Past

In this talk, we will discuss low Weissenberg number

effects on mathematical properties of solutions for several PDEs

governing different viscoelastic fluids.

I present some recent work with Bruce Driver and Christian Litterer on rough paths 'constrained’ to lie in a d - dimensional submanifold of a Euclidean space E. We will present a natural definition for this class of rough paths and then describe the (second) order geometric calculus which arises out of this definition. The talk will conclude with more advanced applications, including a rough version of Cartan’s development map.

Trees are not just combinatorial structures: they are also

biological structures, both in the obvious way but also in the

study of evolution. Starting from DNA samples from living

species, biologists use increasingly sophisticated mathematical

techniques to reconstruct the most likely “phylogenetic tree”

describing how these species evolved from earlier ones. In their

work on this subject, they have encountered an interesting

example of an operad, which is obtained by applying a variant of

the Boardmann–Vogt “W construction” to the operad for

commutative monoids. The operations in this operad are labelled

trees of a certain sort, and it plays a universal role in the

study of stochastic processes that involve branching. It also

shows up in tropical algebra. This talk is based on work in

progress with Nina Otter [www.fair-fish.ch].

The splitting-up method is a powerful tool to solve (SP)DEs by dividing the equation into a set of simpler equations that are easier to handle. I will speak about how such splitting schemes can be derived and extended by insights from the theory of rough paths.

Finally, I will discuss numerics for real-world applications that appear in the management of risk and engineering applications like nonlinear filtering.

We explore the technique of elementary submodels to prove 
results in topology and set theory. We will in particular prove the 
delta system lemma, and Arhangelskii's result that a first countable 
Lindelof space has cardinality not exceeding continuum.

Nature and the world of human technology are full of
networks. People like to draw diagrams of networks: flow charts,
electrical circuit diagrams, signal flow diagrams, Bayesian networks,
Feynman diagrams and the like. Mathematically-minded people know that
in principle these diagrams fit into a common framework: category
theory. But we are still far from a unified theory of networks.

The aim of this lecture is to give a general introduction to

the interacting particle system and applications in finance, especially

in the pricing of American options. We survey the main techniques and

results on Snell envelope, and provide a general framework to analyse

these numerical methods. New algorithms are introduced and analysed

theoretically and numerically.

This talk will give an introduction to generalized complex geometry, where complex and symplectic structures are particular cases of the same structure, namely, a generalized complex structure. We will also talk about a sister theory, generalized complex geometry of type Bn, where generalized complex structures are defined for odd-dimensional manifolds as well as even-dimensional ones.

In this work, we want to construct the solution $(Y,Z,K)$ to the following BSDE

$$\begin{array}{l}

Y_t=\xi+\int_t^Tf(s,Y_s,Z_s)ds-\int_t^TZ_sdB_s+K_T-K_t, \quad 0\le t\le T, \\

{\mathbf E}[l(t, Y_t)]\ge 0, \quad 0\le t\le T,\\

\int_0^T{\mathbf E}[l(t, Y_t)]dK_t=0, \\

\end{array}

$$

where $x\mapsto l(t, x)$ is non-decreasing and the terminal condition $\xi$

is such that ${\mathbf E}[l(T,\xi)]\ge 0$.

This equation is different from the (classical) reflected BSDE. In particular, for a solution $(Y,Z,K)$,

we require that $K$ is deterministic. We will first study the case when $l$ is linear, and then general cases.

We also give some application to mathematical finance. This is a joint work with Philippe Briand and Romuald Elie.

In Parkinson’s disease, increased power of oscillations in firing rate has been observed throughout the cortico-basal-ganglia circuit. In

particular, the excessive oscillations in the beta range (13-30Hz) have been shown to be associated with difficulty of movement initiation. However, on the basis of experimental data alone it is difficult to determine where these oscillations are generated, due to complex and recurrent structure of the cortico-basal-ganglia-thalamic circuit. This talk will describe a mathematical model of a subset of basal-ganglia that is able to reproduce experimentally observed patterns of activity. The analysis of the model suggests where and under which conditions the beta oscillations are produced.

For Logic Seminar: Note change of time and location!

This talk will focus on extremizers for

a family of Fourier restriction inequalities on planar curves. It turns

out that, depending on whether or not a certain geometric condition

related to the curvature is satisfied, extremizing sequences of

nonnegative functions may or may not have a subsequence which converges

to an extremizer. We hope to describe the method of proof, which is of

concentration compactness flavor, in some detail. Tools include bilinear

estimates, a variational calculation, a modification of the usual

method of stationary phase and several explicit computations.

