(Oxford University)

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.

Oxford Mathematics Public Lectures

Can Mathematics Understand the Brain?' - Alain Goriely

The human brain is the object of the ultimate intellectual egocentrism. It is also a source of endless scientific problems and an organ of such complexity that it is not clear that a mathematical approach is even possible, despite many attempts. 

In this talk Alain will use the brain to showcase how applied mathematics thrives on such challenges. Through mathematical modelling, we will see how we can gain insight into how the brain acquires its convoluted shape and what happens during trauma. We will also consider the dramatic but fascinating progression of neuro-degenerative diseases, and, eventually, hope to learn a bit about who we are before it is too late. 

Alain Goriely is Professor of Mathematical Modelling, University of Oxford and author of 'Applied Mathematics: A Very Short Introduction.'

March 8th, 5.15 pm-6.15pm, Mathematical Institute, Oxford

Please email @email to register

In the game 'Set', players compete to pick out groups of three cards sharing common attributes. But how many cards must be dealt before such a group must appear? 
This is an example of a "cap set problem", a problem in Ramsey theory: how big can a set of objects get before some form of order appears? We will translate the cap set problem into a problem of geometry over finite fields, discussing the current best upper bounds and running through an elementary proof. We will also (very) briefly discuss one or two implications of the cap set problem over F_3 to other questions in Ramsey theory and computational complexity
 

Let A be an abelian variety over the function field K of a curve over a finite field of characteristic p>0. We shall show that the group A(K^{p^{-\infty}}) is finitely generated, unless severe restrictions are put on the geometry of A. In particular, we shall show that if A is ordinary and has a point of bad reduction then A(K^{p^{-\infty}}) is finitely generated. This result can be used to give partial answers to questions of Scanlon, Ziegler, Esnault, Voloch and Poonen.

Moduli spaces attempt to classify all mathematical objects of a particular type, for example algebraic curves or vector bundles, and record how they 'vary in families'. Often they are constructed using Geometric Invariant Theory (GIT) as a quotient of a parameter space by a group action. A common theme is that in order to have a nice (eg Hausdorff) space one must restrict one's attention to a suitable subclass of 'stable' objects, in effect leaving certain badly behaved objects out of the classification. Assuming no prior familiarity, I will elucidate the structure of instability in GIT, and explain how recent progress in non-reductive GIT allows one to construct moduli spaces for these so-called 'unstable' objects. The particular focus will be on the application of this principle to the GIT construction of the moduli space of stable curves, leading to moduli spaces of curves of fixed singularity type.
 

Manifolds with ordinary boundary/corners have found their presence in differential geometry and PDEs: they form Man^b or Man^c category; and for boundary value problems, they are nice objects to work on. Manifolds with analytical corners -- a-corners for short -- form a larger category Man^{ac} which contains Man^c, and they can in some sense be viewed as manifolds with boundary at infinity.
In this talk I'll walk you through the definition of manifolds with corners and a-corners, and give some examples to illustrate how the new definition will help.

Floer (co)homology, invariant which recovers periodic orbits of a Hamiltonian system, is the central topic of symplecic topology at present. Its analogue for open symplecic manifolds is called symplectic (co)homology. Our goal is to compute this invariant for big family of spaces called Nakajima's Quiver Varieties, spaces obtained as hyperkahler quotients of representation spaces of quivers.