Monday, June 10, 2024
09:00 - 09:30

Registration

09:30 - 10:30

Lorenzo Rosasco (Università di Genova & MIT)

"Being a kernel in the age of deep learning"
Location: Aula 1 (Sala Chiostro in streaming)
10:30 - 11:00

Coffee break

11:00 - 13:00
Session: IS 2

Dependence structures in Bayesian nonparametrics

Chairperson: Camerlenghi  Federico  University of Milano Bicocca
Location: Sala Chiostro
Predictive characterizations of feature allocation models
Beraha Mario
Presenter: Beraha  Mario  Politecnico di Milano
Distances on random probability measures
Catalano Marta
Presenter: Catalano  Marta  Luiss University
Bayesian nonparametric processes for clustering high-dimensional count data
Ghilotti Lorenzo, Camerlenghi Federico, Guindani Michele
Presenter: Ghilotti  Lorenzo  University of Milano-Bicocca
An invariance-based approach to node clustering in dynamic networks.
Gaffi Francesco
Presenter: Gaffi  Francesco  University of Maryland
Session: IS 3

Mathematics of Machine Learning

Chairperson: Agazzi  Andrea  UNIPI
Location: Aula 1
Correcting Stochastic Gradient Descent for scalable Bayesian Inference
Agazzi Andrea
Presenter: Agazzi  Andrea  UNIPI
Phase transitions for spectral estimators in generalized linear models via approximate message passing
Mondelli Marco
Presenter: Mondelli  Marco  Institute of Science and Technology Austria (ISTA)
Learning linear operators: Infinite-dimensional regression as a well-behaved non-compact inverse problem
Mücke Nicole
Presenter: Mücke  Nicole  TU Brunswick
Representer theorems for deep networks
Vigogna Stefano
Presenter: Vigogna  Stefano  University of Rome Tor Vergata
Session: IS 4

Stochastic Geometry

Chairperson: Borga  Jacopo  Stanford University
Location: Aula 7
On the geometry of uniform meandric systems
Borga Jacopo
Presenter: Borga  Jacopo  Stanford University
Scaling limits of planar maps under the Smith embedding
Bertacco Federico
Presenter: Bertacco  Federico  Imperial College London
Where do trees grow leaves?
Caraceni Alessandra
Presenter: Caraceni  Alessandra  Scuola Normale Superiore
Tightness for approximations to the chemical distance metric for non-simple conformal loop ensembles
Ambrosio Valeria
Presenter: Ambrosio  Valeria  University of Cambridge
Session: CS 54

Random motions and first passage times

Chairperson: Meoli  Alessandra  Università degli Studi di Salerno
Chairperson: Ricciuti  Costantino  Department of Statistical Sciences
Location: Aula 9
Intertwining relations for the first-passage-time problem
D'Onofrio Giuseppe
Presenter: D'Onofrio  Giuseppe  Politecnico di Torino
First-exit times for a two-dimensional random walk on the L-lattice
Spina Serena
Presenter: Spina  Serena  Università di Salerno
Mixtures of random flights and their applications in statistical physics
Ricciuti Costantino
Presenter: Ricciuti  Costantino  Department of Statistical Sciences
A generalized accelerated motion driven by the alternating Poisson process and its effect on lifetimes in random environments
Meoli Alessandra
Presenter: Meoli  Alessandra  Università degli Studi di Salerno
Session: CS 7

Advances in SPDEs

Chairperson: Guatteri  giuseppina  Politecnico di Milano
Chairperson: Masiero  Federica  Unibersità di Milano-Bicocca
Location: Aula 15
Stochastic Volterra equations driven by Gaussian noise
Bonaccorsi Stefano, Bianchi Luigi Amedeo
Presenter: Bonaccorsi  Stefano  Università degli Studi di Trento
Pathwise uniqueness in infinite dimension under weak structure condition
Addona Davide
Presenter: Addona  Davide  Università di Parma
Schauder type theorems for mild solutions to non autonomous Ornstein-Ulhenbeck equations
De Fazio Paolo
Presenter: De Fazio  Paolo  University of Parma
On the small-mass limit for stationary solutions of stochastic wave equations with state-dependent friction
Cerrai Sandra
Presenter: Cerrai  Sandra  University of Maryland
Session: CS14

Stochastic model for risk and cooperation

Chairperson: Doldi  Alessandro  Università degli Studi di Firenze
Chairperson: Scandolo  Giacomo  Università degli Studi di Firenze
Location: Aula 17
Fair valuation under parameter uncertainty
Bignozzi Valeria
Presenter: Bignozzi  Valeria  University of Milano-Bicocca
Collective Arbitrage and the Value of Cooperation
Frittelli Marco
Presenter: Frittelli  Marco  Università degli Studi di Milano
Are Shortfall Systemic Risk Measures One Dimensional?
Doldi Alessandro, Frittelli Marco, Rosazza Gianin Emanuela
Presenter: Rosazza Gianin  Emanuela  University of Milano Bicocca
Calibrating reference measures of law-invariant functionals
Liebrich Felix-Benedikt
Presenter: Liebrich  Felix-Benedikt  University of Amsterdam
Session: CS17

Interacting systems in Statistical Physics 1

Chairperson: Zass  Alexander  WIAS Berlin
Location: Sala Affreschi
Survival and complete convergence for a branching annihilating random walk
Callegaro Alice
Presenter: Callegaro  Alice  TU Munich
Transport in weighted Delaunay triangulations
Faggionato Alessandra
Presenter: Faggionato  Alessandra  Sapienza University of Rome
Duality for (a-)symmetric model of energy transport
Franceschini Chiara
Presenter: Franceschini  Chiara  University of Modena
Dynamical Gibbs variational principles and applications
Koeppl Jonas
Presenter: Koeppl  Jonas  Weierstrass Institute
13:00 - 15:00

Lunch

15:00 - 16:40
Session: CS 1

Algebraic methods in Statistics and Probability

Chairperson: Di Nardo  elvira  University of Turin
Location: Sala Chiostro
Q and Umbral Calculus and Statistical Methods
Dattoli Pino
Presenter: Dattoli  Pino  ENEA Frascati Labs Fusion Department
Algebraic models for compositional data
Marigliano Orlando , Riccomagno Eva
Presenter: Marigliano  Orlando   University of Genoa
Safety Belt Regression
von Rosen Dietrich
Presenter: von Rosen  Dietrich  Linköping University
On the combinatorics of k-statistics
Di Nardo elvira
Presenter: Di Nardo  elvira  University of Turin
Session: CS 4

Kolmogorov equations and long time behaviour for SPDEs

Chairperson: Scarpa  Luca  Politecnico di Milano
Chairperson: Orrieri  Carlo  Università di Pavia
Location: Aula 1
Pathwise uniqueness for stochastic parabolic equations with Hölder continuous perturbation in the drift
Bignamini Davide Augusto
Presenter: Bignamini  Davide Augusto  Università degli studi dell'Insubria
Lifting partial smoothing to solve semilinear Kolmogorov equations
Gozzi Fausto, Masiero Federica
Presenter: Masiero  Federica  Unibersità di Milano-Bicocca
Existence of Invariant Measures for Stochastic Inviscid Multi-Layer Quasi-Geostrophic Equations
Roveri Leonardo, Butori Federico, Grotto Francesco, Luongo Eliseo
Presenter: Roveri  Leonardo  Università di Pisa
Uniqueness of the invariant measure and asymptotic stability for the 2D Navier-Stokes equations with multiplicative noise
Zanella Margherita
Presenter: Zanella  Margherita  Politecnico di Milano
Session: CS 6

Stochastic optimal control, BSDEs, and applications

Chairperson: Confortola  Fulvia  Politecnico of Milan
Chairperson: Calvia  Alessandro  University of Parma
Location: Aula 7
A saddle point in stopper vs. singular-controller games with free boundaries
Bovo Andrea
Presenter: Bovo  Andrea  Università di Torino
Stochastic optimal control with delays: $C^{1,\alpha}$-regularity of the value function and optimal synthesis
de Feo Filippo
Presenter: de Feo  Filippo  Politecnico di Milano, Università Luiss Guido Carli
Risk measures and optimal reinsurance: finding a connection via BSDEs
Brachetta Matteo, Confortola Fulvia, Sgarra Carlo
Presenter: Brachetta  Matteo  Politecnico of Mialn
Portfolio insurance strategies in a jump diffusion setting
Colaneri Katia
Presenter: Colaneri  Katia  University of Rome Tor Vergata
Session: CS 9