I will explain why one can symplectically embed closed symplectic manifolds (with integral symplectic form) into CPⁿ and compute the weak homotopy type of the space of all symplectic embeddings of such a symplectic manifold into CP^∞.

The classical small cancellation theory goes back to the 1950's and 1960's when the geometry of 2-complexes with a unique 0-cell was studied, i.e. the standard 2-complex of a finite presentation. D.T. Wise generalizes the Small Cancellation Theory to 2-complexes with arbitray 0-cells showing that certain classes of Small Cancellation Groups act properly discontinuously and cocompactly on CAT(0) Cube complexes and hence have codimesion 1-subgroups. To be more precise I will introduce "his" version of small Cancellation Theory and go roughly through the main ideas of his construction of the cube complex using Sageeve's famous construction. I'll try to make the ideas intuitively clear by using many pictures. The goal is to show that B(4)-T(4) and B(6)-C(7) groups act properly discontinuously and cocompactly on CAT(0) Cube complexes and if there is time to explain the difficulty of the B(6) case. The talk should be self contained. So don't worry if you have never had heard about "Small Cancellation".

In this talk, I will explain part of the programme of Gorenstein, Lyons

and Solomon (GLS) to provide a new proof of the CFSG. I will focus on

the difference between the initial notion of groups of characteristic

$2$-type (groups like Lie type groups of characteristic $2$) and the GLS

notion of groups of even type. I will then discuss work in progress

with Capdeboscq to study groups of even type and small $2$-local odd

rank. As a byproduct of the discussion, a picture of the structure of a

finite simple group of even type will emerge.

Compressed sensing and matrix completion are techniques by which simplicity in data can be exploited for more efficient data acquisition. For instance, if a matrix is known to be (approximately) low rank then it can be recovered from few of its entries. The design and analysis of computationally efficient algorithms for these problems has been extensively studies over the last 8 years. In this talk we present a new algorithm that balances low per iteration complexity with fast asymptotic convergence. This algorithm has been shown to have faster recovery time than any other known algorithm in the area, both for small scale problems and massively parallel GPU implementations. The new algorithm adapts the classical nonlinear conjugate gradient algorithm and shows the efficacy of a linear algebra perspective to compressed sensing and matrix completion.

Several objects can be associated to a list of vectors with integer coordinates: among others, a family of tori called toric arrangement, a convex polytope called zonotope, a function called vector partition function; these objects have been described in a recent book by De Concini and Procesi. The linear algebra of the list of vectors is axiomatized by the combinatorial notion of a matroid; but several properties of the objects above depend also on the arithmetics of the list. This can be encoded by the notion of a "matroid over Z". Similarly, applications to tropical geometry suggest the introduction of matroids over a discrete valuation ring.Motivated by the examples above, we introduce the more general notion of a "matroid over a commutative ring R". Such a matroid arises for example from a list of elements in a R-module. When R is a Dedekind domain, we can extend the usual properties and operations holding for matroids (e.g., duality). We can also compute the Tutte-Grothendieck ring of matroids over R; the class of a matroid in such a ring specializes to several invariants, such as the Tutte polynomial and the Tutte quasipolynomial. We will also outline other possible applications and open problems. (Joint work with Alex Fink).

In 1992 (or thereabouts) Bloch and Kriz gave the first explicit definition of the category of mixed Tate motives (MTM). Their definition relies heavily on the theory of algebraic cycles. Unfortunately, traditional methods of representing algebraic cycles (such as in terms of formal linear combinations of systems of polynomial equations) are notoriously difficult to work with, so progress in capitalizing on this description of the category to illuminate outstanding conjectures in the field has been slow. More recently, Gangl, Goncharov, and Levin suggested a simpler way to understand this category (and by extension, algebraic cycles more generally) by relating specific algebraic cycles to rooted, decorated, planar trees. In our talks, describing work in progress, we generalize this correspondence and attempt to systematize the connection between algebraic cycles and graphs. We will construct a Lie coalgebra L from a certain algebra of admissible graphs, discuss various properties that it satisfies (such as a well defined and simply described realization functor to the category of mixed Hodge structures), and relate the category of co-representations of L to the category MTM. One promising consequence of our investigations is the appearance of alternative bases of rational motives that have not previously appeared in the literature, suggesting a richer rational structure than had been previously suspected. In addition, our results give the first bounds on the complexity of computing admissibility of algebraic cycles, a previously unexplored topic.

