Past

The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth. The main results are:

(i) Let N be the wealth process of the numéraire portfolio (i.e. the optimal portfolio for the log utility). If any path-independent option with maturity T written on the numéraire portfolio can be replicated by trading only in N and the risk-free asset, then the (MFT) holds true for general utility functions, and the numéraire portfolio may serve as mutual fund. This generalizes Merton’s classical result on Black-Merton-Scholes markets.

Conversely, under a supplementary weak completeness assumption, we show that the validity of the (MFT) for general utility functions implies the replicability property for options on the numéraire portfolio described above.

(ii) If for a given class of utility functions (i.e. investors) the

(MFT) holds true in all complete Brownian financial markets S, then all investors use the same utility function U, which must be of HARA type.

This is a result in the spirit of the classical work by Cass and Stiglitz.

Multiscale ensembles of reaction networks with well separated constants are introduced and typical properties of such systems are studied. For any given ordering of reaction rate constants the explicit approximation of steady state, relaxation spectrum and related eigenvectors (``modes") is presented. The obtained multiscale approximations are computationally cheap and robust. Some of results obtained are rather surprising and unexpected. First of all is the zero-one asymptotic of eigenvectors (asymptotically exact lumping; but these asymptotic lumps could intersect). Our main mathematical tools are auxiliary discrete dynamical systems on finite sets and specially developed algorithms of ``cycles surgery"

for reaction graphs. Roughly speaking, the dynamics of linear multiscale networks transforms into the dynamics on finite sets of reagent names.

A.N. Gorban and O. Radulescu, Dynamic and static limitation in multiscale reaction networks, Advances in Chemical Engineering, 2008 (in press), arXiv e-print: http://arxiv.org/abs/physics/0703278

A.N. Gorban and O. Radulescu, Dynamical robustness of biological networks with hierarchical distribution of time scales, IET Syst.

Biol., 2007, 1, (4), pp. 238-246.

We are concerned with the derivation of the Γ-limit to a three dimensional geometrically exact Cosserat model as the relative thickness h > 0 of a at domain tends to zero. The Cosserat bulk model involves already exact rotations as a second independent field and this model is meant to describe defective elastic crystals liable to fracture under shear.
It is shown that the Γ-limit based on a natural scaling assumption con- sists of a membrane like energy contribution and a homogenized transverse shear energy both scaling with h, augmented by an additional curvature stiffness due to the underlying Cosserat bulk formulation, also scaling with h. No specific bending term appears in the dimensional homogenization process. The formulation exhibits an internal length scale Lc which sur- vives the homogenization process. A major technical difficulty, which we encounter in applying the Γ-convergence arguments, is to establish equi- coercivity of the sequence of functionals as the relative thickness h tends to zero. Usually, equi-coercivity follows from a local coerciveness assump- tion. While the three-dimensional problem is well-posed for the Cosserat couple modulus μ_c ≥ 0, equi-coercivity forces us to assume a strictly pos- itive Cosserat couple modulus μ_c > 0. The Γ-limit model determines the midsurface deformation m ∈ H^1,2(ω;R³). For the case of zero Cosserat couple modulus μ_c= 0 we obtain an estimate of the Γ - lim inf and Γ - lim sup, without equi-coercivity which is then strenghtened to a Γ- convergence result for zero Cosserat couple modulus. The classical linear Reissner-Mindlin model is "almost" the linearization of the Γ-limit for μ_c = 0 apart from a stabilizing shear energy term.

We are concerned with the derivation of the $\Gamma$-limit to a three-dimensional geometrically exact

Cosserat model as the relative thickness $h>0$ of a flat domain tends to zero. The Cosserat bulk model involves

already exact rotations as a second independent field and this model is meant to describe defective elastic crystals liable to fracture under shear.

It is shown that the $\Gamma$-limit based on a natural scaling assumption

consists of a membrane like energy contribution and a homogenized transverse shear energy both scaling with $h$,

augmented by an additional curvature stiffness due to the underlying Cosserat bulk formulation, also scaling with $h$.

