Torino seminar series in Stochastics and Mathematical Statistics

TORINO SEMINAR SERIES IN
"Stochastics and Mathematical Statistics" 

Department of  Mathematics "Giuseppe Peano",
University of Torino

NOTE: All seminars are held in person at the Department of Mathematics in Via Carlo Alberto 10, Turin. 

Second semester 2023/2024

• • Thu 29 February, 2024.  Aula 4, Palazzo Campana, 11:00-12:00
    Ivan Biocic (University of Zagreb)
    Title: ​Probabilistic and analytical view on semilinear problems for non-local operators
    Abstract: In this talk, an overview of recent advancements in semilinear equations for non-local operators will be provided. The operators are more general then the fractional Laplacian. More precisely, the focus will be on the infinitesimal generator of subordinate Brownian motion, and the infinitesimal generator of subordinate killed Brownian motion. Special emphasis will be put on probabilistic methods and ideas behind highly analytical proofs, as well as on the potential theory of the processes of interest.
    
    

  • Wed 20 March, 2024, Aula 2, Palazzo Campana, 14:30-15:30
    Jordan M. Stoyanov (Bulgarian Academy of Sciences and Shandong University)
    Title: ​Characterizations and Limit Theorems via Moments and/or Cumulants: A Bunch of Old and New Results
    Abstract: We deal with random variables and their distributions, discrete or continuous, one-or multidimensional, with finite positive integer-order moments, hence finite cumulants (semi-invariants). Among the topics to be discussed are: various ways to characterize a distribution; random sequences with unconventional limits; uncheckable and checkable conditions for M-determinacy. It will be clear that the moments and/or cumulants can be efficiently involved to establish new and interesting results well complementing what is classic and known. Illustrations, examples and counterexamples will be given. Challenging open questions will be outlined.

• • Wed 17 April, 2024, Aula 2, Palazzo Campana, 14:30-15:30
    Stefan Gerhold (TU Wien)
    Title: ​On the non-Markov property: Gaussian processes and beyond
    Abstract: We characterise multi-dimensional self-similar Gaussian Markov processes. Our motivation is to prove non-Markovianity of certain stochastic processes, which are "obviously" not Markovian by construction. The existing proofs only deal with fractional Brownian motion and some variants and generalizations. In dimension one, our result yields a family of self-similar processes which have recently been dubbed "power Brownian motion", and might find applications in physics. Work in progress deals with non-Gaussian processes defined by stochastic Volterra equations. Joint work with Benedict Bauer and Kristof Wiedermann.
    
    

  • Wed 24 April, 2024, Aula 2, Palazzo Campana, 14:30-15:30
    Charles Taylor (University of Leeds, U.K.)
    Title: Nonparametric regression for Directional Data
    Abstract:  For i.i.d. data (x_i, y_i), in which both x and y represent directions --- and so lie on a circle or a sphere --- we  consider flexible (non-rigid) regression models. Our solutions can be obtained for each location of the manifold, with (local) weights which are are a function of distance. By considering terms in a series expansion, a ``local linear'' regression model is proposed for rotations. The models are applied to wind direction data, and prediction of the magnetic north pole, in which a second smoothing parameter is considered for time decaying weights.  

First semester 2023/2024

• • Wed 20 Sep, 2023.  Aula C, Palazzo Campana, 14:00-15:00
    Davide Trevisani  (Coruna University)
    Title: ​A brief introduction to XVA and KVA
    Abstract: Differently from some financial asset classes whose risks can belong to a wide market segment, many derivatives are closely tied to counterparty risk. Already at the end of ’90s, and definitively with the great crisis of 2007-2008, quantifying such risk gained great importance in financial industry. However, nowadays, institutions are not merely concerned with coping with default events but also with the expenses associated with such risks. These expenditures are primarily driven by regulatory requirements and contractual obligations. Quantifying these costs is the aim of Value Adjustments (XVAs). In this talk, we briefly present the mathematical framework of market with dividends. We then examine a pricing model with KVA (Capital Value Adjustment).
    
    

  • Thu 5 Oct, 2023.  Aula Magna, Palazzo Campana, 14:30-16:30 (double seminar with a break)
    Isaac Meilijson (Tel Aviv University)
    Title: ​The distribution of the completion time of a PERT network, with an application to last passage percolation.
    Abstract: Completion times of complex projects are maxima of partial sums of random task times. If these task times have known marginal distributions but arbitrary dependence, bounds are needed for the distribution of the completion time. A method developed by Nádas + M. (1989) will be described, and applied to current work by Busani + M. on last passage percolation models in Physics.
    
    

Past academic years

Organized by

Bruno Toaldo:  bruno.toaldo@unito.it

Elena Issoglio: elena.issoglio@unito.it 

Sponsors

Department of  Mathematics "Giuseppe Peano", University of Torino