Such a monotonicity allows to construct nearly optimal policies which reflect the underlying diffusion at the boundary of approximating waiting regions. The limit of this approximation scheme then provides the desired characterization. Our result applies to a relevant class of linear-quadratic models, among others. Furthermore, it allows to construct the optimal control in degenerate and non degenerate settings considered in the literature, where this important aspect was only partially addressed. The talk is based on a joint work with Jodi Dianetti. * Zoom link: please visit the webpage https://www.math.unipd.it/news/multidimensional-singular-control-and-relate… Thanks for your attention and see you soon in Padova, 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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3 POSTDOCTORAL FELLOWSHIPS
by Tiziano De Angelis 02 Jul '21

02 Jul '21

Dear All, I am forwarding the announcement below, which may be of interest to young researchers in the applied probability community. Best wishes Tiziano *-------------------------3 POSTDOCTORAL FELLOWSHIPS IN MODELING AND ENGINEERING RISK AND COMPLEXITY (MERC) AVAILABLE AT THE SSM-SCHOOL FOR ADVANCED STUDIES OF THE UNIVERSITY OF NAPLES (Call no. MERC_021_01)* The call for applications for three postdoctoral fellowships in Modeling and Engineering Risk and Complexity iat the SSM-School for Advanced Studies of the University of Naples is now available at: http://www.ssm.unina.it/en/postdoctoral-fellowships-calls-and-procedures/ The research programme will focus on the development of new methodological approaches for the study, management and control of complex systems, the design and engineering of resilient systems and the analysis and management of risks (natural, anthropogenic, industrial and na-tech) and cascading effects. The programme focuses on the integrated description and management of phenomena affecting complex systems and the risks to which they are exposed, in different application domains, through the use of methods for mathematical, stochastic, computational and data-driven modelling. The programme should be characterised by a strongly multi- and inter-disciplinary approach, based on the theory of dynamical systems and control, the study of complex systems, infrastructures and networks, the theory of reliability for the modelling of uncertainty, the analysis and management of risks deriving from natural and anthropic phenomena on complex and interdependent systems and the study of their emerging properties and domino and cascade effects. The candidate's activity should lie in at least one of the following three multidisciplinary research areas (i) modelling, analysis and control of non-linear, uncertain, complex and multi-agent systems (ii) stochastic modelling and reliability theory (iii) Modelling and analysis of natural, Na-Tech, man-made and industrial hazards. The winners will carry out their research at the Scuola Superiore Meridionale of the Università degli Studi di Napoli Federico II in close collaboration with the research groups already involved in the activities of the PhD students active there. They will also be required to engage in the teaching and tutoring activities of the School, by either giving courses at PhD level or undergraduate level for the students of the School. Each fellowship is 1 year long (renewable up to 3 years) with a yearly gross salary of EUR 35,000. *Deadline for applications: 31st July 2021 at 2pm CET.* For any further information you can check the related PhD program website at http://www.ssm.unina.it/en/modeling-and-engineering-risk-eng-and-complexity… or contact us via email at merc(a)unina.it <https://mailto:merc@unina.it>

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Online seminar by Matteo Brachetta (Polimi), July 14, 17:00
by Elisa Mastrogiacomo 01 Jul '21

01 Jul '21

*** Apologize for cross-posting *** On *July 14 at 17:00, Matteo Brachetta* (Department of Mathematics, Politecnico di Milano <https://scholar.google.com/citations?view_op=view_org&hl=it&org=39070900387…>) will give a virtual seminar “in Insubria & Bicocca”, to which you are all invited. You can find the title and abstract below. Title: *Optimal Public Debt Management* Abstract: Public debt management is one of the most relevant topics in Economics, especially after economic crises due to wars, pandemics or economic recession. We discuss a class of debt management problems in a stochastic environment model. We propose a model for the Debt-to-GDP ratio where the government interventions (via fiscal policies) affect the public debt and the GDP growth rate at the same time. We allow for a stochastic interest rate on debt and possible correlation with the GDP growth rate. Indeed, both the interest rate and the GDP growth depend on a stochastic factor, which may represent any relevant macroeconomic variable, such as economic conditions. Moreover, shocks on debt and GDP can be correlated. We tackle the problem of a government whose goal is to determine the fiscal policy (quantity of surplus or deficit) in order to minimize a general functional cost. We prove that the value function is a viscosity solution to the Hamilton-Jacobi-Bellman equation and provide a Verification Theorem based on classical solutions. Then we discuss two applications, namely debt reduction and debt smoothing, providing explicit results. The seminar will be on *Zoom*. You can find the information to join below. Speaker: Matteo Brachetta Topic: Optimal Public Debt Management Time: July 14, 2021, 17:00 Rome Where: Zoom Link: https://us02web.zoom.us/j/84293514055?pwd=eFJSQitDTzZ0QUtsMUUzSlh0ZW43Zz09 ID riunione: 842 9351 4055 Passcode: jB3XTr After the talk, you are all invited to remain in the meeting for an informal aperitif and chat. Please forward to anyone interested. Kind regards, Emanuela Rosazza Gianin and Elisa Mastrogiacomo

