(Oxford University)

I will give an introduction to the asymptotic behaviour of random geometric complexes. In the specific case of a simplicial complex realised as the Cech complex of a point process sampled from a closed Riemannian manifold, we will explore conditions which guarantee the homology of the Cech complex coincides with the homology of the underlying manifold. We will see techniques which were originally developed to study random geometric graphs, which together with ideas from Morse Theory establish homological connectivity thresholds.

I will give an introduction to the theory of definable parameterization of definable sets in the o-minimal context and its application to diophantine problems. I will then go on to discuss uniformity issues with particular reference to the subanalytic case. This is joint work with Jonathan Pila and Raf Cluckers

I plan to present a brief introduction to optimal control theory (no background knowledge assumed), and discuss a fascinating and oft-forgotten family of problems where the optimal control behaves very strangely; it changes state infinitely often in finite time. This causes havoc in practice, and even more so in the literature.
 

We investigate monotone solutions of the moral hazard problems without the monotone likelihood ratio property. The solutions are explicitly characterised by a concave envelope relaxation approach for a two-action model in which the principal is risk neutral or exhibits constant absolute risk aversion.  

Unintended low energy thermal or mechanical stimuli can lead to the accidental ignition of explosive materials. During such events, described as ‘insults’ in the literature, ignition of the explosive is caused by localised regions of high temperature known as ‘hot spots’. We develop a model which helps us to understand how highly localised shear deformation, so-called shear banding, acts as a mechanism for hot spot generation. Through a boundary layer analysis, we give a deeper insight into how the additional self heating caused by chemical reactions affects the initiation and development of shear bands,  and highlight the key physical properties which control this process.

We consider a well-studied optimal execution problem under little assumptions on the underlying midprice process. We do so by using signatures from rough path theory, that allows converting the original problem into a more computationally tractable problem. We include a few numerical experiments where we show that our methodology is able to retrieve the theoretical optimal execution speed for several problems studied in the literature, as well as some cases not included in the literatture. We also study some estensions of our framework to other settings.
 

Donovan Platt
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Economic Agent-Based Model Calibration

Interest in agent-based models of financial markets and the wider economy has increased consistently over the last few decades, in no small part due to their ability to reproduce a number of empirically-observed stylised facts that are not easily recovered by more traditional modelling approaches. Nevertheless, the agent-based modelling paradigm faces mounting criticism, focused particularly on the rigour of current validation and calibration practices, most of which remain qualitative and stylised fact-driven. While the literature on quantitative and data-driven approaches has seen significant expansion in recent years, most studies have focused on the introduction of new calibration methods that are neither benchmarked against existing alternatives nor rigorously tested in terms of the quality of the estimates they produce. We therefore compare a number of prominent ABM calibration methods, both established and novel, through a series of computational experiments in an attempt to determine the respective strengths and weaknesses of each approach and the overall quality of the resultant parameter estimates. We find that Bayesian estimation, though less popular in the literature, consistently outperforms frequentist, objective function-based approaches and results in reasonable parameter estimates in many contexts. Despite this, we also find that agent-based model calibration techniques require further development in order to definitively calibrate large-scale models.

Yufei Zhang
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A penalty scheme and policy iteration for stochastic hybrid control problems with nonlinear expectations

We propose a penalty method for mixed optimal stopping and control problems where the objective is evaluated
by a nonlinear expectation. The solution and free boundary of an associated HJB variational inequality are constructed from a sequence
of penalized equations, for which the penalization error is estimated. The penalized equation is then discretized by a class of semi-implicit
monotone approximations. We further propose an efficient iterative algorithm with local superlinear convergence for solving the discrete
equation. Numerical experiments are presented for an optimal investment problem under ambiguity to demonstrate the effectiveness of
the new schemes.  Finally, we extend the penalty schemes to solve stochastic hybrid control problems involving impulse controls.