Vienna

The dimer model, a classical model of statistical mechanics, is the uniform distribution on perfect matchings of a graph. In two dimensions, one can define an associated height function which turns the model into a random surface (with specified boundary conditions). In the 1960s, Kasteleyn and Temperley/Fisher found an exact "solution" to the model, computing the correlations in terms of a matrix called the Kasteleyn matrix. This exact solvability was the starting point for the breakthrough work of Kenyon (2000) who proved that the centred height function converges to the Dirichlet (or zero boundary conditions) Gaussian free field. This was the first proof of conformal invariance in statistical mechanics.

In this talk, I will focus on a natural modification of the model where one allows the vertices on the boundary of the graph to remain unmatched: this is the so-called monomer-dimer model, or dimer model with free boundary conditions. The main result that we obtain is that the scaling limit of the height function of the monomer-dimer model in the upper half-plane is the Neumann (or free boundary conditions) Gaussian free field. Key to this result is a somewhat miraculous random walk representation for the inverse Kasteleyn matrix, which I hope to discuss.

Joint work with Marcin Lis (Vienna) and Wei Qian (Paris).

The talk will focus on how the asymptotic behavior of the Riemann-Hilbert correspondence (and, conjecturally, the non-abelian Hodge correspondence) on a Riemann surface is controlled by certain harmonic maps from the Riemann surface to affine buildings. This is part of joint work with Katzarkov, Noll and Simpson, which revisits, from the perspective afforded by the theory of harmonic maps to buildings, the work of Gaiotto, Moore and Neitzke on spectral networks, WKB problems, BPS states and wall-crossing.

The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth. The main results are:

(i) Let N be the wealth process of the numéraire portfolio (i.e. the optimal portfolio for the log utility). If any path-independent option with maturity T written on the numéraire portfolio can be replicated by trading only in N and the risk-free asset, then the (MFT) holds true for general utility functions, and the numéraire portfolio may serve as mutual fund. This generalizes Merton’s classical result on Black-Merton-Scholes markets.

Conversely, under a supplementary weak completeness assumption, we show that the validity of the (MFT) for general utility functions implies the replicability property for options on the numéraire portfolio described above.

(ii) If for a given class of utility functions (i.e. investors) the

(MFT) holds true in all complete Brownian financial markets S, then all investors use the same utility function U, which must be of HARA type.

This is a result in the spirit of the classical work by Cass and Stiglitz.

Let $K \subset {\mathbb R}^d$ be a convex set. Choose $n$ random points in $K$, and denote by $P_n$ their convex hull. We call $P_n$ a random polytope. Investigations concerning the expected value of functionals of $P_n$, like volume, surface area, and number of vertices, started in 1864 with a problem raised by Sylvester and now are a classical part of stochastic and convex geometry. The last years have seen several new developments about distributional aspects of functionals of random polytopes. In this talk we concentrate on these recent results such as central limit theorems and tail inequalities, as the number of random points tends to infinity.