Past Stochastic Analysis Internal Seminar

The massive planar Gaussian free field (GFF) is a random distribution defined on a subset of the complex plane. As a random distribution, this field a priori does not have well-defined level lines. In this talk, we give a meaning to this concept by constructing a coupling between a massive GFF and a random collection of loops, called massive CLE_4, in which the loops can naturally be interpreted as the level lines of the field. This coupling is constructed by appropriately reweighting the law of the standard GFF-CLE_4 coupling and this construction can be seen as a conditional version of the path-integral formulation of the massive GFF. We then relate massive CLE_4 to a massive version of the Brownian loop soup. This provides a more direct construction of massive CLE_4 and proves a conjecture of Camia.

This paper presents the (Adaptive) Iterative Linear Quadratic Regulator Deep Galerkin Method (AIR-DGM), a novel approach for solving optimal control (OC) problems in dynamic and uncertain environments. Traditional OC methods face challenges in scalability and adaptability due to the curse-of-dimensionality and reliance on accurate models. Model Predictive Control (MPC) addresses these issues but is limited to open-loop controls. With (A)ILQR-DGM, we combine deep learning with OC to compute closed-loop control policies that adapt to changing dynamics. Our methodology is split into two phases; offline and online. In the offline phase, ILQR-DGM computes globally optimal control by minimizing a variational formulation of the Hamilton-Jacobi-Bellman (HJB) equation. To improve performance over DGM (Sirignano & Spiliopoulos, 2018), ILQR-DGM uses the ILQR method (Todorov & Li, 2005) to initialize the value function and policy networks. In the online phase, AIR-DGM solves continuously updated OC problems based on noisy observations of the environment. We provide results based on HJB stability theory to show that AIR-DGM leverages Transfer Learning (TL) to adapt the optimal policy. We test (A)ILQR-DGM in various setups and demonstrate its superior performance over traditional methods, especially in scenarios with misspecified priors and changing dynamics.

I will give an overview of a recent method introduced by P. Duch to solve some subcritical singular SPDEs, in particular the stochastic quantisation equation for scalar fields. 

We study a McKean–Vlasov control problem with killing and common noise. The particles in this control model live on the real line and are killed at a positive intensity whenever they are in the negative half-line. Accordingly, the interaction between particles occurs through the subprobability distribution of the living particles. We establish the existence of an optimal semiclosed-loop control that only depends on the particles’ location and not their cumulative intensity. This problem cannot be addressed through classical mimicking arguments, because the particles’ subprobability distribution cannot be reconstructed from their location alone. Instead, we represent optimal controls in terms of the solutions to semilinear BSPDEs and show those solutions do not depend on the intensity variable.

In a recent preprint, together with Bailleul and Chevyrev we introduced a class of random fields which try to model the basic properties of quantum fields. I will try to explain the basic ideas and some of the many open problems.

To read the preprint, please click here.

A representation on the space of paths is a map which is compatible with the concatenation operation of paths, such as the path signature and Cartan development (or equivalently, parallel transport), and has been used to define characteristic functions for the law of stochastic processes. In this talk, we consider representations of surfaces which are compatible with the two distinct algebraic operations on surfaces: horizontal and vertical concatenation. To build these representations, we use the notion of higher parallel transport, which was first introduced to develop higher gauge theories. We will not assume any background in geometry or category theory. This is a continuation of the previous talk based on a recent preprint (https://arxiv.org/abs/2311.08366) with Harald Oberhauser.

A representation on the space of paths is a map which is compatible with the concatenation operation of paths, such as the path signature and Cartan development (or equivalently, parallel transport), and has been used to define characteristic functions for the law of stochastic processes. In this talk, we consider representations of surfaces which are compatible with the two distinct algebraic operations on surfaces: horizontal and vertical concatenation. To build these representations, we use the notion of higher parallel transport, which was first introduced to develop higher gauge theories. We will not assume any background in geometry or category theory. Based on a preprint (https://arxiv.org/abs/2311.08366) with Harald Oberhauser.

We consider the homogenisation problem for the ϕ4/2 equation on the torus T² , i.e. the behaviour as ϵ → 0 of the solutions to the equations suggestively written

∂_tu_ϵ − ∇ · A(x/ϵ, t/ϵ² )∇uϵ = −u³_ϵ + ξ

where ξ denotes space-time white noise and A : T ² × R is uniformly elliptic, periodic and H¨older continuous. Based on joint work with M. Hairer

As part of the internal seminar schedule for Stochastic Analysis for this coming term, DPhil students have been invited to present on their works to date. Student talks are 20 minutes, which includes question and answer time. 

