We discuss pathwise pricing-hedging dualities in continuous time and on a frictionless market consisting of finitely many risky assets with continuous price trajectories.
The costs to Vodafone of calls terminating on other networks – especially fixed networks – are largely determined by the termination charges levied by other telecoms operators. We interconnect to several other telecoms operators, who charge differently; within one interconnect operator, costs vary depending on which of their switching centres we deliver calls to, and what the terminating phone number is. So, while these termination costs depend partly on factors that we cannot control (such as the number called, the call duration and the time of day), they are also influenced by some factors that we can control. In particular, we can route calls within our network before handing them over from our network to the other telecoms operator; where this “handover” occurs has an impact on termination cost.
Vodafone would like to develop a repeatable capability to determine call delivery cost efficiency and identify where network routing changes can be made to improve matters, and determine traffic growth forecasts.
In this talk I will discuss the problem of finding Einstein metrics in the homogeneous and cohomogeneity one setting.
In particular, I will describe a recent result concerning existence of solutions to the Dirichlet problem for cohomogeneity one Einstein metrics.
We present a framework for the design, analysis and application of computational multiscale methods for slow-fast high-dimensional stochastic processes. We call these processes "microscopic'', and assume existence of an approximate "macroscopic'' model that captures the slow behaviour of a selected set of macroscopic state variables. The methodology combines short bursts of microscopic simulation with extrapolation at the macroscopic level. The methodology requires the careful study of a few key algorithmic ingredients. First, we need to properly initialise the microscopic system, based on a given macroscopic state and (possibly) a prior microscopic state that contains additional information about the system. Second, we need to control the variance of the noise that originates from the microscopic Monte Carlo simulation. Third, we need to analyse stability of the extrapolation step. We will discuss these aspects on two types of model problems -- scale-separated SDEs and kinetic equations -- and show the efficacity of the resulting methods in diverse applications, ranging from tumor growth to fusion energy.
We formulate and solve a class of Backward Stochastic Differential Equations (BSDEs) driven by the compensated random measure associated to a given marked point process on a general state space. We present basic well-posedness results in L 2 and in L 1 . We show that in the setting of point processes it is possible to solve the equation recursively, by replacing the BSDE by an ordinary differential equation in between jumps. Finally we address applications to optimal control of marked point processes, where the solution of a suitable BSDE allows to identify the value function and the optimal control. The talk is based on joint works with Marco Fuhrman and Jean Jacod.
Maintenance activities help prevent costly power generator breakdowns but because generators under maintenance are typically unavailable, the impact of maintenance schedules is significant and their cost must be accounted for when planning maintenance. In this paper we address the generator maintenance scheduling problem in hydropower systems. While this problem has been widely studied, specific operating conditions of hydroelectric systems have received less attention. We present a mixed-integer linear programming model that considers the time windows of the maintenance activities, as well as the nonlinearities and disjunctions of the hydroelectric production functions. Because the resulting model is hard to solve, we also propose an extended formulation, a set reduction approach that uses logical conditions for excluding unnecessary set elements from the model, and valid inequalities. Computational experiments using a variety of instances adapted from a real hydropower system in Canada support the conclusion that the extended formulation with set reduction achieves the best results in terms of computational time and optimality gap. This is joint work with Jesus Rodriguez, Pascal Cote and Guy Desaulniers.
Outer Space is an important object in Geometric Group Theory and can be described from two viewpoints: as a space of marked graphs and a space of actions on trees. The latter viewpoint can be used to prove that Outer Space is contractible; and this fact together with some arguments using the first viewpoint enables us to say something about the Outer Automorphism group of a free group - I will sketch both these proofs.
We discuss the connections and differences between the ZFC set theory and univalent foundations and answer the above question in the negative.
The birth of fixed-wing, powered flight in the first decade of the twentieth century brought with it significant potential for pilots to return to Earth by unintended, often fatal, means. I will discuss the nature of the contemporary mathematical and engineering debates associated with these facets of flight, and the practical steps taken to facilitate safer aircraft and more robust operating procedures.
