Past Forthcoming Seminars

E.g., 2020-02-24
E.g., 2020-02-24
E.g., 2020-02-24
16 March 2020
15:45
ERHAN BAYRAKTAR
Abstract

For the problem of prediction with expert advice in the adversarial setting with geometric stopping, we compute the exact leading order expansion for the long time behavior of the value function using techniques from stochastic analysis and PDEs. Then, we use this expansion to prove that as conjectured in Gravin, Peres and Sivan the comb strategies are indeed asymptotically optimal for the adversary in the case of 4 experts.
 

  • Stochastic Analysis & Mathematical Finance Seminars
16 March 2020
14:15
IOANNIS KARATZAS
Abstract

We provide a detailed, probabilistic interpretation, based on stochastic calculus, for the variational characterization of conservative diffusion as entropic gradient flux. Jordan, Kinderlehrer, and Otto showed in 1998 that, for diffusions of Langevin-Smoluchowski type, the Fokker-Planck probability density flow minimizes the rate of relative entropy dissipation, as measured by the distance traveled in terms of the quadratic Wasserstein metric in the ambient space of configurations. Using a very direct perturbation analysis we obtain novel, stochastic-process versions of such features. These are valid along almost every trajectory of the diffusive motion in both the forward and, most transparently, the backward, directions of time. The original results follow then simply by taking expectations. As a bonus, we obtain the HWI inequality of Otto and Villani relating relative entropy, Fisher information and Wasserstein distance; and from it the celebrated log-Sobolev, Talagrand and Poincare inequalities of functional analysis. (Joint work with W. Schachermayer and B. Tschiderer, from the University of Vienna.)

 

  • Stochastic Analysis & Mathematical Finance Seminars
13 March 2020
14:00
Professor Alan Garfinkel
Abstract

There is a need for a new kind of maths course, to be taught, not to mathematics students, but to biologists with little or no maths background. There have been many recent calls for an upgrade to the mathematical background of biologists: undergraduate biology students need to understand the role of modeling and dynamics in understanding ecological systems, evolutionary dynamics, neuroscience, physiology, epidemiology, and the modeling that underlies the concept of climate change. They also need to understand the importance of feedback, both positive and negative, in creating dynamical systems in biology.

Such a course is possible. The most important foundational development was the 20th century replacement of the vague and unhelpful concept of a differential equation by the rigorous geometric concept of a vector field, a function from a multidimensional state space to its tangent space, assigning “change vectors” to every point in state space. This twentieth-century concept is not just more rigorous, but in fact makes for superior pedagogy. We also discuss the key nonlinear behaviors that biological systems display, such as switch-like behavior, robust oscillations and even chaotic behavior.

This talk will outline such a course. It would have a significant effect on the conduct of biological research and teaching, and bring the usefulness of mathematical modeling to a wide audience.

  • Mathematical Biology and Ecology Seminar

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