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Research fellowship, Statistics, Bologna
by Sabrina Mulinacci 01 Jul '21

01 Jul '21

Dear Colleagues, a research fellowship is available at the Department of Statistics of the University of Bologna. Candidates must submit a reasearch project on one of the following topics: Stochastic differential equations, Copulas, Optimal transport, Multivariate dependence, Conditional expectations and their asymptotic behavior, Dynamic models (with time or space-time evolution) in economics, Computational and statistical methods for asset pricing and risk management, Interval analysis and multi-dimensional copulas, Application of special functions to probabilistic and financial models, Rough volatility models, Financial instruments for investment valuation. Deadline for application: July 7th 2021 Details and call for applications can be found at https://bandi.unibo.it/ricerca/assegni-ricerca?id_bando=53471 Best Regards Sabrina Mulinacci

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tenure-track position in probability at TU Vienna
by Prof. Fabio Toninelli 01 Jul '21

01 Jul '21

Dear colleagues, the Technical University of Vienna <https://www.tuwien.at/en/> is advertising a *tenure-track* *position in probability* (main focus: probabilistic methods in mathematical physics and related areas). The (earliest) starting date is March 1^st , 2022. The successful candidate will become member of the Mathematical Stochastics group, that I have been heading since 2020. I would be grateful if you could forward this message to any suitable candidates (the application deadline is *September 9th, 2021*). Applications can be submitted online via this link <https://jobs.tuwien.ac.at/Job/153800>. Candidates are encouraged to contact me <https://toninellifabio.wixsite.com/homepage> (fabio.toninelli(a)tuwien.ac.at) directly for any question related to this position. With best wishes and many thanks Fabio Toninelli -- Prof. Dr. Fabio Toninelli Technical University of Vienna Institut für Stochastik und Wirtschaftsmathematik Wiedner Hauptstrasse 8-10, 1040 Wien, Austria Office: 6th floor, green area. tel: +43-1-58801-10570 https://toninellifabio.wixsite.com/homepage

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no. 2 research grants for innovative and excellent research projects
by Susi Ceron 30 Jun '21

30 Jun '21

Dear All, we would like to inform you that *2 research grants (type B)* are available in the *Department of Statistical Sciences **at the **University of Padua*. *Deadline for application*: July 28th 2021 The Department will select innovative and excellent research projects proposed by young independent scholars within the framework of the Project of Excellence “Statistical methods and models for complex data” in the scientific sectors of interest to the Department of Statistical Sciences. The selection is open to PhD graduates who have completed suitable and documented academic and professional experience and that have carried out at least one year of post-doctoral research activity. Details can be found at: https://www.stat.unipd.it/bando-2-assegni-di-ricerca-tipo-b-selection-annou… Best regards, -- Ufficio Ricerca Dipartimento di Scienze Statistiche Università degli Studi di Padova Via Cesare Battisti 241 - 35121 Padova tel. +39 049 8274125 / +39 049 8274167 www.stat.unipd.it

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Padova Online Seminar by Wioletta Ruszel (University of Utrecht) [Friday, July 9 at 14.30]
by alessandra bianchi 29 Jun '21

29 Jun '21

Dear Colleagues, We would like to invite you to the following Probability seminar that will take place on July 9 at 14.30 by the zoom platform. ________________________________________________________ Speaker: Wioletta Ruszel (University of Utrecht) Title: Local central limit theorem and potential kernel estimates for a class of symmetric heavy-tailed random variables. 09 JULY (Friday) - 14:30 zoom link: TBA available on the webpage https://www.math.unipd.it/~bianchi/seminari/ ) Abstract: In this talk we will discuss stable local limit theorems and potential kernel estimates. In particular we consider a class of heavy-tailed random variables on Z in the domain of attraction of an -stable random variable of index \alpha \in (0, 2) satisfying a certain expansion of their characteristic function expansion. Our results include sharp convergence rates for the local (stable) central limit theorem, a detailed expansion of the characteristic function of a long-range random walk with transition and detailed asymptotic estimates of the discrete potential kernel. This is joint work with Leandro Chiarini (UU) and Milton Jara (IMPA) and is based on arXiv.com/2101.01609. -- Alessandra Bianchi Dip. di Matematica 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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pst-doc in Statistics, University of Florence
by Monia Lupparelli 29 Jun '21

