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/
Buongiorno a tutte/i, Vorremmo segnalarvi che Venerdì prossimo (24 Aprile) 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: Manuel Arnese (Columbia University) <https://manuelarnese.github.io/> https://manuelarnese.github.io Title: Quantitative propagation of chaos and universality for asymmetric Langevin spin glass dynamics Date: April 24, 2026, at 14:30, 2BC30 Abstract: We obtain quantitative estimates on quenched propagation of chaos for Langevin spin glass dynamics with i.i.d. disorder. Prior work in the case of Gaussian disorder established the qualitative convergence of the law of a single spin to a deterministic McKean-Vlasov limit. We prove convergence rates in expected Wasserstein distance and quantitative concentration rates for Lipschitz observables under the assumption that the disorder satisfies the T_2 inequality. The proof uses a coupling argument, together with techniques from concentration of measure, filtering theory, and Malliavin calculus. 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 (15 Maggio) alle 15:00 in aula 2AB40 (Torre Archimede, Università di Padova) ci sarà un seminario per il ciclo di seminari in Probabilità e Finanza di: Gianmarco Bet (Università di Firenze) <https://people.dimai.unifi.it/bet/> https://people.dimai.unifi.it/bet/ Title: node2vec random walks: the first few steps Date: May 15, 2026, at 15:00, 2AB40 Abstract: The node2vec random walk is a non-Markovian random walk on the vertex set of a graph defined in terms of three parameters which control the probability of, respectively, backtracking moves, moves within triangles, and moves to the remaining neighbouring nodes. Despite its widespread use in applications, little is known about it from a mathematical standpoint. In this talk, I will present the first results describing the long-time behaviour of this random walk. More specifically, I will give mild sufficient conditions on the underlying finite or infinite graph to guarantee ergodicity, reversibility, recurrence and a characterization of the invariant measure. One of the key findings is that if the underlying graph is regular, the invariant measure has a simple (and indeed neat) explicit expression. Based on joint work with L. Avena, L. Schroeder and C. Stegehuis. 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