Bayesian Inference in Stochastic Processes

Chairperson: Avalos-Pacheco  Alejandra  Technische Universität Wien (TU Wien)
Location: Aula 9
Predictive inference via Bayesian nonparametrics
Camerlenghi Federico
Presenter: Camerlenghi  Federico  University of Milano Bicocca
Bayesian multi-study regression factor analysis
De Vito Roberta
Presenter: De Vito  Roberta  Brown University
Multivariate species sampling models
Franzolini Beatrice
Presenter: Franzolini  Beatrice  Bocconi University
A general Bayesian bootstrap for censored data based on the beta-Stacy process
Arfe Andrea
Presenter: Arfe  Andrea  Memorial Sloan Kettering Cancer Center
Session: CS10

Random walks and branching processes

Chairperson: Zucca  Fabio  Politecnico di Milano
Location: Aula 15
Self-interaction on trees
Orenshtein Tal
Presenter: Orenshtein  Tal  Università di Milano-Bicocca
An epidemic model in inhomogeneous environment
Bertacchi Daniela
Presenter: Bertacchi  Daniela  University of Milano-Bicocca
Dispersion on the Complete Graph
De Ambroggio Umberto
Presenter: De Ambroggio  Umberto  Ludwig Maximilian University of Munich
On hyperbolic branching Brownian motion
Woess Wolfgang
Presenter: Woess  Wolfgang  Technische Universität Graz (Graz University of Technology)
Session: CS12

Quantum Probability and Related Fields

Chairperson: Umanità  Veronica  Università degli studi di Genova, dipartimento di Matematica
Chairperson: Crismale  Vitonofrio  Dipartimento di Matematica, Università degli Studi di Bari
Location: Aula 17
Gaussian Quantum Markov Semigroups
FAGNOLA FRANCO
Presenter: FAGNOLA  FRANCO  Politecnico di Milano, Dipartimento di Matematica
Correspondences vs Correspondences
Skeide Michael
Presenter: Skeide  Michael  Università degli Studi del Molise
Distributional Symmetries for Quantum Stochastic Processes
Rossi Stefano
Presenter: Rossi  Stefano  Università degli Studi di Bari Aldo Moro
The spectral gap for Quantum Markov Semigroups
Poletti Damiano
Presenter: Poletti  Damiano  Università di Genova
Session: CS18

Interacting systems in statistical physics II

Chairperson: Franceschini  Chiara  University of Modena
Chairperson: Magnanini  Elena  WIAS Berlin
Location: Sala Affreschi
Duality for the multispecies stirring process with open boundaries
Casini Francesco
Presenter: Casini  Francesco  Università di Modena e Reggio Emilia
Noise-induced periodicity in a frustrated network of interacting diffusions
Collet Francesca
Presenter: Collet  Francesca  Department of Computer Science, University of Verona
A model for colloids: Diffusion dynamics for two-type hard spheres and the associated depletion effect
Zass Alexander
Presenter: Zass  Alexander  WIAS Berlin
16:40 - 17:00

Coffee break

17:00 - 18:40
Session: IS18

Mixing times

Chairperson: Sau  Federico  University of Trieste
Location: Aula 17
Mixing of the Averaging process on graphs
Quattropani Matteo
Presenter: Quattropani  Matteo  Sapienza Università di Roma
Fluctuations and mixing for Internal DLA on cylinders
Silvestri Vittoria
Presenter: Silvestri  Vittoria  University of Rome La Sapienza
Mixing cutoff for random walks on random digraphs
Passuello Giacomo
Presenter: Passuello  Giacomo  Università di Padova
Entropy and curvature of Markov chains: beyond the Peres-Tetali conjecture
Justin SALEZ
Presenter: Justin  SALEZ  Université Paris Dauphine
Session: CS 5

Stochastic PDEs for physical models

Chairperson: Zanella  Margherita  Politecnico di Milano
Location: Sala Chiostro
Existence and uniqueness by Kraichnan noise for 2D Euler equations with unbounded vorticity
Coghi Michele, Maurelli Mario
Presenter: Coghi  Michele  Università degli Studi di Trento
A stochastic Allen-Cahn-Navier-Stokes system with singular potential
Di Primio Andrea
Presenter: Di Primio  Andrea  Politecnico di Milano
Global well-Posedness and Interior Regularity of 2D Navier-Stokes Equations with Stochastic Wind Driven Boundary Conditions.
Luongo Eliseo, Agresti Antonio
Presenter: Luongo  Eliseo  Scuola Normale Superiore
On some conserved stochastic phase-field models of Cahn-Hilliard-Cook type with logarithmic potential
Scarpa Luca
Presenter: Scarpa  Luca  Politecnico di Milano
Session: CS11

Stochastic Geophysical Fluid Dynamics

Chairperson: Agresti  Antonio  TU Delft
Chairperson: Carigi  Giulia  Università degli Studi dell'Aquila
Location: Aula 1
Diffusion Limit for a Stochastic Model of a Magnetic Field in a 3D Thin Domain
Butori Federico, Luongo Eliseo
Presenter: Butori  Federico  Scuola Normale Superiore
Transport Noise effect on Kelvin-Helmholtz instability
Morlacchi Silvia
Presenter: Morlacchi  Silvia  Scuola Normale Superiore
On global solutions for fluid dynamics SPDEs
Lang Oana
Presenter: Lang  Oana  Imperial College London
On convex integration solutions to the surface quasi-geostrophic equation with generic additive noise
Lange Theresa, Bechtold Florian, Wichmann Jörn
Presenter: Lange  Theresa  Scuola Normale Superiore di Pisa
Session: CS13

Diffusion and coalescent processes in population genetics

Chairperson: Favero  Martina  University of Stockholm
Location: Aula 7
Migration and bottlenecks in population genetics
Dai Pra Marta
Presenter: Dai Pra  Marta  Humboldt Universität zu Berlin
Excursion theory of Wright-Fisher diffusions
Spanò Dario, Koskela Jere, Jenkins Paul A, Valentic Ivana
Presenter: Spanò  Dario  University of Warwick
Filtering Poisson-Dirichlet diffusions
Ruggiero Matteo, Dalla Pria Marco, Spanò Dario
Presenter: Ruggiero  Matteo  University of Torino and Collegio Carlo Alberto
Probabilistic structures emerging from dormancy
Blath Jochen
Presenter: Blath  Jochen  Goethe Universität Frankfurt
Session: CS31

Random Games

Chairperson: Venel  Xavier  Luiss University
Location: Aula 9
Best-Response Dynamics in Two-Person Random Games with Correlated Payoffs
Mimun Hlafo Alfie
Presenter: Mimun  Hlafo Alfie  LUISS University
Branching processes with an adversary
Predtetchinski Arkadi, Venel Xavier
Presenter: Predtetchinski  Arkadi  Maastricht University
Zero-one Laws for a Control Problem with Random Action Sets
Flesch Janos, Predtetchinski Arkadi, Venel Xavier
Presenter: Venel  Xavier  Luiss University
The game behind oriented percolation
Ziliotto Bruno
Presenter: Ziliotto  Bruno  CNRS, CEREMADE, Paris Dauphine University
Session: CS34

Advances in stochastic optimal transport and applications

Chairperson: Tamanini  Luca  Università Cattolica del Sacro Cuore, Brescia
Location: Aula 15
Invariant integrated convexity profiles for Hamilton-Jacobi-Bellman equations and applications
Conforti Giovanni
Presenter: Conforti  Giovanni  IPParis, École Polytechnique
Exponential convergence of Sinkhorn’s algorithm: a coupling approach
Greco Giacomo
Presenter: Greco  Giacomo  Eindhoven University of Technology
The geometry of Sinkhorn divergences
Lavenant Hugo
Presenter: Lavenant  Hugo  Bocconi University
Sticky-Schrödinger problem: from Large Deviation principle to JKO scheme
Nenna Luca
Presenter: Nenna  Luca  Université Paris-Saclay
Session: CS56

