Past

Efficient numerical solutions of several important partial-differential equation based models in mathematical finance are impeded by the fact that they contain operators which are Lipschitz continuous but not continuously differentiable. As a consequence, Newton methods are not directly applicable and, more importantly, do not provide their typical fast convergence properties.

In this talk semi-smooth Newton methods are presented as a remedy to the the above-mentioned difficulties. We also discuss algorithmic issues including the primal-dual active set strategy and path following techniques.

In this talk we will start with various shock reflection-diffraction phenomena, their fundamental scientific issues, and their theoretical roles in the mathematical theory of multidimensional hyperbolic systems of conservation laws. Then we will describe how the global shock reflection-diffraction problems can be formulated as free boundary problems for nonlinear conservation laws of mixed-composite hyperbolic-elliptic type.

Finally we will discuss some recent developments in attacking the shock reflection-diffraction problems, including the existence, stability, and regularity of global regular configurations of shock reflection-diffraction by wedges. The approach includes techniques to handle free boundary problems, degenerate elliptic equations, and corner singularities, which is highly motivated by experimental, computational, and asymptotic results. Further trends and open problems in this direction will be also addressed. This talk will be mainly based on joint work with M. Feldman.

Cover a plane with curves, one curve through each point

in each direction. How can you tell whether these curves are

the geodesics of some metric?

This problem gives rise to a certain closed system of partial

differential equations and hence to obstructions to finding such a

metric. It has been an open problem for at least 80 years. Surprisingly

it is harder in two dimensions than in higher dimensions. I shall present

a solution obtained jointly with Robert Bryant and Mike Eastwood.

"Time-periodic shocks in systems of viscous conservation laws are shown to be nonlinearly stable. The result is obtained by representing the evolution associated to the linearized, time-periodic operator using a contour integral, similar to that of strongly continuous semigroups. This yields detailed pointwise estimates on the Green's function for the time-periodic operator. The evolution associated to the embedded zero eigenvalues is then extracted.

Stability follows from a Gronwall-type estimate, proving algebraic decay of perturbations."

It is a wide open question whether the set of rational points on a smooth quartic surface in projective three-space can be nonempty, yet finite. In this talk I will treat the case of diagonal quartics V, which are given by: a x^4 + b y^4 + c z^4 + d w^4 = 0 for some nonzero rational a,b,c,d. I will assume that the product abcd is a square and that V contains at least one rational point P. I will prove that if none of the coordinates of P is zero, and P is not contained in one of the 48 lines on V, then the set of rational points on V is dense. This is based on joint work with Adam Logan and David McKinnon.

Lusztig discover an integral lift of the Frobenius morphism for algebraic groups in positive characteristic to quantum groups at a root of unity. We will describe how this map may be constructed via the Hall algebra realization of a quantum group.

(based on joint work with Helen Haworth, William Shaw, and Ben Hambly)

The simulation of multi-name credit derivatives raises significant challenges, among others from the perspective of dependence modelling, calibration, and computational complexity. Structural models are based on the evolution of firm values, often modelled by market and idiosyncratic factors, to create a rich correlation structure. In addition to this, we will allow for contagious effects, to account for the important scenarios where the default of a number of companies has a time-decaying impact on the credit quality of others. If any further evidence for the importance of this was needed, the recent developments in the credit markets have furnished it. We will give illustrations for small n-th-to-default baskets, and propose extensions to large basket credit derivatives by exploring the limit for an increasing number of firms

It is well known that the three dimensional, incompressible Navier-Stokes equations have a unique, global solution provided the initial data is small enough in a scale invariant space (say L3 for instance). We are interested in finding examples for which no smallness condition is imposed, but nevertheless the associate solution is global and unique. The examples we will present are due to collaborations with Jean-Yves Chemin, and with Marius Paicu.

As a small step towards an understanding of the relationship of the two fields in the title, I will present a uniformness result for embeddings of finitely generated, virtually free groups as cocompact, discrete subgroups in totally disconnected, locally compact groups.

Modern molecular biology research produces data on a massive scale. This

data

is predominantly high-dimensional, consisting of genome-wide measurements of

the transcriptome, proteome and metabalome. Analysis of these data sets

often

face the additional problem of having small sample sizes, as experimental

data

points may be difficult and expensive to come by. Many analysis algorithms

are

based upon estimating the covariance structure from this high-dimensional

small sample size data, with the consequence that the eigenvalues and eigenvectors

of

the estimated covariance matrix are markedly different from the true values.

Techniques from statistical physics and Random Matrix Theory allow us to

understand how these discrepancies in the eigenstructure arise, and in

particular locate the phase transition points where the eigenvalues and

eigenvectors of the estimated covariance matrix begin to genuinely reflect

the

underlying biological signals present in the data. In this talk I will give

a

brief non-specialist introduction to the biological background motivating

the

work and highlight some recent results obtained within the statistical

physics

approach.