No specific bending term appears in the dimensional homogenization process. The formulation

exhibits an internal length scale $L_c$ which survives the homogenization process.

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A major technical difficulty, which we encounter in applying the $\Gamma$-convergence arguments,

is to establish equi-coercivity of the sequence of

functionals as the relative thickness $h$ tends to zero. Usually, equi-coercivity follows from a local coerciveness assumption.

While the three-dimensional problem is well-posed for the Cosserat couple modulus $\mu_c\ge 0$, equi-coercivity forces us

to assume a strictly positive Cosserat couple modulus $\mu_c>0$. The $\Gamma$-limit model determines the

midsurface deformation $m\in H^{1,2}(\omega,\R^3)$. For the case of zero Cosserat couple modulus $\mu_c=0$

we obtain an estimate of the $\Gamma-\liminf$ and $\Gamma-\limsup$, without equi-coercivity which is then strenghtened to a $\Gamma$-convergence result for zero Cosserat couple modulus. The classical linear

Reissner-Mindlin model is "almost" the linearization of the $\Gamma$-limit for $\mu_c=0$

apart from a stabilizing shear energy term.

This is joint work with Assaf Hasson. We consider non-locally modular strongly minimal reducts of o-minimal expansions of reals. Under additional assumptions we show they have a Zariski structure.

We describe how to perform high resolution simulations of viscoelastic continuum mechanical models for martensitic transformations with diffuse interfaces. The computational methods described may also be of use in performing high resolution simulations of time dependent partial differential equations where solutions are sufficiently smooth.

In recent joint work with Maarten Solleveld we could give a complete classification of the set the irreducible discrete series characters of affine Hecke algebras (including the non simply-laced cases). The results can be formulated in terms of the K-theory of the Schwartz completion of the Hecke algebra. We discuss these results and some related conjectures on formal dimensions and on elliptic characters.

We discuss a model of finite strain gradient plasticity including phenomenological Prager type linear kinematical hardening and nonlocal kinematical hardening due to dislocation interaction. Based on the multiplicative decomposition a thermodynamically admissible flow rule for F_p is described involving as plastic gradient Curl F_p. The formulation is covariant w.r.t. superposed rigid rotations of the reference, intermediate and spatial configuration but the model is not spin-free due to the nonlocal dislocation interaction and cannot be reduced to a dependenceon the plastic metric C_p=F_p^T F_p.
The linearization leads to a thermodynamically admissible model of infinitesimal plasticity involving only the Curl of the non-symmetric plastic distortion p. Linearized spatial and material covariance under constant infinitesimal rotations is satisfied.
Uniqueness of strong solutions of the infinitesimal model is obtained if two non-classical boundary conditions on the plastic distortion p are introduced: d_tp.τ=0 on the microscopically hard boundary Γ_D⊂∂Ω and [Curlp].τ=0 on the microscopically free boundary ∂Ω\Γ_D, where τ are the tangential vectors at the boundary ∂Ω. Moreover, I show that a weak reformulation of the infinitesimal model allows for a global in-time solution of the corresponding rate-independent initial boundary value problem. The method of choice are a formulation as a quasivariational inequality with symmetric and coercive bilinear form, following the abstract framework proposed by Reddy. Use is made of new Hilbert-space suitable for dislocation density dependent plasticity.

Now that the "classical" philosophies that have danced attendance upon intuitionistic mathematics (Brouwer's subjectivism, Heyting's eclecticism, and contemporary anti-realism) are recognized as failures, it is encumbent upon intuitionists to develop new foundations for their mathematics. In this talk, we assay such efforts, in particular, investigations into the various mathematical grounds on the basis of which the law of the excluded third might be proven invalid. It will also be necessary, along the way, to explode certain mistaken ideas about intuitionism, among them the notion that the logical signs of the intuitionists bear meanings different from those attached to the corresponding signs in conventional mathematics.

Please let Bruno Whittle (@email) know if you would like to go out to dinner with the speaker after the seminar.