Students presenting are:

Sara-Jean Meyer, supervisor Massimiliano Gubinelli

Satoshi Hayakawa, supervisor Harald Oberhauser 

Following Rosati and Perkowski’s work on constructing the first version of a rough super Brownian motion, we generalize the rough super Brownian motion to the case when the branching mechanism has infinite variance. In both case, we can prove the compact support properties and the exponential persistence.

Random walks on random graphs are associated with diffusion in disordered media. In this talk, the graphs of interest are uniform spanning tree (UST) and loop-erased random walk (LERW). First I will demonstrate some asymptotic behavior of the simple random walk on the three-dimensional UST. Next I will discuss annealed transition probability of the simple random walk on high-dimensional LERWs.

 

As part of the internal seminar schedule for Stochastic Analysis for this coming term, DPhil students have been invited to present on their works to date. Student talks are 20 minutes, which includes question and answer time. 

Students presenting are:

Akshay Hegde, supervisor Dmitry Beylaev

Julius Villar, supervisor Dmitry Beylaev

Csaba Toth, supervisor Harald Oberhauser 

As part of the internal seminar schedule for Stochastic Analysis for this coming term, DPhil students have been invited to present on their works to date. Student talks are 20 minutes, which includes question and answer time. 

Students presenting are:

Adrian Martini, supervisor Alison Ethridge

Fang Rui Lim, supervisor Rama Cont

Thomas Groves, supervisor Dmitry Beylaev

Sarah-Jean Meyer, supervisor Massimiliano Gubinelli

We present an inter-twining relation between operators on loop ensembles and connections.

We talk about the Hausdorff measure of level sets of the fields, say length of level lines of a planar field. Given two coupled stationary fields  $f_1, f_2$ , we estimate the difference of Hausdorff measure of level sets in expectation, in terms of $C^2$-fluctuations of the field $F=f_1-f_2$. The main idea in the proof is to represent difference in volume as an integral of mean curvature using the divergence theorem. This approach is different from using the Kac-Rice type formula as the main tool in the analysis. 

I will begin by speaking about Ito SDEs on manifolds, how their meaning depends on the choice of a connection, and an example in which the Ito formulation is preferable to the more common Stratonovich one. SDEs are naturally generalised to the case of more irregular driving signals by rough differential equations (RDEs), i.e. equations driven by rough paths. I will explain how it is possible to give a coordinate-invariant definition of rough integral and rough differential equation on a manifold, even in the case of arbitrarily low regularity and when the rough path is not geometric, i.e. it does not satisfy a classical integration by parts rule. If time permits, I will end on a more recent algebraic result that makes it possible to canonically convert non-geometric RDEs to geometric ones.

This will be a continuation of the talk from last week (9 May). 

Diffusion Limited Aggregation is a very simple mathematical model which describes a wide range of natural phenomena. Despite its simplicity, there is very little progress in understanding its large-scale structure. Since its introduction by Witten and Sander over 40 years ago, there was only one mathematical result. In 1987 Kesten obtained an upper bound on the growth rate. In this talk I will discuss DLA and some related models and the recent progress in understanding DLA. In particular, a new simpler proof of Kesten result which generalizes to other aggregation models.

Orthogonal Intertwiners for Infinite Particle Systems On The Continuum:

Interacting particle systems are studied using powerful tools, including 
duality. Recently, dualities have been explored for inclusion processes, 
exclusion processes, and independent random walkers on discrete sets 
using univariate orthogonal polynomials. This talk generalizes these 
dualities to intertwiners for particle systems on more general spaces, 
including the continuum. Instead of univariate orthogonal polynomials, 
the talk dives into the theory of infinite-dimensional polynomials 
related to chaos decompositions and multiple stochastic integrals. The 
new framework is applied to consistent particle systems containing a 
finite or infinite number of particles, including sticky and correlated 
Brownian motions.

Spectral gap of the symmetric inclusion process:

In this talk, we consider the symmetric inclusion process on a general finite graph. Our main result establishes universal upper and lower bounds for the spectral gap of this interacting particle system in terms of the spectral gap of the random walk on the same graph. In the regime in which the gamma-like reversible measures of the particle system are log-concave, our bounds match, yielding a version for the symmetric inclusion process of the celebrated Aldous' spectral gap conjecture --- originally formulated for the interchange process and proved by Caputo, Liggett and Richthammer (JAMS 2010). Finally, by means of duality techniques, we draw analogous conclusions for an interacting diffusion-like unbounded conservative spin system known as Brownian energy process, which may be interpreted as a spatial version of the Wright-Fisher diffusion with mutation. Based on a joint work with Seonwoo Kim (SNU, South Korea).