BEGIN:VCALENDAR
PRODID:-//PSU Mathematics Department//Seminar iCalendar Generator//EN
VERSION:2.0
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Probability and Financial Mathematics Seminar
X-WR-TIMEZONE:America/New_York
BEGIN:VTIMEZONE
TZID:America/New_York
X-LIC-LOCATION:America/New_York
BEGIN:DAYLIGHT
TZOFFSETFROM:-0500
TZOFFSETTO:-0400
TZNAME:EDT
DTSTART:19700308T020000
RRULE:FREQ=YEARLY;BYMONTH=3;BYDAY=2SU
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0400
TZOFFSETTO:-0500
TZNAME:EST
DTSTART:19701101T020000
RRULE:FREQ=YEARLY;BYMONTH=11;BYDAY=1SU
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20150828T153500
DTEND;TZID=America/New_York:20150828T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26942
SUMMARY:Probability and Financial Mathematics Seminar - Markov processes in
a random environment
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
Markov processes in a random environment\nSpeaker: Yuri Suhov\, Penn State
University\nAbstract: Abstract. We propose a construction of a Markov pro
cess (MP) in a (Markovian) random environment. (I am not 100 percent sure:
may be some special cases/elements of this constructions can be found in
the existing literature.) A feature of this construction is that it allows
an invariant measure (IM) which is naturally built from IMs for the basic
MPs and IMs for the MP (or (MPs)) describing the dynamics of state of env
ironment (SE). In general tems\, the generator of the combined process is
obtained as a sum of generators for components (with non-commuting summand
s). This construction gives quite spectacular results for some interesting
examples: Jackson network\, simple exclusion\, Ornstein--Uhlenbeck. (The
latter is related to the concept of stochastic volatility in Math Finance.
)\n\nIn the course of presentation\, I will not assume any special knowled
ge from the theory of Markov processes or their applications. However\, ex
posure to basic probabilistic concepts would make understanding easier.
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20150904T153500
DTEND;TZID=America/New_York:20150904T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26945
SUMMARY:Probability and Financial Mathematics Seminar - Algorithmic Stabili
ty in Adaptive Data Analysis
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
Algorithmic Stability in Adaptive Data Analysis\nSpeaker: Adam Smith\, PSU
: Computer Science and Engineering Department\nAbstract: Adaptivity is an
important feature of modern data analysis—often\, the\nchoice of questio
ns asked about a dataset depends on previous\ninteractions with the same d
ataset. Adaptivity can arise in a single\nstudy (say\, when a researcher c
hoses which model to fit based on some\nexploratory data analysis) or\, mo
re subtly\, when data sets are shared\nand re-used across multiple studies
. Unfortunately\, most of the\nstatistical inference theory used in empiri
cal sciences to control\nfalse discovery rates\, and in machine learning t
o avoid overfitting\,\nassumes that the analyses to be performed are selec
ted independently\nof the data. If the set of analyses run is itself a fun
ction of the\ndata\, much of this theory becomes invalid.\n\nSpecifically
\, suppose there is an unknown distribution P and a set of\nn independent
samples x is drawn from P. We seek an algorithm that\,\ngiven x as input\,
“accurately” answers a sequence of adaptively chosen\n“queries” a
bout the unknown distribution P. How many samples n must we\ndraw from the
distribution\, as a function of the type of queries\, the\nnumber of quer
ies\, and the desired level of accuracy?\n\nIn this work we make two new c
ontributions towards resolving this question:\n1. We give upper bounds on
the number of samples n that are needed to\nanswer "statistical queries" t
hat improve over the bounds in the\nrecent work of Dwork et al. (2015).\n2
. We prove the first upper bounds on the number of samples required\nto an
swer more\ngeneral families of queries. These include arbitrary low-sensit
ivity\nqueries and convex risk minimization queries.\n\nOur algorithms are
based on a connection between generalization error\nand a distributional
stability condition on inference algorithms\,\ncalled "differential privac
y".\n\nThe talk will be self-contained.\n\nBased on joint work with Raef B
assily\, Kobbi Nissim\, Thomas Steinke\,\nUri Stemmer and Jon Ullman. http
://arxiv.org/abs/1503.04843\n\nFor some nontechnical background reading\,
see\nGelman and Lokem\, "The Garden of Forking Paths".\nhttp://www.stat.co
lumbia.edu/~gelman/research/unpublished/p_hacking.pdf
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20150911T153500
DTEND;TZID=America/New_York:20150911T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26948
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20150918T153500
DTEND;TZID=America/New_York:20150918T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26951
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20150925T153500
DTEND;TZID=America/New_York:20150925T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26954
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151002T153500
DTEND;TZID=America/New_York:20151002T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26957
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nSpeaker: Nathan Glatt-Holtz\, Department of Mathematics\, Virginia Te
ch
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151009T153500
DTEND;TZID=America/New_York:20151009T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26960
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151016T153500
DTEND;TZID=America/New_York:20151016T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26963
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151023T153500
DTEND;TZID=America/New_York:20151023T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26966
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151030T153500
DTEND;TZID=America/New_York:20151030T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26969
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151106T153500
DTEND;TZID=America/New_York:20151106T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26972
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151113T153500
DTEND;TZID=America/New_York:20151113T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26975
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151120T153500
DTEND;TZID=America/New_York:20151120T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26978
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151127T153500
DTEND;TZID=America/New_York:20151127T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26981
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151204T153500
DTEND;TZID=America/New_York:20151204T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26984
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151211T153500
DTEND;TZID=America/New_York:20151211T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26987
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20151218T153500
DTEND;TZID=America/New_York:20151218T163500
LOCATION:MB106
URL:http://www.math.psu.edu/seminars/meeting.php?id=26990
SUMMARY:Probability and Financial Mathematics Seminar - TBA
DESCRIPTION:Seminar: Probability and Financial Mathematics Seminar\nTitle:
TBA\nAbstract Link: http://
END:VEVENT
END:VCALENDAR