Conditional knowledge representation and information fusion under coherence

Chairperson: Castronovo  Lydia  Department of Mathematics and Computer Sciences, Physical Sciences and Earth Sciences, University of Messina, Messina, Italy
Chairperson: Sanfilippo  Giuseppe  Department of Mathematics and Computer Science, University of Palermo, Italy
Location: Sala Affreschi
A Fuzzy Ensemble of Features Importances via SMART-or aggregation
Capotorti Andrea, Troiani Alessio
Presenter: Capotorti  Andrea  Dip. Matematica e Informatica Università di Perugia
Generalized notions of conjunction and disjunction for two conditional events under coherence
Castronovo Lydia, Sanfilippo Giuseppe
Presenter: Castronovo  Lydia  Department of Mathematics and Computer Sciences, Physical Sciences and Earth Sciences, University of Messina, Messina, Italy
Stackelberg-Cournot-Nash equilibria with Dempster-Shafer uncertainty and α-maxmin preferences
Lorenzini Silvia, Petturiti Davide, Vantaggi Barbara
Presenter: Petturiti  Davide  University of Perugia
A probabilistic analysis of selected notions of iterated conditioning under coherence
Castronovo Lydia, Sanfilippo Giuseppe
Presenter: Sanfilippo  Giuseppe  Department of Mathematics and Computer Science, University of Palermo, Italy
19:00 - 20:30

Welcome Aperitif

Location: Cloister of San Pietro in Vincoli
Tuesday, June 11, 2024
09:00 - 10:00

Beatrice Acciaio (ETH Zürich)

"Stretched Brownian Motion and Bass local volatility model"
Location: Aula 1 (Sala Chiostro in streaming)
10:00 - 10:30

Coffee Break

10:30 - 12:30
Session: IS 5

Metastability

Chairperson: Pulvirenti  Elena  TU Delft
Location: Sala Chiostro
Metastability for dilute spin models with Glauber dynamics
Pulvirenti Elena
Presenter: Pulvirenti  Elena  TU Delft
Homogeneous nucleation for two-dimensional Kawasaki dynamics
Baldassarri Simone
Presenter: Baldassarri  Simone  Leiden University
Ising model on clustered networks: A model for opinion dynamics
Jacquier Vanessa
Presenter: Jacquier  Vanessa  Utrecht University
Shaken dynamics: metastable behavior and applications
Apollonio Valentina, D'Autilia Roberto, Scoppola Elisabetta, Scoppola Benedetto, Troiani Alessio
Presenter: Troiani  Alessio  Università degli Studi di Perugia
Session: IS 6

Generative modelling and stochastic mass transport

Chairperson: Conforti  Giovanni  IPParis, École Polytechnique
Location: Aula 1
On the rate of convergence for score based diffusion models
Gentiloni Silveri Marta, Durmus Alain
Presenter: Gentiloni Silveri  Marta  CMAP, Ecole Polytechnique
Piecewise deterministic generative models
Bertazzi Andrea
Presenter: Bertazzi  Andrea  École Polytechnique
Diffusion Schrödinger Bridge Matching
De Bortoli Valentin
Presenter: De Bortoli  Valentin  Google DeepMind
Promises and Pitfalls of Flow / Diffusion Models for Optimal Transport
Thornton James
Presenter: Thornton  James  Apple
Session: IS 7

Stochastic optimal control of McKean-Vlasov equations

Chairperson: Bandini  Elena  Università di Bologna
Location: Aula 7
On the convergence rate for the finite player approximation of mean field control problems
Cecchin Alekos
Presenter: Cecchin  Alekos  Università degli Studi di Padova
Fourier Galerkin approximation of a mean field control problem
Martini Mattia
Presenter: Martini  Mattia  Université Côte d'Azur
Master Bellman equation in the Wasserstein space: uniqueness of viscosity solutions
Rosestolato Mauro, Cosso Andrea, Gozzi Fausto, Kharroubi Idris, Pham Huyên
Presenter: Rosestolato  Mauro  Università di Genova
Session: IS 8

Random fields

Chairperson: Rossi  Maurizia  University of Milano-Bicocca
Location: Aula 9
Small Fluctuations for time-dependent spherical random fields
Carfagnini Marco, Todino Anna Paola
Presenter: Carfagnini  Marco  University of California San Diego
Limit theorems for functionals of Gaussian fields: existing results and new challenges
Maini Leonardo
Presenter: Maini  Leonardo  Università degli Studi di Milano-Bicocca
Sobolev-Malliavin regularity of the nodal length.
Stecconi Michele, Peccati Giovanni
Presenter: Stecconi  Michele  Luxembourg
Functional Convergence of Berry's Nodal Lengths
Vidotto Anna
Presenter: Vidotto  Anna  Università degli Studi di Napoli Federico II
Session: CS32

Stochastic processes with random resetting

Chairperson: Abundo  Mario  Dipartimento di Matematica, Unversità Tor Vergata, Roma
Chairperson: Iuliano  Antonella  University of Basilicata
Location: Aula 15
On direct and inverse problems for the first-passage time and the first-passage place of diffusion processes with stochastic resetting.
Abundo Mario
Presenter: Abundo  Mario  Dipartimento di Matematica, Unversità Tor Vergata, Roma
A generalised telegraph process with resetting driven by random trials
Iuliano Antonella
Presenter: Iuliano  Antonella  University of Basilicata
Stochastic processes with possible random binomial resetting to model the spread of fake news
Paraggio Paola
Presenter: Paraggio  Paola  Università degli Studi di Salerno
On the Telegraph Process driven by Geometric Counting Process with Poissonian Resetting
Verasani Gabriella
Presenter: Verasani  Gabriella  Università degli Studi della Basilicata
Session: CS58

Recent advances in Heath-Jarrow-Morton modelling in finance

Chairperson: Gnoatto  Alessandro  University of Verona
Chairperson: Fontana  Claudio  University of Padova
Location: Aula 17
Deep learning of data-driven Heath-Jarrow-Morton models
Cuchiero Christa , Fontana Claudio, Gnoatto Alessandro
Presenter: Cuchiero   Christa   University of Vienna
Local Volatility Models for Commodity Forwards
Lavagnini Silvia, Detering Nils
Presenter: Lavagnini  Silvia  BI Norwegian Business School
Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting
Gnoatto Alessandro, Lavagnini Silvia
Presenter: Gnoatto  Alessandro  University of Verona
Natural finite dimensional HJM models are NON-affine.
Krühner Paul
Presenter: Krühner  Paul  WU Vienna
Session: CS61

Deep learning theory

Chairperson: Bietti  Alberto  Flatiron Institute, Simons Foundation
Location: Sala Affreschi
Transformers and Associative Memories
Bietti Alberto
Presenter: Bietti  Alberto  Flatiron Institute, Simons Foundation
Early alignment in two-layer networks training is a two-edged sword
Boursier Etienne
Presenter: Boursier  Etienne  INRIA Saclay
Dissecting associative memory mechanisms
Cabannes Vivien
Presenter: Cabannes  Vivien  META
Provable Advantage of Curriculum Learning on Boolean Targets
Cornacchia Elisabetta
Presenter: Cornacchia  Elisabetta  MIT
12:30 - 14:30

Poster session

Time: 13:30 - 14:30
Location: Cloister

Lunch

14:30 - 16:10
Session: CS15

Recent Advances in Bayesian Nonparametric Statistics

Chairperson: Franzolini  Beatrice  Bocconi University
Chairperson: Catalano  Marta  Luiss University
Location: Sala Chiostro
A random partition model with dependence on covariates
Del Sole Claudio, Lijoi Antonio, Pruenster Igor
Presenter: Del Sole  Claudio  Bocconi University
The multivariate probit Indian buffet process
Stolf Federica
Presenter: Stolf  Federica  University of Padova
Measuring dependence under partial exchangeability with reproducing kernel Hilbert spaces
Mascari Francesco
Presenter: Mascari  Francesco  Bocconi University
Dirichlet process-based inference for Wicksell's inverse problem.
Gili Francesco
Presenter: Gili  Francesco  TU Delft
Session: CS16

Stochastic Evolution Equations

Chairperson: Benedetti  Irene  Department of Mathematics and Computer Science, University of Perugia
Location: Aula 1
Quasi-linear equations in Hilbert spaces and nonlinear random perturbations of PDEs
Guatteri giuseppina
Presenter: Guatteri  giuseppina  Politecnico di Milano
Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
Mastrogiacomo Elisa
Presenter: Mastrogiacomo  Elisa  Dipartimento di Economia, Università dell'Insubria
A class of fractional Ornstein-Uhlenbeck processes mixed with a Gamma distribution
Bianchi Luigi Amedeo, Bonaccorsi Stefano, Tubaro Luciano
Presenter: Bianchi  Luigi Amedeo  Università di Trento
Scaling and criticality in stochastic evolution equations
Agresti Antonio
Presenter: Agresti  Antonio  TU Delft
Session: CS20

