Overview

This workshop brings together researchers working in stochastic analysis, stochastic control, mathematical finance, SPDEs, BSDEs, and AI-driven mathematical methods. The program includes invited talks and a plenary lecture covering recent developments and applications in probability, finance, energy markets, and data-driven approaches.

The event aims to strengthen collaborations between researchers working at the interface of probability theory, stochastic dynamics, mathematical finance, and modern computational methods.

If you wish to attend lunch, please register here no later than Monday, May 18 at 12:00. 

Venue 

Room D3

Lindstedtsvägen 5

KTH Royal Institute of Technology

Stockholm, Sweden

Plenary Lecture

Fabian Andsem Harang, BI Norwegian Business School, Norway

Title: The Volterra Signature: A Principled Approach to Learning with Memory 

Abstract: 

Modern approaches for learning from history-dependent time series often rely on implicit memory mechanisms that act as highly parameterized black boxes, making them difficult to interpret and unstable to train over long horizons. In this talk, we introduce the Volterra signature, as a principled and explicit feature representation tailored for such non-Markovian systems. By developing the input path weighted by a memory-kernel into the tensor algebra, we establish rigorous learning-theoretic guarantees, including a universal approximation theorem and a closed-form characterization that enables the kernel trick. We will explore these theoretical foundations, show how the Volterra signature reduces to a computationally tractable linear state-space ODE for exponential-type kernels, and demonstrate its predictive performance relative to the classical path signature baselines in real-world dynamic learning tasks. If time permits, I will also outline the connection of the Volterra signature to well known neural architectures such as Transformers and SSMs like Mamba and S4. This talk is based on joint work Paul Hager, Luca Pellizzari, Samy Tindel, and Hao Ni. 

Invited Speakers

Emanuela Rosazza Gianin, University of Milano-Bicocca, Italy

Linn Engström, KTH Royal Institute of Technology, Sweden

Kai Shao, KTH Royal Institute of Technology, Sweden

Olena Tymoshenko, University of Oslo, Norway

Jan Rems, University of Ljubljana, Slovenia

Program

Organisers

Nacira Agram 

Department of Mathematics, KTH Royal Institute of Technology, Sweden

Giulia Pucci

Department of Mathematics, KTH Royal Institute of Technology, Sweden