29 Jun '21

* Apologise for cross-posting * Dear Colleagues, I would like to inform you that a post-doc in Statistics is available in the Department of Statistics, Computer Science, Applications at the University of Florence, under the supervision of Prof. Monia Lupparelli and Prof. Francesco C. Stingo. Deadline for application: July 12th 2021 Starting date: November 1st 2021 Research topic: Bayesian model search for profile undirected graphical models The research project aims to develop a graphical modelling approach to study the effect that a risk factor may have on a set of random variables and on their joint dependence structure. This issue could be partially addressed by using chain graph or multiple graph models: the first method ignores how the dependence structure may vary under different profiles defined by the external factor, the second does not account for the effect of the factor on single variables. The research should develop a class of profile graphical models to fill the gap between the existent graphical approaches. As far as inference is concerned, model selection represents a crucial aspect since compatibility constraints for the model identifiability need to be considered. The idea is to implement Bayesian stochastic search approaches for the selection and inference of discrete profile graphs, both for moderate and high dimensional data. The proposed methodology will be applied to biomedical data. Details can be found at https://bandi.miur.it/bandi.php/public/fellowship/id_fellow/192962 <https://bandi.miur.it/bandi.php/public/fellowship/id_fellow/192962> and https://titulus.unifi.it/albo/viewer?view=files%2F004108400-UNFICLE-701729a… <https://titulus.unifi.it/albo/viewer?view=files/004108400-UNFICLE-701729a1-…> Best Regards, Monia Lupparelli ----------------------------------------- Monia Lupparelli, PhD Department of Statistics, Computer Science, Applications University of Florence Viale Morgagni 59, 50134 Florence, IT Phone +39 055 2751579

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Annuncio: GNU TeXmacs versione 2.1
by Massimiliano Gubinelli 25 Jun '21

25 Jun '21

Cari colleghi, insieme ad altri ricercatori da molti anni sviluppiamo un editor di testi scientifici (e non) che si chiama TeXmacs (www.texmacs.org) e che permette di scrivere articoli, preparare presentazioni, etc.. rimpiazzando l'uso dei vari sistemi basati su TeX con un'interfaccia più sintetica e moderna. TeXmacs non è basato su TeX ma può esportare i documenti in vari formati, tra cui HTML, PDF o appunto (La)TeX. Il software è libero, parte del progetto GNU (per chi conosce questa iniziativa e i suoi scopi) e compatibile con Mac, Windows e i vari sistemi Linux. È un sistema che per molti di noi è diventato uno strumento di uso quotidiano, sia nella didattica (sopratutto in questo periodo di insegnamento a distanza) che nella ricerca e nella produzione di documentazione scientifica: articoli, tesi, libri. Da poco abbiamo rilasciato la versione 2.1 che rappresenta il consolidamento del nostro lavoro dell'ultimo decennio e all'occasione cerchiamo di fare un po' di pubblicità all'iniziativa per favorirne la diffusione. In particolare abbiamo prodotto un corto video di presentazione (~4 min) che riassume le caratteristiche salienti del sistema: https://www.youtube.com/watch?v=H46ON2FB30U In rete trovate anche varie risorse di informazione: un sito web dove scaricare il programma, un forum e delle liste di diffusione. Per maggiori dettagli faccio seguire il messaggio ufficiale in inglese. Sperando che questa iniziativa possa essere di interesse e utile, vi porgo cordiali saluti, Massimiliano Gubinelli -------------------------------------------------------------------- Dear colleague, We are happy to announce the release of GNU TeXmacs 2.1, a free scientific office suite that you may download from https://www.texmacs.org The core of the system is a what-you-see-is-what-you-get structured text editor with support for mathematical formulas. For a short overview, you may watch the following video (3 min 40): https://www.youtube.com/watch?v=H46ON2FB30U TeXmacs is unique in its ability to produce documents with the highest typographical quality using a user friendly interface. The software also comes with an integrated presentation tool, a picture editor, version control, a bibliography tool, interfaces to various mathematical computation systems, and much more... GNU TeXmacs is not based on TeX/LaTeX, but comes with high quality converters from and to LaTeX, as well as Html/MathML/MathJax. In order to get started with TeXmacs, we recommend that you watch one or more of our introductory videos: https://www.texmacs.org/tmweb/home/videos.en.html The software provides integrated documentation and a manual that can be downloaded from https://www.texmacs.org/tmweb/help/book.en.html A new book about TeXmacs is available here: https://www.scypress.com/book_info.html For further questions, don't hesitate to ask on one of our mailing lists or on the TeXmacs forum. With our best regards, The TeXmacs team