Stochastic Modeling in Finance and Insurance I

Chairperson: De Angelis  Tiziano  University of Torino and Collegio Carlo Alberto
Location: Aula 7
Utility maximization for reinsurance policies in a dynamic contagion claim model
Ceci Claudia, Cretarola Alessandra
Presenter: Ceci  Claudia  University of Rome Sapienza
American options with liquidation penalties
De Donno Marzia
Presenter: De Donno  Marzia  Università Cattolica di Milano
Optimal annuitization and bequest motives
Buttarazzi Matteo
Presenter: Buttarazzi  Matteo  La Sapienza University
Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk
Vigna Elena, Ferreira Morici Henrique
Presenter: Vigna  Elena  Università di Torino and Collegio Carlo Alberto
Session: CS26

Geometry of random fields

Chairperson: Stecconi  Michele  Luxembourg
Location: Aula 9
Laguerre Expansion for Nodal Volumes and Applications
Todino Anna Paola
Presenter: Todino  Anna Paola  Università del Piemonte Orientale
On Critical Points of Random Fields
Cammarota Valentina
Presenter: Cammarota  Valentina  Sapienza University of Rome
Minkowski functionals in SO(3) for spin random fields
Pistolato Francesca
Presenter: Pistolato  Francesca  University of Luxembourg
Difference of volume of level sets of coupled smooth Gaussian fields
Hegde Akshay, Belyaev Dmitry
Presenter: Hegde  Akshay  University of Oxford
Session: CS33

Measures, optimal transport and quantum systems

Chairperson: De Vecchi  Francesco  Università di Pavia
Location: Aula 15
Grassmann probatility, stochastic analysis, and applications
Borasi Luigi
Presenter: Borasi  Luigi  Università di Milano (Statale)
Stochastic McKean-Vlasov control problems: a description based on optimal transport
Rigoni Chiara, De Vecchi Francesco
Presenter: Rigoni  Chiara  University of Vienna
Invariant Gibbs measure for Anderson NLW
Zachhuber Immanuel
Presenter: Zachhuber  Immanuel  FU Berlin
Session: CS37

Percolation

Chairperson: Quattropani  Matteo  Sapienza Università di Roma
Location: Aula 17
A toy model of self-critical percolation
Forien Nicolas
Presenter: Forien  Nicolas  University Paris-Dauphine
Percolation on Preferential attachment models
Hazra Rajat Subhra
Presenter: Hazra  Rajat Subhra  University of Leiden
Bootstrap percolation on random trees
Shapira Assaf
Presenter: Shapira  Assaf  MAP5, Université Paris Cité
Chaos and concentration in spatial growth models
Sfragara Matteo
Presenter: Sfragara  Matteo  Stockholm University
Session: CS39

Fractional operators and anomalous diffusions

Chairperson: Beghin  Luisa  Sapienza University
Location: Sala Affreschi
Cameron–Martin Type Theorem for a Class of non-Gaussian Measures
da Silva José
Presenter: da Silva  José  University of Madeira
Semilinear equations for non-local operators
Wagner Vanja
Presenter: Wagner  Vanja  University of Zagreb
An application of Fractional Operators in White Noise Analysis: Bernstein Gaussian Processes
Cristofaro Lorenzo
Presenter: Cristofaro  Lorenzo  University of Luxembourg
Anomalous diffusive limit for a kinetic equation with a thermostatted interface
Bogdan Krzysztof, Komorowski Tomasz, Marino Lorenzo
Presenter: Marino  Lorenzo  ENSTA Paris
16:10 - 16:30

Coffee break

16:30 - 18:10
Session: CS 3

Mean Field Games and Mean Field Control

Chairperson: Campi  Luciano  University of Milan
Chairperson: Cosso  Andrea  University of Milan
Location: Sala Chiostro
On Stationary Mean-field Games with Singular Controls
Ferrari Giorgio
Presenter: Ferrari  Giorgio  Center for Mathematical Economics (IMW), Bielefeld University
Coarse correlated equilibria in linear quadratic mean field games and application to an emission abatement game
Campi Luciano, Cannerozzi Federico
Presenter: Campi  Luciano  University of Milan
Infinite time horizon optimal control of McKean-Vlasov SDEs
Rudà Silvia
Presenter: Rudà  Silvia  Università degli studi di Milano
Mean field optimal stopping
Perelli Laura
Presenter: Perelli  Laura  Università degli Studi di Milano
Session: CS 8

Combinatorial structures in probability and statistics

Chairperson: Bisi  Elia  TU Wien
Location: Aula 1
An almost infinite sites model
Avalos-Pacheco Alejandra
Presenter: Avalos-Pacheco  Alejandra  Technische Universität Wien (TU Wien)
Detecting a late changepoint in the preferential attachment model
Bet Gianmarco
Presenter: Bet  Gianmarco  Università degli Studi di Firenze
Bootstrap percolation is local
Hartarsky Ivailo
Presenter: Hartarsky  Ivailo  Technical University of Vienna
Hearing the shape of a random matrix
Cunden Fabio Deelan
Presenter: Cunden  Fabio Deelan  Università di Bari & INFN Bari
Session: CS19

Advances in statistics for stochastic processes

Chairperson: Mazzonetto  Sara  Université de Lorraine, CNRS, Inria, IECL, Nancy, France
Location: Aula 7
Parameter estimation for iid paths of diffusion processes under local differential privacy constraints
Amorino Chiara
Presenter: Amorino  Chiara  University of Luxembourg
Likelihood Methods for Low Frequency Diffusion Data
Giordano Matteo
Presenter: Giordano  Matteo  Università degli Studi di Torino
About small jumps of Lévy processes : approximations and estimation
Mariucci Ester
Presenter: Mariucci  Ester  UVSQ
Limit theorems for extremes of non-stationary processes
Passeggeri Riccardo
Presenter: Passeggeri  Riccardo  Imperial College London
Session: CS21

Stochastic Modeling in Finance and Insurance II

Chairperson: Milazzo  Alessandro  Università di Torino
Location: Aula 9
Dynamic Tax Evasion and Capital Misallocation in General Equilibrium
Regis Luca, Menoncin Francesco, Modena Andrea
Presenter: Regis  Luca  University of Torino and Collegio Carlo Alberto
Symmetric Bernoulli distributions and minimal dependence copulas
Mutti Alessandro, Semeraro Patrizia
Presenter: Semeraro  Patrizia  Politecnico di Torino
An optimal stopping problem for equity-linked life insurance policies
Milazzo Alessandro
Presenter: Milazzo  Alessandro  Università di Torino
Geometrically convex risk measures
Aygun Mucahit , Bellini Fabio, Laeven Roger J.A.
Presenter: Bellini  Fabio  University of Milano-Bicocca
Session: CS38

Subordination and time-changed stochastic processes

Chairperson: De Gregorio  Alessandro  Sapienza University
Location: Aula 15
Path dynamics of time-changed Lévy processes: a martingale approach
Iafrate Francesco, De Gregorio Alessandro
Presenter: Iafrate  Francesco  Sapienza University
Numerical approximation of stochastic differential equations modeling subdiffusions
Kobayashi Kei
Presenter: Kobayashi  Kei  Fordham University
Non-local Boundary Value Problems for Brownian motions
Colantoni Fausto
Presenter: Colantoni  Fausto  Università di Roma La Sapienza
Discrete-time arrival processes and defectivity
Polito Federico
Presenter: Polito  Federico  University of Torino
Session: CS41

Limit theorems for random structures

Chairperson: Turchi  Nicola  Università degli Studi di Milano-Bicocca
Location: Aula 17
Limit theory of sparse random geometric graphs in high dimensions
Bonnet Gilles
Presenter: Bonnet  Gilles  University Of Groningen
Correlation structure for arithmetic random waves
Rossi Maurizia
Presenter: Rossi  Maurizia  University of Milano-Bicocca
Quantitative CLTs for Poisson Functionals with Applications to Random Graphs
Trauthwein Tara
Presenter: Trauthwein  Tara  University of Oxford
Phase transition for the volume of high-dimensional random polytopes
Turchi Nicola
Presenter: Turchi  Nicola  Università degli Studi di Milano-Bicocca
Session: CS46

