Colloquium/Seminar

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Event(s) on August 2014


  • Friday, 1st August, 2014

    Title: Peacock and martingale optimal transport problem
    Speaker: Dr. Tan Xiaolu, CEREMADE, University of Pairs-Dauphine, France
    Time/Place: 10:00  -  11:00
    FSC1217, Fong Shu Chuen Library, HSH Campus, Hong Kong Baptist University
    Abstract: A peacock (PCOC: "Processus Croissant pour l'Ordre Convexe" in French) is a process increasing in convex ordering. A process is a peacock if and only if there is some associated (but not unique) martingale admitting the same one-dimensional marginal distributions. We consider the problem of looking for the extremal martingale associated to a given peacock. In this talk, we will discuss some recent results in this subject and its relationship with the martingale optimal transport problem.


  • Friday, 1st August, 2014

    Title: Quadratic BSDEs with Jumps: a Fixed-point Approach
    Speaker: Dr. Zhou Chao, Department of Mathematics, National University of Singapore, Singapore
    Time/Place: 11:00  -  12:00
    FSC1217, Fong Shu Chuen Library, HSH Campus, Hong Kong Baptist University
    Abstract: We prove the existence of bounded solutions of quadratic backward SDEs with jumps, using a direct fixed-point approach as in Tevzadze (2008). Under an additional standard assumption, we prove a uniqueness result, thanks to a comparison theorem. Then we study the properties of the corresponding g-expectations, we obtain in particular a non-linear Doob-Meyer decomposition for g-submartingales. We also give applications for dynamic risk measures and compute their inf-convolution, with some explicit examples of optimal risk transfer between two agents.


  • Tuesday, 26th August, 2014

    Title: Geometric Modeling in Probability and Statistics
    Speaker: Prof. Ovidiu Calin , Department of Mathematics, Eastern Michigan University, USA
    Time/Place: 11:00  -  12:00
    FSC1217, Fong Shu Chuen Library, HSH Campus, Hong Kong Baptist University
    Abstract: This talk is about Informational Geometry, a field which deals with the differential geometric study of the manifold probability density functions. This is a field that is increasingly attracting the interest of researchers from many different areas of science, including mathematics, statistics, geometry, computer science, signal processing, physics and neuroscience. The main idea is that collected data can be structured geometrically as a manifold and can be analyzed using differential geometric concepts such as curvature, connections, Riemannian distance, etc. These relate with concepts developed in statistics and probability. The talk follows the book Geometric Modeling in Probability and Statistics by O. Calin and C. Udriste, Springer 2014.


  • Friday, 29th August, 2014

    Title: Multivariate Combination-based Permutation Tests with Application to Ranking of Multivariate Populations
    Speaker: Dr. Livio CORAIN, Department of Management and Engineering, University of Padova, Italy
    Time/Place: 11:00  -  12:00
    FSC1217, Fong Shu Chuen Library, HSH Campus, Hong Kong Baptist University
    Abstract: The multivariate permutation tests based on the nonparametric combination - NPC methodology (Pesarin and Salmaso, 2010) provides an effective hypothesis testing solution to many complex real problems which are quite common in case of multivariate response for many applied research areas such as biomedical and engineering research (Corain and Salmaso, 2013). Despite in the literature permutation tests are mostly derived by means of heuristic arguments, their natural theoretical background must be referred to the sufficiency and conditionally principles of inference. In this work we review and discuss the theoretical and practical relevance of NPC tests showing their effectiveness and easiness-in-use to address the ranking problem of several multivariate populations (Arboretti et al., 2014).