Brunel Univeristy

Results on the existence and stability of clustered spike patterns for biological reaction‐diffusion systems with two small diffusivities will be presented. In particular we consider a consumer chain model and the Gierer‐Meinhardt activator-inhibitor system with a precursor gradient. A clustered spike pattern consists of multiple spikes which all approach the same limiting point as the diffusivities tend to zero. We will present results on the asymptotic behaviour of the spikes including their shapes, positions and amplitudes. We will also compute the asymptotic behaviour of the eigenvalues of the system linearised around a clustered spike pattern. These systems and their solutions play an important role in biological modelling to account for the bridging of lengthscales, e.g. between genetic, nuclear, intra‐cellular, cellular and tissue levels, or for the time-hierarchy of biological processes, e.g. a large‐scale structure, which appears first, induces patterns on smaller scales. This is joint work with Juncheng Wei.
 

The geometric Lévy model (GLM) is a natural generalisation of the geometric Brownian motion (GBM) model. The theory of such models simplifies considerably if one takes a pricing kernel approach. In one dimension, once the underlying Lévy process has been specified, the GLM has four parameters: the initial price, the interest rate, the volatility and the risk aversion. The pricing kernel is the product of a discount factor and a risk aversion martingale. For GBM, the risk aversion parameter is the market price of risk. In this talk I show that for a GLM, this interpretation is not valid: the excess rate of return above the interest rate is a nonlinear function of the volatility and the risk aversion such that it is positive, and is increasing with respect to these variables. In the case of foreign exchange, Siegel’s paradox implies that one can construct foreign exchange models for which the excess rate of return is positive for both the exchange rate and the inverse exchange rate. Examples are worked out for a range of Lévy processes. (The talk is based on a recent paper: Brody, Hughston & Mackie, Proceedings of the Royal Society London, to appear in May 2012).