Semilinear Stochastic Differential Equations in Infinite-Dimensional Spaces

Chairperson: Cretarola  Alessandra   University of Perugia
Location: Sala Affreschi
Existence of nonnegative mild solutions of stochastic evolution inclusions via weak topology
Cretarola Alessandra , Benedetti Irene
Presenter: Cretarola  Alessandra   University of Perugia
Periodic solutions for stochastic differential inclusions
Benedetti Irene, Cretarola Alessandra
Presenter: Benedetti  Irene  Department of Mathematics and Computer Science, University of Perugia
Integral functional inequalities for generalized Mehler semigroups
Angiuli Luciana
Presenter: Angiuli  Luciana  Dipartimento di Matematica e Fisica "E.De Giorgi"-Università del Salento
Wednesday, June 12, 2024
09:00 - 10:00

Massimiliano Gubinelli (University of Oxford)

"An invitation to stochastic quantisation"
Location: Aula 1 (Sala Chiostro in streaming)
10:00 - 10:30

Coffee break

10:30 - 12:30
Session: IS 9

Bsde's, martingale representations and enlargement of filtration

Chairperson: Fontana  Claudio  University of Padova
Location: Sala Chiostro
Predictable representation property for an enlarged filtration with applications
Aksamit Anna
Presenter: Aksamit  Anna  The University of Sydney
Perpetual American standard and lookback options with event risk and asymmetric information
Gapeev Pavel
Presenter: Gapeev  Pavel  LSE
Orthogonality, Stable Subspaces and Covariation Processes in Enlargement of Filtration
Torti Barbara, Calzolari Antonella
Presenter: Torti  Barbara  Università di Roma Tor Vergata
Weak representation property in progressively enlarged filtrations
Di Tella Paolo
Presenter: Di Tella  Paolo  TU Dresden
Session: IS11

Stochastic Fluid Dynamics

Chairperson: Grotto  Francesco  Università di Pisa
Location: Aula 1
The statistical approach to 2D incompressible fluid dynamics
Grotto Francesco
Presenter: Grotto  Francesco  Università di Pisa
Scaling limits for SPDEs with transport noise
Galeati Lucio
Presenter: Galeati  Lucio  EPFL
Approximation of 2D Navier-Stokes equations with vorticity creation at the boundary by stochastic interacting particle systems
Grotto Francesco, Luongo Eliseo, Maurelli Mario
Presenter: Maurelli  Mario  Università di Pisa
On applications of the "perturbed test function" method in fluid dynamics
Pappalettera Umberto
Presenter: Pappalettera  Umberto  Bielefeld University
Session: IS12

Random surfaces

Chairperson: Cipriani  Alessandra  UCL
Location: Aula 7
Fermionic structure in the Abelian sandpile and the uniform spanning tree
Cipriani Alessandra
Presenter: Cipriani  Alessandra  UCL
Directed polymers on supercritical percolation clusters
Nitzschner Maximilian
Presenter: Nitzschner  Maximilian  The Hong Kong University of Science and Technology
A topological phase transition in the XY model
van Engelenburg Diederik
Presenter: van Engelenburg  Diederik  University of Lyon 1
Scaling limits and fluctuations of discrete stochastic PDEs
Chiarini Leandro, Jara Milton, Ruszel Wioletta
Presenter: Chiarini  Leandro  Durham University
Session: IS21

Complex networks and random graphs

Chairperson: Avena  Luca  University of Florence
Location: Aula 9
Limiting spectra of inhomogeneous random graph models: from sparse to dense regime
Avena Luca
Presenter: Avena  Luca  University of Florence
Spatial coagulation processes and random graphs: large deviations and phase transitions.
Andreis Luisa
Presenter: Andreis  Luisa   Politecnico di Milano
Voter model on random directed graphs
Capannoli Federico
Presenter: Capannoli  Federico  Leiden University
Phase transition for the late points of random walk
Sousi Perla
Presenter: Sousi  Perla  University of Cambridge
Session: CS23

Stochastic processes and their applications

Chairperson: Colaneri  Katia  University of Rome Tor Vergata
Location: Aula 15
Markovian lifting and optimal control for integral stochastic Volterra equations with completely monotone kernels
Confortola Fulvia, Bonaccorsi Stefano
Presenter: Confortola  Fulvia  Politecnico of Milan
A MFG approach for competing firms in the Emission Trading System
leocata marta
Presenter: leocata  marta  LUISS
A Dam Management Problem with Energy Production as an Optimal Switching Problem
Di Girolami Cristina
Presenter: Di Girolami  Cristina  Università di Bologna
Statistical Inference for Stochastic Volatility via Backward Filtering Forward Guiding
Damian Camilla
Presenter: Damian  Camilla  Vrije Universiteit Amsterdam
Session: CS24

Neural Networks at initialization

Chairperson: Salvi  Michele  University of Rome, Tor Vergata
Location: Aula 17
Large-width asymptotics and training dynamics of $\alpha$-Stable ReLU neural networks
Favaro Stefano
Presenter: Favaro  Stefano  University of Torino and Collegio Carlo Alberto
Large and moderate deviations for Gaussian neural networks
Macci Claudio, Pacchiarotti Barbara, Torrisi Giovanni Luca
Presenter: Macci  Claudio  Dipartimento di Matematica, Università di Roma Tor Vergata
Functional Fluctuations of Fully Connected Neural Networks
Peccati Giovanni
Presenter: Peccati  Giovanni  University of Luxembourg
Normal approximation of random Gaussian neural networks
De Canditiis Daniela
Presenter: De Canditiis  Daniela  Istituto per le Applicazioni del Calcolo - CNR
Session: CS30

Fractional processes and Malliavin calculus for stochastic models

Chairperson: Pirozzi  Enrica  Dipartimento di Matematica e Fisica, Università della Campania Luigi Vanvitelli
Location: Sala Affreschi
Entropy and entropy functionals of fractional processes
Mishura Yuliya
Presenter: Mishura  Yuliya  Taras Shevchenko National University of Kyiv
First passage time of Dickman subordinator and non-local operators
Leonenko Nikolai
Presenter: Leonenko  Nikolai  Cardiff University
On the power law in a class of sandwiched Volterra volatility models
Di Nunno Giulia
Presenter: Di Nunno  Giulia  University of Oslo
Optimizing Logarithmic Utility: Probing Expected Gains through Anticipative Information in a Brownian-Poisson Market
D'Auria Bernardo
Presenter: D'Auria  Bernardo  Università di Padova
12:30 - 17:00

Free afternoon

17:00 - 19:00

Hugo Duminil-Copin

Colloquium
Location: Sala della Protomoteca, Piazza del Campidoglio
19:30 - 23:00

Conference dinner

Location: Terrazza Caffarelli
Thursday, June 13, 2024
09:00 - 10:00

Cristina Toninelli (University Paris Dauphine - PSL & École normale supérieure)

"Bootstrap percolation and kinetically constrained models: universality results"
Location: Aula 1 (Sala Chiostro in streaming)
10:00 - 10:30

Coffee break

10:30 - 12:30
Session: IS 1

A promenade through integrable system

Chairperson: Occelli  Alessandra  Université d'Angers
Location: Sala Chiostro
Biorthogonal measures, polymer partition functions, and random matrices
Cafasso Mattia
Presenter: Cafasso  Mattia  Université d'Angers, LAREMA
The finite temperature Airy and sine determinantal point processes
Tarricone Sofia
Presenter: Tarricone  Sofia  Institut de Physique Théorique, CEA - Université Paris Saclay
Large Deviations for the height function of the deformed polynuclear growth.
Mucciconi Matteo
Presenter: Mucciconi  Matteo  University of Warwick
Ablowitz-Ladik lattice and the Circular β-ensemble: a surprising connection (?)
Mazzuca Guido
Presenter: Mazzuca  Guido  Tulane
Session: IS13

Non-local operators in probability

Chairperson: Ascione  Giacomo  Scuola Superiore Meridionale
Location: Aula 1
Time-nonlocal operators in probability: a brief summary
Ascione Giacomo
Presenter: Ascione  Giacomo  Scuola Superiore Meridionale
Semilinear equations for subordinate spectral Laplacian
Biocic Ivan
Presenter: Biocic  Ivan  Università degli Studi di Torino
Semi-Markov approach to non-local equations
Toaldo Bruno
Presenter: Toaldo  Bruno  Università degli Studi di Torino
First-passage time densities for non-Markovian uncoupled continuous-time random walks and the universality of the Sparre Andersen theorem
Pagnini Gianni
Presenter: Pagnini  Gianni  BCAM - Basque Center for Applied Mathematics
Session: IS15

