Past Stochastic Analysis Seminar

11 June 2018
15:45
MIKHAIL KHRISTOFOROV
Abstract

We will discuss the percolation model on the hexagonal grid. In 2001 S. Smirnov proved conformal invariance of its scaling limit through the use of a tricky auxiliary combinatorial construction.

We present a more conceptual approach, implying that the construction in question can be thought of as geometrically natural one.

The main goal of the talk is to make it believable that not all nice and useful objects in the field have been already found.

No background is required.

  • Stochastic Analysis Seminar
4 June 2018
15:45
Abstract

I will present a mathematical model for the genetic evolution of a population which is divided in discrete colonies along a linear habitat, and for which the population size of each colony is random and constant in time. I will show that, under reasonable assumptions on the distribution of the population sizes, over large spatial and temporal scales, this population can be described by the solution to a stochastic partial differential equation with constant coefficients. These coefficients describe the effective diffusion rate of genes within the population and its effective population density, which are both different from the mean population density and the mean diffusion rate of genes at the microscopic scale. To do this, I will present a duality technique and a new convergence result for coalescing random walks in a random environment.

 

  • Stochastic Analysis Seminar
4 June 2018
14:15
ZENGJING CHEN
Abstract

In this paper, we investigate the limit properties of frequency of empirical averages when random variables are described by a set of probability measures and obtain a law of large numbers for upper-lower probabilities. Our result is an extension of the classical Kinchin's law of large numbers, but the proof is totally different.

keywords: Law of large numbers,capacity, non-additive probability, sub-linear expectation, indepence

paper by: Zengjing Chen School of Mathematics, Shandong University and Qingyang Liu Center for Economic Research, Shandong University

  • Stochastic Analysis Seminar
21 May 2018
15:45
Abstract

Based on classical invariant theory, I describe a complete set of elements of the signature that is invariant to the general linear group, rotations or permutations.

A geometric interpretation of some of these invariants will be given.

Joint work with Jeremy Reizenstein (Warwick).

  • Stochastic Analysis Seminar
14 May 2018
15:45
Abstract

Recently, Deya, Gubinelli, Hofmanova and Tindel ('16) (also Bailleul-Gubinelli '15) have provided a general approach in order to obtain a priori estimates for rough partial differential equations of the form
(*)    du = Au dt + Bu dX
where X is a two-step rough path, A is a second order operator (elliptic), while B is first order. We will pursue the line of this work by presenting an L^p theory "à la Krylov" for generalized versions of (*). We will give an application of this theory by proving boundedness of solutions for a certain class

  • Stochastic Analysis Seminar
14 May 2018
14:15
WEIAN ZHENG
Abstract

The celebrated Black-Scholes theory shows that one can get a risk-neutral option price through hedging. The Cameron-Martin-Girsanov theorem for diffusion processes plays a key role in this theory. We show that one can get some statistical arbitrage from a sequence of well-designed repeated trading at their prices according to the ergodic theorem for stationary process. Our result is based on both theoretical model and the real market data. 

 

  • Stochastic Analysis Seminar
30 April 2018
15:45
Abstract

Stochastic analysis on a Riemannian manifold is a well developed area of research in probability theory.

We will discuss some recent developments on stochastic analysis on a manifold whose Riemannian metric evolves with time, a typical case of which is the Ricci flow. Familiar results such as stochastic parallel transport, integration by parts formula, martingale representation theorem, and functional inequalities have interesting extensions from

time independent metrics to time dependent ones. In particular, we will discuss an extension of Beckner’s inequality on the path space over a Riemannian manifold with time-dependent metrics. The classical version of this inequality includes the Poincare inequality and the logarithmic Sobolev inequality as special cases.

 

  • Stochastic Analysis Seminar
30 April 2018
14:15
CARLOS AMENDOLA
Abstract

The signature of a parametric curve is a sequence of tensors whose entries are iterated integrals, and they are central to the theory of rough paths in stochastic analysis.  For some special families of curves, such as polynomial paths and piecewise-linear paths, their parametrized signature tensors trace out algebraic varieties in the space of all tensors. We introduce these varieties and examine their fundamental properties, while highlighting their intimate connection to the problem of recovering a path from its signature. This is joint work with Peter Friz and Bernd Sturmfels. 

  • Stochastic Analysis Seminar

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