Stochastic Analysis & Mathematical Finance Seminars

TBA

I will introduce the Polchinski dynamics, a general framework to study asymptotic properties of statistical mechanics and field theory models inspired by renormalisation group ideas. The Polchinski dynamics has appeared recently under different names, such as stochastic localisation, and in very different contexts (Markov chain mixing, optimal transport, functional inequalities...) Here I will motivate its construction from a physics point of view and mention a few applications. In particular, I will explain how the Polchinski dynamics can be used to generalise Bakry and Emery’s Γ2 calculus to obtain functional inequalities (e.g. Poincaré, log-Sobolev) in physics models which are typically high-dimensional and non-convex. 

In the first part of the talk, I will present an overview of recent advances in the description of diffusion-reaction processes and their first-passage statistics, with the special emphasis on the role of the boundary local time and related spectral tools. The second part of the talk will illustrate the use of these tools for the analysis of boundary-catalytic branching processes. These processes describe a broad class of natural phenomena where the population of diffusing particles grows due to their spontaneous binary branching (e.g., division, fission, or splitting) on a catalytic boundary located in a complex environment. We investigate the possibility of the geometric control of the population growth by compensating the proliferation of particles due to catalytic branching events by their absorptions in the bulk or on boundary absorbing regions. We identify an appropriate Steklov spectral problem to obtain the phase diagram of this out-of-equilibrium stochastic process. The principal eigenvalue determines the critical line that separates an exponential growth of the population from its extinction. In other words, we establish a powerful tool for calculating the optimal absorption rate that equilibrates the opposite effects of branching and absorption events and thus results in steady-state behavior of this diffusion-reaction system. Moreover, we show the existence of a critical catalytic rate above which no compensation is possible, so that the population cannot be controlled and keeps growing exponentially. The proposed framework opens promising perspectives for better understanding, modeling, and control of various boundary-catalytic branching processes, with applications in physics, chemistry, and life sciences.

Gaussian fields arise in a variety of contexts in both pure and applied mathematics. While their geometric properties are well understood, their topological features pose deeper mathematical challenges. In this talk, I will begin by highlighting some motivating examples from different domains. I will then outline the classical theory that describes the geometric behaviour of Gaussian fields, before turning to more recent developments aimed at understanding their topology using the Wiener chaos expansion.