Stochastic processes in the natural sciences

Chairperson: D'Onofrio  Giuseppe  Politecnico di Torino
Chairperson: Spina  Serena  Università di Salerno
Location: Aula 7
Large deviations for Markov processes via Hamilton-Jacobi-Bellman equations
Della Corte Serena
Presenter: Della Corte  Serena  Delft University of Technology
Sampling probabilities, diffusions, ancestral graphs, and duality under strong selection
Favero Martina
Presenter: Favero  Martina  University of Stockholm
On approximating the first passage time density using generalised Laguerre polynomials
Martini Tommaso
Presenter: Martini  Tommaso  University of Turin
Separation index and classification techniques based on Shannon entropy
Buono Francesco
Presenter: Buono  Francesco  RWTH Aachen University
Session: IS17

Fractional volatility modeling in mathematical finance : from estimation to approximation methods

Chairperson: De Marco  Stefano  Ecole Polytechnique
Location: Aula 9
The Multivariate Fractional Ornstein-Uhlenbeck Process
Dugo Ranieri, Giorgio Giacomo, Pigato Paolo
Presenter: Pigato  Paolo  Universita Roma Tor Vergata, Dipartimento di Economia e Finanza
A bivariate rough volatility model
Dugo Ranieri, Giorgio Giacomo
Presenter: Dugo  Ranieri  University of Rome Tor Vergata
Polynomial Volterra Processes
Pulido Sergio
Presenter: Pulido  Sergio  ENSIIE - LaMME, Evry, France
Volatility: Rough or not?
Guyon Julien
Presenter: Guyon  Julien  Ecole des Ponts ParisTech
Session: CS 2

Mean Field Games and Mean Field Control I

Chairperson: Dianetti  Jodi  Bielefeld University
Chairperson: Martini  Mattia  Université Côte d'Azur
Location: Aula 15
On the Optimal Control of McKean Vlasov SDEs and Mean Field Games in Infinite Dimension
Gozzi Fausto, Kharroubi Idris, Pham Huyên, Rosestolato Mauro
Presenter: Gozzi  Fausto  Università LUISS
A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems
Cosso Andrea
Presenter: Cosso  Andrea  University of Milan
Ergodic mean field games of singular control: beyond Nash equilibria
Cannerozzi Federico, Ferrari Giorgio
Presenter: Cannerozzi  Federico  University of Milan
Nonlinear Graphon mean-field systems
Coppini Fabio, De Crescenzo Anna, Pham Huyên
Presenter: De Crescenzo  Anna  LPSM, UMR CNRS 8001, Sorbonne Université and Université Paris Cité
Session: CS47

Statistical inference in infinite dimensional spaces

Chairperson: Caponera  Alessia  University of Milano Bicocca
Location: Aula 17
Optimal Transport for Covariance Operators
Santoro Leonardo
Presenter: Santoro  Leonardo  EPFL
Fréchet Means in Infinite Dimensions
Jaffe Adam
Presenter: Jaffe  Adam  UC Berkeley, Department of Statistics
A way to measure the complexity of random processes
Bongiorno Enea, Chan Lax, Goia Aldo, Vieu Philippe
Presenter: Bongiorno  Enea  Università del Piemonte Orientale
Asymptotics for isotropic Hilbert-valued spherical random fields
Caponera Alessia
Presenter: Caponera  Alessia  University of Milano Bicocca
Session: CS51

Optimality: theoretical and applied results

Chairperson: Zucca  Cristina  University of Torino
Location: Sala Affreschi
Optimal solution of redundant measurements in frequency domain
Collini Francesca
Presenter: Collini  Francesca  Bureau international des poids et mesures
Enhancing Branch and Bound Based Solvers through Probability Estimation via Neural Network
Sciandra Lorenzo
Presenter: Sciandra  Lorenzo  University of Turin
CUSUM with Laplace distributed scores
Zucca Cristina
Presenter: Zucca  Cristina  University of Torino
12:30 - 14:30

Lunch

14:30 - 16:10
Session: CS22

Statistics for Stochastic Processes and applications

Chairperson: Amorino  Chiara  University of Luxembourg
Location: Sala Chiostro
Mixed moving average field guided learning for raster data cubes
Curato Imma
Presenter: Curato  Imma  TU Chemnitz
Threshold CIR process: drift parameters estimation
Mazzonetto Sara
Presenter: Mazzonetto  Sara  Université de Lorraine, CNRS, Inria, IECL, Nancy, France
The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity
Casini Alessandro
Presenter: Casini  Alessandro  Tor Vergata University of Rome
Inference for a Stochastic Partial Differential Equations related to an ecological niche.
Delgado-Vences Francisco Javier
Presenter: Delgado-Vences  Francisco Javier  Instituto de Matematicas - UNAM
Session: CS29

Advances in Stochastic Control and System Modeling

Chairperson: D'Auria  Bernardo  Università di Padova
Location: Aula 1
Linear-quadratic stochastic control with state constraints on finite-time horizon
De Angelis Tiziano, Ekstrom Erik
Presenter: De Angelis  Tiziano  University of Torino and Collegio Carlo Alberto
Mittag-Leffler queues and an application to the fractional double auction model
Georgiou Nicos
Presenter: Georgiou  Nicos  University of Sussex
A critical assessment of the HK stochastic integral
Escudero Carlos
Presenter: Escudero  Carlos  Universidad Nacional de Educación a Distancia
Reliability analysis of a K-out-of-N system with random effort
D'Amico Guglielmo, Raj Raina, Selvamuthu Dharmaraja
Presenter: D'Amico  Guglielmo  Department of Economics, University G. d'Annunzio of Chieti-Pescara
Session: CS35

Monte Carlo methods and Applications I

Chairperson: Iacobucci  Alessandra  CEREMADE-CNRS and Université Paris Dauphine
Chairperson: Bertazzi  Andrea  École Polytechnique
Location: Aula 7
Sampling advances by adaptive regenerative processes and importance Monte Carlo
Robert Christian
Presenter: Robert  Christian  Université Paris Dauphine PSL
A connection between Tempering and Entropic Mirror Descent
Crucinio Francesca Romana
Presenter: Crucinio  Francesca Romana  King's College London
Quantitative convergence bounds for kinetic Langevin and Hamiltonian Monte Carlo
Monmarché Pierre
Presenter: Monmarché  Pierre  Sorbonne Université
Necessary symmetries in non-reversible sampling by Event-Chain Monte Carlo and generalization to non-translational flows
Michel Manon
Presenter: Michel  Manon  CNRS, Université Clermont-Auvergne
Session: CS40

Recent developments for urn models

Chairperson: Ghiglietti  Andrea  Università degli Studi di Milano-Bicocca
Location: Aula 9
Asymptotic behavior of interacting innovation processes
Ghiglietti Andrea
Presenter: Ghiglietti  Andrea  Università degli Studi di Milano-Bicocca
Empirical process of continuous-time Markov branching processes and applications to Polya's urn
Vidyashankar Anand
Presenter: Vidyashankar  Anand  George Mason University
Interacting Urn Schemes
Bandyopadhyay Antar
Presenter: Bandyopadhyay  Antar  Indian Statistical Institute, Delhi Centre
Interacting reinforced urn models for the design and analysis of Basket clinical trials
Frieri Rosamarie
Presenter: Frieri  Rosamarie  Università di Bologna
Session: CS43

Hydrodynamic limits

Chairperson: Sau  Federico  University of Trieste
Location: Aula 15
Scaling limits of boundary-driven interacting particle systems and random walks on Lipschitz domains
Portinale Lorenzo
Presenter: Portinale  Lorenzo  Hausdorff Center for Mathematics, Bonn
From exclusion to the heat equation with non-linear Robin boundary conditions
Salvador Beatriz
Presenter: Salvador  Beatriz  Instito Superior Tecnico
Non-equilibrium fluctuations for the symmetric partial exclusion
Gonçalves Patricia
Presenter: Gonçalves  Patricia  IST Lisbon
Session: CS44