Multi-well relaxation problem emerges e.g. in characterising effective properties of composites and in phase transformations. This is a nonlinear problem and one approach uses its reformulation in Fourier space, known in the theory of composites as Hashin-Shtrikman approach, adapted to nonlinear composites by Talbot and Willis. Characterisation of admissible mixtures, subjected to appropriate differential constraints, leads to a quasiconvexification problem. The latter is equivalently reformulated in the Fourier space as minimisation with respect to (extremal points of) H-measures of characteristic functions (Kohn), which in a sense separates the microgeometry of mixing from the differential constraints. For three-phase mixtures in 3D we obtain a full characterisation of certain extremal H-measures. This employs Muller's Haar wavelet expansion estimates in terms of Riesz transform to establish via the tools of harmonic analysis weak lower semicontinuity of certain functionals with rank-2 convex integrands. As a by-product, this allows to fully solve the problem of characterisation of quasiconvex hulls for three arbitrary divergence-free wells. We discuss the applicability of the results to problems with other kinematic constraints, and other generalisations. Joint work with Mariapia Palombaro, Leipzig.

Let u be a vector field on a bounded domain in R^3. The absolute boundary condition states that both the normal part of u and the tangential part of curl(u) vanish on the boundary. After motivating the use of this condition in the context of the Navier Stokes equation, we prove local (in time) existence with this boundary behaviour. This work is together with Dr. Z. Qian and Prof. G. Q. Chen, Northwestern University.

We will analyze the convergence of the spectrum of large random graphs to the spectrum of a limit infinite graph. These results will be applied to graphs converging locally to trees and derive a new formula for the Stieljes transform of the spectral measure of such graphs. We illustrate our results on the uniform regular graphs, Erdos-Renyi graphs and graphs with prescribed degree distribution. We will sketch examples of application for weighted graphs, bipartite graphs and the uniform spanning tree of n vertices. If time allows, we will discuss related open problems. This is a joint work with Marc Lelarge (INRIA & Ecole Normale Supérieure).

A tree-rooted map is a planar map together with a

distinguished spanning tree. In the sixties, Mullin proved that the

number of tree-rooted maps with $n$ edges is the product $C_n C_{n+1}$

of two consecutive Catalan numbers. We will present a bijection

between tree-rooted maps (of size $n$) and pairs made of two trees (of

size $n$ and $n+1$ respectively) explaining this result.

Then, we will show that our bijection generalizes a correspondence by

Schaeffer between quandrangulations and so-called \emph{well labelled

trees}. We will also explain how this bijection can be used in order

to count bijectively several classes of planar maps

In many dispersed multiphase flows droplets, bubbles and particles move and disappear due to a phase change. Practical examples include fuel droplets evaporating in a hot gas, vapour bubbles condensing in subcooled liquids and ice crystals melting in water. After these `bodies' have disappeared, they leave behind a remnant `ghost' vortex as an expression of momentum conservation.

A general framework is developed to analyse how a ghost vortex is generated. A study of these processes is incomplete without a detailed discussion of the concept of momentum for unbounded flows. We show how momentum can be defined unambiguously for unbounded flows and show its connection with other expressions, particularly that of Lighthill (1986). We apply our analysis to interpret new observations of condensing vapour bubble and discuss droplet evaporation. We show that the use of integral invariants, widely applied in turbulence, introduces a new perspective to dispersed multiphase flows

Abstract: We consider deformations of torsion-free $ G_2 $ structures, defined by the $ G_2 $-invariant 3-form $ \phi $ and compute the expansion of the Hodge star of $ \phi $ to fourth order in the deformations of $ \phi $. By considering M-theory compactified on a $ G_2 $ manifold, the $ G_2 $ moduli space is naturally complexified, and we get a Kahler metric on it. Using the expansion of the Hodge star of $ \phi $ we work out the full curvature of this metric and relate it to the Yukawa coupling.

Fracture mechanics is a significant scientific field of great practical importance. Recently the subject has been invigorated by a number of important accomplishments. From the viewpoint of fundamental science there have been interesting new developments aimed at understanding fracture at the atomic scale; simultaneously, active research programmes have focussed on mathematical modelling, experimentation and computation at macroscopic scales. The workshop aims to examine various different approaches to the modelling, analysis and computation of fracture. The programme will allow time for discussion.