When applied to an inequality constrained optimization problem, interior point methods generate iterates that belong to the interior of the set determined by the constraints, thus avoiding/ignoring the combinatorial aspect of the solution. This comes at the cost of difficulty in predicting the optimal active constraints that would enable termination.  We propose the use of controlled perturbations to address this challenge. Namely, in the context of linear programming with only nonnegativity constraints as the inequality constraints, we consider perturbing the nonnegativity constraints so as to enlarge the feasible set. Theoretically, we show that if the perturbations are chosen appropriately, the solution of the original problem lies on or close to the central path of the perturbed problem and that a primal-dual path-following algorithm applied to the perturbed problem is able to predict the optimal active-set of the original problem when the duality gap (for the perturbed problem) is not too small. Encouraging preliminary numerical experience is obtained when comparing the perturbed and unperturbed interior point algorithms' active-set predictions for the purpose of cross-over to simplex.

A non-parametric test for dependence between sets of random variables based on the entropy rate is proposed. The test has correct size, unit asymptotic power, and can be applied to test setwise cross sectional and serial dependence. Using Monte Carlo experiments, we show that the test has favourable small-sample properties when compared to other tests for dependence. The ‘trick’ of the test relies on using universal codes to estimate the entropy rate of the stochastic process generating the data, and simulating the null distribution of the estimator through subsampling. This approach avoids having to estimate joint densities and therefore allows for large classes of dependence relationships to be tested. Potential economic applications include model specification, variable and lag selection, data mining, goodness-of-fit testing and measuring predictability.

An old conjecture by A. Zygmund proposes

a Lebesgue Differentiation theorem along a

Lipschitz vector field in the plane. E. Stein

formulated a corresponding conjecture about

the Hilbert transform along the vector field.

If the vector field is constant along

vertical lines, the Hilbert transform along

the vector field is closely related to Carleson's

operator. We discuss some progress in the area

by and with Michael Bateman and by my student

Shaoming Guo.

In this talk I will explain the basic motivation behind the trace formula and give some simple examples. I will then discuss how it can be used to prove things about automorphic representations on general reductive groups.

We will present a somewhat different proof of Agol's theorem that

3-manifolds 

with RFRS fundamental group admit a finite cover which fibers over S^1.

This is joint work with Takahiro Kitayama.

The Monopole (Bogomolnyi) equations are Geometric PDEs in 3 dimensions. In this talk I shall introduce a generalization of the monopole equations to both Calabi Yau and G2 manifolds. I will motivate the possible relations of conjectural enumerative theories arising from "counting" monopoles and calibrated cycles of codimension 3. Then, I plan to state the existence of solutions and sketch how these examples are constructed.

Despite the ability of the stochastic volatility models along with their multivariate and multi-factor extension to describe the dynamics of the asset returns, these
models are very difficult to calibrate to market information. The recent financial crises, however, highlight that we can not use simplified models to describe the fincancial returns. Therefore, our statistical methodologies have to be improved. We propose a non parametricmethodology based on the use of the Fourier transform and the high frequency data which allows to estimate the diffusion and the leverage components of a general stochastic volatility model driven by continuous Brownian semimartingales. Our estimation procedure is based only on a pre-estimation of the Fourier coefficients of the volatility process and on the use of the Bohr convolution product as in Malliavin and Mancino 2009. This approach constitutes a novelty in comparison with the non-parametric methodologies proposed in the literature generally based on a pre-estimation of the spot volatility and in virtue of its definition it can be directly applied in the case of irregular tradingobservations of the price path an microstructure noise contaminations.

 We will introduce 2 types of topological games (Menger and
> Telgársky) and show how the existence or non-existence of winning
> strategies implies certain properties of the underlying topological
> space. We will then show how these, and related properties, interact
> D-spaces.

Hazardous geophysical mass flows, such as snow avalanches, debris-flows and pyroclastic flows, often spontaneously develop large particle rich levees that channelize the flow and enhance their run-out. Measurements of the surface velocity near an advancing flow front have been made at the United States Geological Survey (USGS) debris-flow flume, where 10m^3 of water saturated sand and gravel are allowed to flow down an 80m chute onto a run-out pad. In the run-out phase the flow front is approximately invariant in shape and advances at almost constant speed. By tracking the motion of surface tracers and using a simple kinematic model, it was possible to infer bulk motion as incoming material is sheared towards the front, over-run and shouldered to the side. At the heart of the levee formation process is a subtle segregation-mobility feedback effect. Simple models for particle segregation and the depth-averaged motion of granular avalanches are described and one of the first attempts is made to couple these two types of models together. This process proves to be non-trivial, yielding considerable complexity as well as pathologies that require additional physics to be included.

tba

It is well known that infinite perfect information two person games at low levels in the arithmetic hierarchy of sets have winning strategies for one of the players, and moreover this fact can be proven in analysis alone. This has led people to consider reverse mathematical analyses of precisely which subsystems of second order arithmetic are needed. We go over the history of these results. Recently Montalban and Shore gave a precise delineation of the amount of determinacy provable in analysis. Their arguments use concretely given levels of the Gödel constructible hierarchy. It should be possible to lift those arguments to the amount of determinacy, properly including analytic determinacy, provable in stronger theories than the standard ZFC set theory. We summarise some recent joint work with Chris Le Sueur.