Algebraic option pricing and probability: in honor of Peter Carr

Chairperson: Cherubini  Umberto  University of Bologna
Chairperson: Mulinacci  Sabrina  University of Bologna
Location: Aula 17
Pickands Option Pricing
Cherubini Umberto
Presenter: Cherubini  Umberto  University of Bologna
Introducing and testing the Carr model of default
Maglione Federico
Presenter: Maglione  Federico  University of Florence
Bid-Ask Bounds for Option Prices: The Two-Tail Distortion Model
Mulinacci Sabrina
Presenter: Mulinacci  Sabrina  University of Bologna
Bid-ask American option pricing under Dempster-Shafer uncertainty
Cinfrignini Andrea, Petturiti Davide, Vantaggi Barbara
Presenter: Vantaggi  Barbara  Sapienza
Session: CS48

Probabilistic methods for energy transition

Chairperson: Vargiolu  Tiziano  University of Padova
Chairperson: Picarelli  Athena  Università di Verona
Location: Aula Affreschi
Mean-field approach for demand side management contracts in energy markets
Scaratti Marco
Presenter: Scaratti  Marco  University of Verona
Gaussian Volterra processes as models of electricity markets
Mishura Yuliya, Ottaviano Stefania, Vargiolu Tiziano
Presenter: Ottaviano  Stefania  University of Padova
A numerical scheme for extended mean-field control problems with application to energy production and distribution
Tam Jonathan Yick Yeung, Scaratti Marco
Presenter: Tam  Jonathan Yick Yeung  University of Verona
Measure-valued processes for energy markets
Svaluto-Ferro Sara
Presenter: Svaluto-Ferro  Sara  University of Verona
16:10 - 16:30

Coffee break

16:30 - 18:10
Session: CS25

Statistical analysis of high-frequency prices

Chairperson: Benvenuti  Francesco  Department of Mathematical Sciences, Aalborg University
Location: Sala Chiostro
Drift burst test statistic in the presence of infinite variation jumps
Mancini Cecilia
Presenter: Mancini  Cecilia  University of Verona
Testing for endogeneity of irregular sampling schemes
Pirino Davide, Kolokolov Aleksey , Livieri Giulia
Presenter: Pirino  Davide  Università degli Studi di Roma Tor Vergata
A seismometer for Ito semimartingales
Benvenuti Francesco, Renò Roberto
Presenter: Benvenuti  Francesco  Department of Mathematical Sciences, Aalborg University
Microstructural Foundations for Rough Noise
Christensen Peter, Midtgaard Norlyk Anders
Presenter: Christensen  Peter  Aarhus University
Session: CS36

Monte Carlo methods and Applications II

Chairperson: Crucinio  Francesca Romana  King's College London
Location: Aula 1
Unbiased constrained sampling with Self-Concordant Barrier Hamiltonian Monte Carlo
Noble Maxence, Durmus Alain
Presenter: Noble  Maxence  Ecole Polytechnique
Optimal Thinning od MCMC Output
Riabiz Marina
Presenter: Riabiz  Marina  King's College London
Optimizing the diffusion of overdamped Langevin dynamics
Santet Régis
Presenter: Santet  Régis  CERMICS, École des Ponts & MATHERIALS, Inria Paris
Sticky coupling as a control variate for sensitivity analysis
Darshan Shiva
Presenter: Darshan  Shiva  CERMICS ENPC/Inria Paris
Session: CS42

Rough paths

Chairperson: Riedel  Sebastian  University of Hagen
Chairperson: Bayer  Christian  WIAS Berlin
Chairperson: Hager  Paul P.  Technische Universität Berlin
Location: Aula 7
Advancing Optimal Stochastic Control with Signatures
Hager Paul P., Bayer Christian, Riedel Sebastian, Nauen Tobias
Presenter: Hager  Paul P.  Technische Universität Berlin
Generating Lévy area of Brownian motion for adaptive and high-order SDE simulation
Jelincic Andraz
Presenter: Jelincic  Andraz  University of Bath
Itô's formula for non-anticipative functionals of càdlàg rough paths
Primavera Francesca, Cuchiero Christa , Guo XIn
Presenter: Primavera  Francesca  University of Vienna
Log Neural Controlled Differential Equations: The Lie Brackets Make a Difference
Walker Benjamin
Presenter: Walker  Benjamin  University of Oxford
Session: CS45

Mckean-Vlasov equations and related PDEs

Chairperson: Issoglio  Elena  Università di Torino
Chairperson: Pagliarani  Stefano  Università di Bologna
Location: Aula 9
Some results on mean-field non-Markovian controlled interacting systems
Zanco Giovanni
Presenter: Zanco  Giovanni  Università di Siena
Beyond propagation of chaos : correlations control in mean-field systems
Armand Bernou
Presenter: Armand  Bernou  Université Claude Bernard Lyon 1
Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces - Part I
Issoglio Elena, Pagliarani Stefano, Russo Francesco, Trevisani Davide
Presenter: Pagliarani  Stefano  Università di Bologna
Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces - Part II
Issoglio Elena, Pagliarani Stefano , Russo Francesco, Trevisani Davide
Presenter: Issoglio  Elena  Università di Torino
Session: CS49

Analytical and numerical methods for energy transition

Chairperson: Vargiolu  Tiziano  University of Padova
Chairperson: Picarelli  Athena  Università di Verona
Location: Aula 15
On the convolution equivalence of tempered stable distributions on the real line
Torricelli Lorenzo
Presenter: Torricelli  Lorenzo  University of Bologna
Self-consumption groups and the optimal management of storage
Awerkin Vargas Almendra Alexandra
Presenter: Awerkin Vargas  Almendra Alexandra  Università di Pavia
Optimal reinstallation of photovoltaic panels
Vargiolu Tiziano, Ferrari Giorgio
Presenter: Vargiolu  Tiziano  University of Padova
Machine learning methods for American-style path-dependent contracts
Gambara Matteo, Livieri Giulia, Pallavicini Andrea
Presenter: Pallavicini  Andrea  Intesa Sanpaolo
Session: CS52

Trees and combinatorial probability

Chairperson: Aleandri  Michele  LUISS University
Location: Aula 17
The Permuton Tree
Corsini Benoît
Presenter: Corsini  Benoît  TU/e
Appearance of Forests and Trees in the Solution of the Poisson Equation for Markov Jump Processes
khodabandehlou Faezeh, Maes Christian, Netocny Karel
Presenter: khodabandehlou  Faezeh  Department of physics and astronomy
Friedlin Wentzell solutions of discrete Hamilton Jacobi equations
Pallotta Giulia
Presenter: Pallotta  Giulia  University of L'Aquila
Session: CS53

Connections between stochastic models and game and voting theory

Chairperson: De Santis  Emilio  Sapienza University of Rome
Location: Sala Affreschi
Conditions on Load-Sharing Models which Avoid Paradoxes of Stochastic Precedence and Voting Theory
Tassi Niccolo
Presenter: Tassi  Niccolo  Universidad de Granada
Poisson games and convergence of large atomic congestion games
Cominetti Roberto, Scarsini Marco, Schroeder Marc, Stier-Moses Nicolás
Presenter: Cominetti  Roberto  Universidad Adolfo Ibáñez
Can every ranking pattern be obtained?
De Santis Emilio
Presenter: De Santis  Emilio  Sapienza University of Rome
Load-sharing survival models in the analysis of minima within subsets of random variables
Spizzichino Fabio
Presenter: Spizzichino  Fabio  Sapienza University
Friday, June 14, 2024
09:00 - 10:00

Francesco Caravenna (Milano Bicocca)

"The 2d Stochastic Heat Equation and related critical models"
Location: Aula 1 (Sala Chiostro in streaming)
10:00 - 10:30

Coffee break

10:30 - 12:30
Session: IS10

Probability, Statistics and Quantum

Chairperson: Trevisan  Dario  Dipartimento di Matematica - Università di Pisa
Location: Sala Chiostro
Stochastic interpretation of Bose-Einstein Condensation
Ugolini Stefania, De Vecchi Francesco, Borasi Luigi
Presenter: Ugolini  Stefania  Department of Mathematics, University of Milan
Feynman path integrals for the Schrödinger equation with magnetic field
Mazzucchi Sonia
Presenter: Mazzucchi  Sonia  Math Department, University of Trento
Statistical Complexity of Quantum Learning
Banchi Leonardo
Presenter: Banchi  Leonardo  University of Florence
Optimal estimation of quantum Markov chains
Girotti Federico
Presenter: Girotti  Federico  Politecnico di Milano
Session: IS14