Invited speakers include:

Andrea Braides (Università di Roma II, Italy)

Adriana Garroni (Università di Roma, “La Sapienza”, Italy)

Christopher Larsen (Worcester Polytechnic Institute, USA)

Matteo Negri (Università di Pavia, Italy)

Robert Rudd (Lawrence Livermore National Laboratory, USA)

I will explain the connection between Shelah's recent notion of strongly dependent theories and finite weight in simple theories. The connecting notion of a strong theory is new, but implicit in Shelah's book. It is related to absence of the tree property of the second kind in a similar way as supersimplicity is related to simplicity and strong dependence to NIP.

We discuss model-free pricing of digital options, which pay out depending on whether the underlying asset has crossed upper and lower levels. We make only weak assumptions about the underlying process (typically continuity), but assume that the initial prices of call options with the same maturity and all strikes are known. Treating this market data as input, we are able to give upper and lower bounds on the arbitrage-free prices of the relevant options, and further, using techniques from the theory of Skorokhod embeddings, to show that these bounds are tight. Additionally, martingale inequalities are derived, which provide the trading strategies with which we are able to realise any potential arbitrages.

Joint work with Alexander Cox (University of Bath)

We discuss general and structured matrix polynomials which may be singular and may have eigenvalues at infinity. We discuss several real industrial applications ranging from acoustic field computations to optimal control problems.

We discuss linearization and first order formulations and their relationship to the corresponding techniques used in the treatment of systems of higher order differential equations.

In order to deal with structure preservation, we derive condensed/canonical forms that allow (partial) deflation of critical eigenvalues and the singular structure of the matrix polynomial. The remaining reduced order staircase form leads to new types of linearizations which determine the finite eigenvalues and corresponding eigenvectors.

Based on these new linearization techniques we discuss new structure preserving eigenvalue methods and present several real world numerical examples.

As all analysts know, solving a problem which contains some kind of nonlinearity is generally far from being obvious. This is of course the case when we deal with nonlinear PDEs, but also when we have linear systems with some nonlinear compatibility conditions. One example is constituted by the systems of first order linear partial differential equations. If the coefficients are regular, there is a classical way to solve this systems. However, if the coefficients are only of class L^p, the classical methods cannot be applied. We will show how this problem can be solved by using a method of regularization which allows to preserve the nonlinear compatibility conditions. Then we will present some possible applications to the theory of elasticity. In the end some open problems related to similar aspects will be discussed. Example of such a problem: the rigidity of deformations of class H¹.

A group is called boundedly generated if it is the product of a finite sequence of its cyclic subgroups. Bounded generation is a property possessed by finitely generated abelian groups and by some other linear groups.

Apparently it was not known before whether all boundedly generated groups are linear. Another question about such groups has also been open for a while: If a torsion-free group $G$ has a finite sequence of generators $a_1,\dotsc,a_n$ such that every element of $G$ can be written in a unique way as $a_1^{k_1}\dotsm a_n^{k_n}$, where $k_i\in\mathbb Z$, is it true then that $G$ is virtually polycyclic? (Vasiliy Bludov, Kourovka Notebook, 1995.)

Counterexamples to resolve these two questions have been constructed using small-cancellation method of combinatorial group theory. In particular boundedly generated simple groups have been constructed.

Let d be a fixed natural number. There is a theorem, due to Chvátal, Rodl,

Szemerédi and Trotter (CRST), saying that the Ramsey number of any graph G

with maximum degree d and n vertices is at most c(d)n, that is it grows

linearly with the size of n. The original proof of this theorem uses the

regularity lemma and the resulting dependence of c on d is of tower-type.

This bound has been improved over the years to the stage where we are now

grappling with proving the correct dependency, believed to be an

exponential in d. Our first main result is a proof that this is indeed the

case if we assume additionally that G is bipartite, that is, for a

bipartite graph G with n vertices and maximum degree d, we have r(G)

In the case of Einstein's equations coupled to a non-linear scalar field with a suitable exponential potential, there are solutions for which the expansion is accelerated and of power law type. In the talk I will discuss the future global non-linear stability of such models. The results generalize those of Mark Heinzle and Alan Rendall obtained using different methods.

One of the intrinsic methods in elasticity is to consider the Cauchy-Green tensor as the primary unknown, instead of the deformation realizing this tensor, as in the classical approach.

Then one can ask whether it is possible to recover the deformation from its Cauchy-Green tensor. From a differential geometry viewpoint, this amounts to finding an isometric immersion of a Riemannian manifold into the Euclidian space of the same dimension, say d. It is well known that this is possible, at least locally, if and only if the Riemann curvature tensor vanishes. However, the classical results assume at least a C2 regularity for the Cauchy-Green tensor (a.k.a. the metric tensor). From an elasticity theory viewpoint, weaker regularity assumptions on the data would be suitable.

We generalize this classical result under the hypothesis that the Cauchy-Green tensor is only of class W^{1,p} for some p>d.

The proof is based on a general result of PDE concerning the solvability and stability of a system of first order partial differential equations with L^p coefficients.