I will introduce a cohomology theory which combines topological and algebraic concepts. Interpretations of certain cohomology groups will be given. We also generalise the construction of the second Stiefel-Whitney class of a line bundle. As I will explain in my talk, the refined Stiefel-Whitney class of the canonical bundle on certain moduli stacks provides an obstruction for the construction of cohomological Hall algebras.
The edge isoperimetric problem for a graph G is to find, for each n, the minimum number of edges leaving any set of n vertices. Exact solutions are known only in very special cases, for example when G is the usual cubic lattice on Z^d, with edges between pairs of vertices at l_1 distance 1. The most attractive open problem was to answer this question for the "strong lattice" on Z^d, with edges between pairs of vertices at l_infty distance 1. Whilst studying this question we in fact solved the edge isoperimetric problem asymptotically for every Cayley graph on Z^d. I'll talk about how to go from the specification of a lattice to a corresponding near-optimal shape, for both this and the related vertex isoperimetric problem, and sketch the key ideas of the proof. Joint work with Joshua Erde.
The design of shapes that are in some sense optimal is a task faced by engineers in a wide range of disciplines. In shape optimisation one aims to improve a given initial shape by iteratively deforming it - if the shape is represented by a mesh, then this means that the mesh has to deformed. This is a delicate problem as overlapping or highly stretched meshes lead to poor accuracy of numerical methods.
In the presented work we consider a novel mesh deformation method motivated by the Riemannian mapping theorem and based on conformal mappings.
Pseudo-reductive groups are smooth connected linear algebraic groups over a field k whose k-defined unipotent radical is trivial. If k is perfect then all pseudo-reductive groups are reductive, but if k is imperfect (hence of characteristic p) then one gets a strictly larger collection of groups. They come up in a number of natural situations, not least when one wishes to say something about the simple representations of all smooth connected linear algebraic groups. Recent work by Conrad-Gabber-Prasad has made it possible to reduce the classification of the simple representations of pseudo-reductive groups to the split reductive case. I’ll explain how. This is joint work with Mike Bate.
Time parallelisation techniques provide an additional direction for the parallelisation of the solution of time-dependent PDEs or of systems of ODEs. In particular, the Parareal algorithm has imposed itself as the canonical choice to achieve parallelisation in time, also because of its simplicity and flexibility. The algorithm works by splitting the time domain in chunks, and iteratively alternating a prediction step (parallel), in which a "fine" solver is employed to achieve a high-accuracy solution within each chunk, to a correction step (serial) where a "coarse" solver is used to quickly propagate the update between the chunks. However, the stability of the method has proven to be highly sensitive to the choice of fine and coarse solver, even more so when applied to chaotic systems or advection-dominated problems.
In this presentation, an alternative formulation of Parareal is discussed. This aims to conduct the update by estimating directly the sensitivity of the solution of the integration with respect to the initial conditions, thus eliminating altogether the necessity of choosing the most apt coarse solver, and potentially boosting its convergence properties.
This will be a quick introduction to tropical algebra and the main results from the paper https://arxiv.org/pdf/1604.00113.pdf
Many species of insects adhere to vertical and inverted surfaces using footpads that secrete thin films of a mediating fluid. The fluid bridges the gap between the foot and the target surface. The precise role of this liquid is still subject to debate, but it is thought that the contribution of surface tension to the adhesive force may be significant. It is also known that the footpad is soft, suggesting that capillary forces might deform its surface. Inspired by these physical ingredients, we study a model problem in which a thin, deformable membrane under tension is adhered to a flat, rigid surface by a liquid droplet. We find that there can be multiple possible equilibrium states, with the number depending on the applied tension and aspect ratio of the system. The presence of elastic deformation significantly enhances the adhesion force compared to a rigid footpad. A mathematical model shows that the equilibria of the system can be controlled via two key parameters depending on the imposed separation of the foot and target surface, and the tension applied to the membrane. We confirm this finding experimentally and show that the system may transition rapidly between two states as the two parameters are varied. This suggests that different strategies may be used to adhere strongly and then detach quickly.
Temporal networks are increasingly being used to model the interactions of complex systems.
Most studies require the temporal aggregation of edges (or events) into discrete time steps to perform analysis.
In this article we describe a static, behavioural representation of a temporal network, the temporal event graph (TEG).