Stochastic Control and Game-theoretic Models in Economics and Finance

Chairperson: Ferrari  Giorgio  Center for Mathematical Economics (IMW), Bielefeld University
Location: Aula 1
Bayesian Persuasion
Bonesini Ofelia, Campi Luciano
Presenter: Bonesini  Ofelia  Imperial College London
A mean-field model for optimal investment
Calvia Alessandro, Federico Salvatore, Ferrari Giorgio, Gozzi Fausto
Presenter: Calvia  Alessandro  University of Parma
Reinforcement learning for optimal stopping problems with exploration: A singular control formulation
Dianetti Jodi
Presenter: Dianetti  Jodi  Bielefeld University
Second-order smooth-fit for a class of singular stochastic control problems in infinite dimension
Federico Salvatore, Ferrari Giorgio, Riedel Frank, Roeckner Michael
Presenter: Federico  Salvatore  Università di Bologna
Session: IS16

Random walks and disordered models

Chairperson: Torri  Niccolo  Université Paris-Nanterre
Location: Aula 7
The prudent self-avoiding walk in dimension six and higher
Torri Niccolo
Presenter: Torri  Niccolo  Université Paris-Nanterre
The 2d directed polymer under the quasi-critical regime
Cottini Francesca
Presenter: Cottini  Francesca  University of Luxembourg - National University of Singapore
On the boundary at infinity for branching random walk
Candellero Elisabetta
Presenter: Candellero  Elisabetta  Roma Tre University
Non-intersecting path constructions for inhomogeneous TASEP and the KPZ fixed point
Bisi Elia
Presenter: Bisi  Elia  TU Wien
Session: IS19

Dependence Modeling

Chairperson: Perrone  Elisa  Eindhoven University of Technology
Location: Aula 9
Copula-based clustering algorithms
Durante Fabrizio
Presenter: Durante  Fabrizio  University of Salento
Algebraic methods in contingency table analysis and discrete copulas
Perrone Elisa, Fontana Roberto, Rapallo Fabio
Presenter: Perrone  Elisa  Eindhoven University of Technology
A model-free feature selection method for multi-outcome data based on predictive strength
Fuchs Sebastian
Presenter: Fuchs  Sebastian  University of Salzburg
Copula modelling with penalized complexity priors
Grazian Clara
Presenter: Grazian  Clara  University of Sydney
Session: IS22

Universality, Stochastic PDEs and Random Growth

Chairperson: Cannizzaro  Giuseppe  University of Warwick
Location: Aula 15
Towards a Painlevé formula for PNG model with external sources in half-space
Occelli Alessandra
Presenter: Occelli  Alessandra  Université d'Angers
Bulk deviations for the simple random walk
Chiarini Alberto
Presenter: Chiarini  Alberto  Università degli Studi di Padova
The Allen-Cahn equation with weakly critical initial datum.
Rosati Tommaso
Presenter: Rosati  Tommaso  University of Warwick
Crossover from the Brownian Castle to Edwards-Wilkinson
Cannizzaro Giuseppe
Presenter: Cannizzaro  Giuseppe  University of Warwick
Session: CS27

Particle systems with spatial and self-interactions

Chairperson: Callegaro  Alice  TU Munich
Location: Aula 17
Interacting Edge-Reinforced Random Walks
Gantert Nina
Presenter: Gantert  Nina  Technical University of Berlin
Gelation and hydrodynamic limits in cluster coagulation processes
Magnanini Elena
Presenter: Magnanini  Elena  WIAS Berlin
Aging and sub-aging for one-dimensional random walks amongst random conductances
Scali Carlo
Presenter: Scali  Carlo  Technische Universität München
Non-monotone Interacting Particle Systems
Stauffer Alexandre
Presenter: Stauffer  Alexandre  King's College London
Session: CS50

Anomalous phenomena on regular and irregular domains

Chairperson: D'Ovidio  Mirko  Sapienza University of Rome
Location: Sala Affreschi
Earthquake diffusion process on metric graphs
Tavani Flavia
Presenter: Tavani  Flavia  Istituto Nazionale di Geofisica e Vulcanologia
Qualitative properties of stochastic partial differential equations with fractional operators.
Foondun Mohammud
Presenter: Foondun  Mohammud  University of Strathclyde
Sticky Brownian Motion & Its Numerical Solution
Bou-Rabee Nawaf
Presenter: Bou-Rabee  Nawaf  Rutgers
Fractional Boundary Value Problems and Elastic Sticky Brownian Motions
D'Ovidio Mirko
Presenter: D'Ovidio  Mirko  Sapienza University of Rome
12:30 - 14:30

Lunch

14:30 - 16:10
Session: CS28

Statistical mechanics and interacting particle systems

Chairperson: Candellero  Elisabetta  Roma Tre University
Location: Sala Chiostro
Nonlinear dynamics for the Ising model
Caputo Pietro
Presenter: Caputo  Pietro  Roma Tre University
Ground state energy of strongly-interacting bosons and fermions in 1D
Reuvers Robin
Presenter: Reuvers  Robin  Roma Tre University
Random loops, dimers, spins and the Bose gas
Taggi Lorenzo
Presenter: Taggi  Lorenzo  Sapienza Università di Roma
Pokrovsky-Talapov critical behavior for interacting dimers at the liquid-frozen transition
Giuliani Alessandro
Presenter: Giuliani  Alessandro  Università degli Studi Roma Tre
Session: CS55

New probabilistic approaches in mathematical finance

Chairperson: Torricelli  Lorenzo  University of Bologna
Location: Aula 1
Reduced-form framework for multiple ordered default times under model uncertainty
Biagini Francesca, Mazzon Andrea, Oberpriller Katharina
Presenter: Mazzon  Andrea  University of Verona
Functional weak convergence of the financial gains for tick-by-tick models
Sojmark Andreas, Wunderlich Fabrice
Presenter: Sojmark  Andreas  London School of Economics
Price formation under asymmetry of information - a mean-field approach
Lanaro Giacomo
Presenter: Lanaro  Giacomo  Università degli Studi di Padova
Dynamic Return and Star-Shaped Risk Measures via BSDEs
Zullino Marco
Presenter: Zullino  Marco  University of Pavia and University of Amsterdam
Session: CS57

Statistical Mechanics and applications

Chairperson: Kuna  Tobias  University of L'Aquila and University of Reading
Location: Aula 7
Microscopic characterisation of the non-equilibrium stationary states for the Harmonic model
Carinci Gioia
Presenter: Carinci  Gioia  Università di Modena e Reggio Emila
On the Smoluchowski equation for aggregation phenomena: stationary non-equilibrium solutions
Nota Alessia
Presenter: Nota  Alessia  University of L'Aquila
The realizability problem as infinite dimensional moment problem
Infusino Maria
Presenter: Infusino  Maria  Università degli Studi di Cagliari
A Brownian Loop Soup based Conformal Field Theory
Gandolfi Alberto
Presenter: Gandolfi  Alberto  New York University Abu Dhabi
Session: CS59

Dependent random measures: evolution and inference

Chairperson: Spanò  Dario  University of Warwick
Location: Aula 9
Conditional distribution of Wright-Fisher diffusions given genealogy-type data
Ascolani Filippo, Ruggiero Matteo
Presenter: Ascolani  Filippo  Duke University
Bernoulli factories and duality for general Wright-Fisher and coalescent processes
Koskela Jere, Łatuszyński Krzysztof, Spanò Dario
Presenter: Koskela  Jere  Newcastle University
Posterior sampling from truncated Ferguson-Klass representation of normalised completely random measure mixtures
Zhang Junyi, Dassios Angelos
Presenter: Zhang  Junyi  Hong Kong Polytechnic University
Inferring natural selection and allele age from allele frequency time series data via exact simulation
Sant Jaromir, Jenkins Paul A, Spanò Dario, Koskela Jere
Presenter: Sant  Jaromir  University of Oxford
Session: CS60

Extreme value theory

Chairperson: Spodarev  Evgeny  Ulm University
Location: Aula 15
Extremes of multivariate locally-additive Gaussian random fields
Ievlev Pavel
Presenter: Ievlev  Pavel  University of Lausanne
Long-Range Dependence in Extreme Value Analysis
Oesting Marco
Presenter: Oesting  Marco  University of Stuttgart
Prediction of max--stable random functions via excursion sets
Spodarev Evgeny, Makogin Vitalii, Donhauser Tim
Presenter: Spodarev  Evgeny  Ulm University
Regular variation for general random elements
Basrak Bojan
Presenter: Basrak  Bojan  University of Zagreb