Seminario Padova - Bouchot
Buongiorno a tutte/i, Vorremmo segnalarvi che Venerdì prossimo (6 Marzo) alle 14:30 in aula 2AB40 (Torre Archimede, Università di Padova) ci sarà un seminario per il ciclo di seminari in Probabilità e Finanza di: Nicolas Bouchot (Universität Innsbruck) <https://www.uibk.ac.at/mathematik/personal/bouchot-nicolas/bouchotnicolas.h tml> website Title: Confined walk, interlacements and covering time Date: March 6, 2026, at 14:30, 2AB40 Abstract: Random interlacements are understood to naturally arise as a full-volume limit of random walks spending a long time inside a domain. However, this understanding is somewhat indirect, as it is often through ways of large deviations principles. In this talk, I will present a straightforward model: the random walk confined inside a domain. We obtain a precise coupling between this confined walk and some interlacements tilted by the first Laplace eigenvector on the domain. As an application, I will present asymptotics for the covering time of subdomains by the confined walk. Alberto Chiarini e Alekos Cecchin Sito web del seminario: https://www.math.unipd.it/~chiarini/seminars/
Buongiorno a tutte/i, Vorremmo segnalarvi che Venerdì prossimo (20 Marzo) alle 14:30 in aula 2BC30 (Torre Archimede, Università di Padova) ci sarà un seminario per il ciclo di seminari in Probabilità e Finanza di: Stefanie Hesse (Humboldt-Universität zu Berlin) <https://www.mathematik.hu-berlin.de/en/people/mem-vz/1695495> website Title: CARA Mean-Field Portfolio Games: Structural Decomposition of Equilibria and Limiting Mean-Field Games Date: March 20, 2026, at 14:30, 2BC30 Abstract: This talk concerns Nash equilibria in portfolio games with finite and infinite populations, where common noise dynamics are described by integer-valued random measures (e.g., Poisson random measures) in addition to Brownian motions. Within this framework, we analyze optimal investment and hedging under relative performance concerns with exponential (CARA) preferences. We characterize mean-field equilibria via McKean-Vlasov backward SDEs with jumps and prove existence and uniqueness. A key contribution is a structural decomposition of the mean-field equilibrium strategy into investment, hedging, and interaction components. Based on this decomposition, numerical computations illustrate the impact of common noise on the mean-field equilibrium strategies in a Markovian framework using PDE methods. Moreover, building on this decomposition, we show how a new mean-field game of quadratic hedging with relative performance concerns emerges as risk aversion vanishes (i.e., as risk tolerance tends to infinity), without imposing a Markovian restriction. (Joint work with Dirk Becherer; partially based on arXiv:2408.01175.) Alberto Chiarini e Alekos Cecchin Sito web del seminario: https://www.math.unipd.it/~chiarini/seminars/
participants (1)
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alekos.cecchin＠unipd.it