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Next LTI@Unito webinars: June 29, 2021 @12:00 | July 1, 2021 @12:00
by Luca Regis 23 Jun '21

23 Jun '21

Dear colleagues, I am happy to forward you the following announcements of two seminars in Quantitative Finance organized by LTI@UniTO and Collegio Carlo Alberto: * Matthijs Breugem (CCA) on Tuesday, June 29th: "On the impact of Long Term Investors on Information Choice and Market Efficiency" * Carole Bernard (Grenoble Ecole de Management) on Thursday July 1st: "Option-implied dependence and correlation risk premium". Please find below the abstract and the zoom links. Best regards, Luca Regis <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/SNnQ5aISnSkDsUrrKkdJ5noQSxbj4pJWMq…> <#> LTI@Unito and Fondazione Collegio Carlo Alberto are pleased to invite you to the following webinars <#> *June 29, 2021 | 12:00 - 13:00* *“On The Impact of Long Term Investors on Information Choice and Market Efficiency”* *Matthijs Breugem (Collegio Carlo Alberto)* <#> *Abstract* We analyze the impact of investor investment horizon on information acquisition and market efficiency in an REE economy with short-term and long-term investors. We find that the presence of long-term investors increases the willingness of short-term investors to acquire long-term information. Specifically, short-term investors care about long-term information to the extent that future prices—at which they liquidate their investments—reflect long-term payoffs. Long-term investors acquire long-term information and therefore increase the price-informativeness of future prices. Therefore, the larger the fraction of long-term investors, the more long-term payoffs are reflected into future prices, and the more long-term information is acquired by short-term investors. *Zoom Link:* *https://us02web.zoom.us/j/83290754621?pwd=Q3NoaWlIdXpnSkovdjlRTXE1OE5jdz09 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/PA1lvCniowZZn-8vKUfINTd51_6qus8e1k…>* Meeting ID: 832 9075 4621 Passcode: 359187 <#> *July 1, 2021 | 12:00 - 13:00* *“Option-Implied Dependence and Correlation Risk Premium”* *Carole Bernard (Grenoble Ecole de Management)* <#> *Abstract* We propose a novel model-free approach to obtain the joint risk-neutral distribution among several assets that is consistent with market prices of options on these assets and their weighted index. In an empirical application, we use options on the S&P 500 index and its nine industry sectors. The results of our analysis reveal that the option-implied dependence for the nine sectors is highly nonnormal, asymmetric, and time-varying. We then study two conditional correlations: when the market moves down or up. The risk premium for the down correlation is strongly negative, while the opposite is true for the up correlation. These findings are consistent with the economic intuition that investors dislike the loss of diversification when markets fall, but they actually prefer high correlation when markets rally. *Zoom link: * *https://us02web.zoom.us/j/81288915014?pwd=YjEzZVpIcG9XV0dIQ0VIT3U1MlNvQT09* <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/UPvaJBcnB9yu8Re-TR7dBnNYNJyWPZXbUf…> Meeting ID: 812 8891 5014 Passcode: 967992 <#> <#> <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/iyOIzzg_nVx7Bu3-NolrUvwYpV1JmU_hFp…> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/Et9Pc4YQXTY89y_CV5p_IUhO4DxipOFuoI…> <#> FONDAZIONE COLLEGIO CARLO ALBERTO Piazza Arbarello 8 - 10122 Torino, Italy phone: +390116705000 segreteria(a)carloalberto.org - www.carloalberto.org Facebook <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/yVeI_QEUL9xx9EqhVQgfTjU0cwCU5_VhvC…> Twitter <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/0kMzTVLZsJ-Syk4mMhudyxU14AXIlPy9yW…> LinkedIn <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/QYDynuy101bf3yF94teX10r5klyqsB8YBx…> Instagram <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/qnxIbHpfFwuutvK3uttAeswc2cRYOxE0tz…> Youtube <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/_BlSIp8G775XAxS37E-KhH0lDg1opLCsE-…> <#> *INFORMATION UNDER THE NEW GENERAL DATA PROTECTION REGULATION (GDPR)* Your personal information has been gathered for the exclusive purpose of informing you about the Collegio's initiatives, considering our and your legitimate interest or your consent. If you wish to have your personal data modified please contact Fondazione Collegio Carlo Alberto, piazza Arbarello 8, 1022 Torino, Italy - phone: +390116705000 - privacy(a)carloalberto.org *Unsubscribe* <https://4z5y5.r.a.d.sendibm1.com/mk/un/aZ9kdc-nDnUx78P7s4mh2iStF7nA4UX09Z6U…> <#> © 2021 Fondazione Collegio Carlo Alberto

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