Forthcoming Seminars

Please note that the list below only shows forthcoming events, which may not include regular events that have not yet been entered for the forthcoming term. Please see the past events page for a list of all seminar series that the department has on offer.

Past events in this series
4 March 2019

Backward Stochastic Differential Equations (BSDEs) provide a systematic way to obtain Feynman-Kac formulas for linear as well as nonlinear partial differential equations (PDEs) of parabolic and elliptic type, and the numerical approximation of their solutions thus provide Monte-Carlo methods for PDEs. BSDEs are also used to describe the solution of path-dependent stochastic control problems, and they further arise in many areas of mathematical finance. 

In this talk, I will discuss the numerical approximation of BSDEs when the nonlinear driver is not Lipschitz, but instead has polynomial growth and satisfies a monotonicity condition. The time-discretization is a crucial step, as it determines whether the full numerical scheme is stable or not. Unlike for Lipschitz driver, while the implicit Bouchard-Touzi-Zhang scheme is stable, the explicit one is not and explodes in general. I will then present a number of remedies that allow to recover a stable scheme, while benefiting from the reduced computational cost of an explicit scheme. I will also discuss the issue of numerical stability and the qualitative correctness which is enjoyed by both the implicit scheme and the modified explicit schemes. Finally, I will discuss the approximation of the expectations involved in the full numerical scheme, and their analysis when using a quasi-Monte Carlo method.

  • Stochastic Analysis Seminar
5 March 2019

With the introduction of supermarket loyalty cards in recent decades, there has been an ever-growing body of customer-level shopping data. A natural way to represent this data is with a bipartite network, in which customers are connected to products that they purchased. By predicting likely edges in these networks, one can provide personalised product recommendations to customers.
In this talk, I will first discuss a basic approach for recommendations, based on network community detection, that we have validated on a promotional campaign run by our industrial collaborators. I will then describe a multilayer network model that accounts for the fact that customers tend to buy the same grocery items repeatedly over time. By modelling such correlations explicitly, link-prediction accuracy improves considerably. This approach is also useful in other networks that exhibit significant edge correlations, such as social networks (in which people often have repeated interactions with other people), airline networks (in which popular routes are often served by more than one airline), and biological networks (in which, for example, proteins can interact in multiple ways). 

5 March 2019

In this talk, we analyze a virtual element method (VEM) for solving a non-selfadjoint fourth-order eigenvalue problem derived from the transmission eigenvalue problem. We write a variational formulation and propose a $C^1$-conforming discretization by means of the VEM. We use the classical approximation theory for compact non-selfadjoint operators to obtain optimal order error estimates for the eigenfunctions and a double order for the eigenvalues. Finally, we present some numerical experiments illustrating the behavior of the virtual scheme on different families of meshes.

  • Numerical Analysis Group Internal Seminar
5 March 2019
Matteo Croci

When solving partial differential equations driven by additive spatial white noise, the efficient sampling of white noise realizations can be challenging. In this talk we focus on the efficient sampling of white noise using quasi-random points in a finite element method and multilevel Quasi Monte Carlo (MLQMC) setting. This work is an extension of previous research on white noise sampling for MLMC.

We express white noise as a wavelet series expansion that we divide in two parts. The first part is sampled using quasi-random points and contains a finite number of terms in order of decaying importance to ensure good QMC convergence. The second part is a correction term which is sampled using standard pseudo-random numbers.

We show how the sampling of both terms can be performed in linear time and memory complexity in the number of mesh cells via a supermesh construction. Furthermore, our technique can be used to enforce the MLQMC coupling even in the case of non-nested mesh hierarchies. We demonstrate the efficacy of our method with numerical experiments.

  • Numerical Analysis Group Internal Seminar
6 March 2019

It is known that every continuum X is a weakly confluent image of a continuum Y which is hereditarily indecomposable and of covering dimension one.  We use the ultracoproduct construction to gain information about the number of composants of Y.  For example, in ZFC, we can ensure that this number is arbitrarily large.  And if we assume the GCH, we can arrange for Y to have as many composants at it has points.

  • Analytic Topology in Mathematics and Computer Science


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