SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO https://www.google.com/url?q=https://www.carloalberto.org/events/category/seminars/seminars-in-statistics/page/2/?tribe-bar-date%3D2019-09-01&source=gmail-imap&ust=1732719071000000&usg=AOvVaw1_VfRy4qDP_HHioNc49JU_

Venerdì 13/12/2024, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente doppio seminario:

------------------------------------------------ 11.00-12.00 Speaker: Sergio Pulido (ENSIIE) Title: Polynomial Volterra processes Abstract: Recent studies have extended the theory of affine processes to the stochastic Volterra equations framework. In this talk, I will describe how the theory of polynomial processes extends to the Volterra setting. In particular, I will explain the moment formula and an interesting stochastic invariance result in this context. Potential applications to fractional volatility models will be discussed. This is joint work with Eduardo Abi Jaber, Christa Cuchiero, Luca Pelizzari and Sara Svaluto-Ferro.

12.00-13.00 Speaker: Kolyan Ray Title: Bayesian nonparametric inference in a McKean-Vlasov model Abstract: We study nonparametric estimation of the interaction term in a McKean-Vlasov model where noisy observations are drawn from the nonlinear parabolic PDE arising in the mean-field limit as the number particles grows to infinity. In this model, the long-time invariant state can be uninformative about the interaction potential. We therefore show that under certain regularity conditions on the initial state, the short-time behaviour of this system contains sufficient information to consistently recover the interaction potential using Gaussian process priors. This involves establishing a stability-type estimate for this PDE to solve the resulting inverse problem. ------------------------------------------------

Sarà possibile il seminario anche in streaming: chiunque volesse collegarsi è pregato di inviare una email entro *mercoledì 11/12/2024 * a matteo.giordano@unito.it mailto:matteo.giordano@unito.it

Il webinar è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto.

Cordiali saluti,

A presto,

Matteo Giordano Assistant Professor (RTDA) Department of Economics, Social Studies, Applied Mathematics and Statistics (ESOMAS) www.matteogiordano.weebly.com https://matteogiordano.weebly.com/