I will explain how, given a crepant morphism with one-dimensional fibres between 3-folds, it is possible to use noncommutative deformations to run the MMP in a satisfyingly algorithmic fashion.  As part of this, a flop is viewed homologically as the solution to a universal property, and so is constructed not by changing GIT, but instead by changing the algebra. Carrying this extra information of the new algebra allows us to continue to flop, and thus continue the MMP, without having to calculate everything from scratch. Proving things in this manner does in fact have other consequences too, and I will explain some them, both theoretical and computational.

A distinct covering system of congruences is a collection

\[

(a_i \bmod m_i), \qquad 1\ \textless\ m_1\ \textless\ m_2\ \textless\ \ldots\ \textless\ m_k

\]

whose union is the integers. Erd\"os asked whether there are covering systems for which $m_1$ is arbitrarily large. I will describe my negative answer to this problem, which involves the Lov\'{a}sz Local Lemma and the theory of smooth numbers.

Strongly nonlinear problems, written abstractly in the form N[u]=0, are typically difficult to analyze unless they possess special properties. However, if we are able to find a quasi-solution u_0 in the sense that the residual N[u_0] := R is small, then it is possible to analyze a strongly nonlinear problem with weakly nonlinear analysis in the following manner: We decompose u=u_0 + E; then E satisfies L E = -N_1 [E] - R, where L is the Fre'chet derivative of the operator N and N_1 [E] := N[u_0+E]-N[u_0]-L E contains all the nonlinearity. If L has a suitable inversion property and the nonlinearity N_1 is sufficiently regular in E, then weakly nonlinear analysis of the error E through contraction mapping theorem gives rise to control of the error E. What is described above is quite routine. The only new element is to determine a quasi-solution u_0, which is typically found through a combination of classic orthogonal polynomial representation and exponential asymptotics.

This method has been used in a number of nonlinear ODEs arising from reduction of PDEs. We also show how it can be extended to integro-differential equations that arise in study of deep water waves of permanent form. The method is quite general and can in principle be applied to nonlinear PDEs as well.

NB. Much of this is joint work with O. Costin and other collaborators.

We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to superreplicate a constant c>1. The optimal arbitrage strategy is the strategy for which this constant has the highest possible value. Our definition of optimal arbitrage is similar to the one in Fenrholz and Karatzas (2010), where optimal relative arbitrage with respect to the market portfolio is studied. In this work we present a systematic method to construct market models where the optimal arbitrage strategy exists and is known explicitly. We then develop several new examples of market models with arbitrage, which are based on economic agents' views concerning the impossibility of certain events rather than ad hoc constructions. We also explore the concept of fragility of arbitrage introduced in Guasoni and Rasonyi (2012), and provide new examples of arbitrage models which are not fragile in this sense.

References:

Fernholz, D. and Karatzas, I. (2010). On optimal arbitrage. The Annals of Applied Probability, 20(4):1179–1204.

Guasoni, P. and Rasonyi, M. (2012). Fragility of arbitrage and bubbles in diffusion models. preprint.

Crossed simplicial groups were introduced independently by Krasauskas and Fiedorowicz-Loday as analogues of Connes' cyclic category. In this talk, I will explain a new perspective on a certain class of crossed simplicial groups, relating them to structured surfaces. This provides a combinatorial approach to categorical invariants of surfaces which leads to known, expected, and new examples. (Based on joint work with Mikhail Kapranov.)

We report on a numerical implementation of a quasi-static model of

rock detachment based on Allaire, Jouve and Van Goethem's

implementation of Francfort and Marigo's model of damage in brittle

solids, As such, local minimizers of a cost functional involving both

stored elastic energy and a damage penalization term are sought by

using a procedure which alternates between approximately solving a

linear elasticity system and advancing a transport equation for a

level set function describing the loci of still-attached rock. We pay

special attention to the mixed finite element method used in the

approximation of the linear elasticity system.