The TEG describes the temporal network in terms of both inter-event time and two-event temporal motifs.
By considering the distributions of these quantities in unison we provide a new method to characterise the behaviour of individuals and collectives in temporal networks as well as providing a natural decomposition of the network.
We illustrate the utility of the TEG by providing examples on both synthetic and real temporal networks.
We consider two-dimensional chiral, first-order conformal field theories governing maps from the Riemann sphere to the projective light cone inside Minkowski space -- the natural setting for describing conformal field theories in two fewer dimensions. These theories have a SL(2) algebra of local bosonic constraints which can be supplemented by additional fermionic constraints depending on the matter content of the theory. By computing the BRST charge associated with gauge fixing these constraints, we find anomalies which vanish for specific target space dimensions. These critical dimensions coincide precisely with those for which (biadjoint) cubic scalar theory, gauge theory and gravity are classically conformally invariant. Furthermore, the BRST cohomology of each theory contains vertex operators for the full conformal multiplets of single field insertions in each of these space-time CFTs. We give a prescription for the computation of three-point functions, and compare our formalism with the scattering equations approach to on-shell amplitudes.
I will report on a joint project with Frank Swenton whose goal is to develop an algorithm to determine whether an alternating knot is ribbon. We can’t do this yet but we have an algorithm that has been remarkably, and indeed mysteriously, successful in finding a great deal of new slice knots.
There is a deep connection between the stability of oil rigs, the bending of light during gravitational lensing and the act of life drawing. To understand each, we must understand how we view curved surfaces. We are familiar with the language of straight-line geometry – of squares, rectangles, hexagons - but curves also have a language – of folds, cusps and swallowtails - that few of us know.
Allan will explain how the key to understanding the language of curves is René Thom’s Catastrophe Theory, and how – remarkably – the best place to learn that language is perhaps in the life drawing class. Sharing its title with Allan's new book, the talk will wander gently across mathematics, physics, engineering, biology and art, but always with a focus on curves.
Warning: this talk contains nudity.
Allan McRobie is Reader in Engineering, University of Cambridge
Please email @email to register
We prove that for closed surfaces of fixed topological type, orientable or non-orientable, there exists a unit volume metric, smooth away from finitely many conical singularities, that
maximizes the first eigenvalue of the Laplace operator among all unit volume metrics. The key ingredient are several monotonicity results, which have partially been conjectured to hold before. This
is joint work with Henrik Matthiesen.
The Monster Lie algebra m, which admits an action of the Monster finite simple group M, was constructed by Borcherds as part of his program to solve the Conway-Norton conjecture about the representation theory of M. We associate the analog of a Lie group G(m) to the Monster Lie algebra m. We give generators for large free subgroups and we describe relations in G(m).
Abstract: Butcher’s B-series is a fundamental tool in analysis of numerical integration of differential equations. In the recent years algebraic and geometric understanding of B-series has developed dramatically. The interplay between geometry, algebra and computations reveals new mathematical landscapes with remarkable properties.
The shuffle Hopf algebra, which is fundamental in Lyons’s groundbreaking work on rough paths, is based on Lie algebras without additional properties. Pre-Lie algebras and the Connes-Kreimer Hopf algebra are providing algebraic descriptions of the geometry of Euclidean spaces. This is the foundation of B-series and was used elegantly in Gubinelli’s theory of Branched Rough Paths.
Lie-Butcher theory combines Lie series with B-series in a unified algebraic structure based on post-Lie algebras and the MKW Hopf algebra, which is giving algebraic abstractions capturing the fundamental geometrical properties of Lie groups, homogeneous spaces and Klein geometries.
In these talks we will give an introduction to these new algebraic structures. Building upon the works of Lyons, Gubinelli and Hairer-Kelly, we will present a new theory for rough paths on homogeneous spaces built upon the MKW Hopf algebra.
Joint work with: Charles Curry and Dominique Manchon
Abstract: Butcher’s B-series is a fundamental tool in analysis of numerical integration of differential equations. In the recent years algebraic and geometric understanding of B-series has developed dramatically. The interplay between geometry, algebra and computations reveals new mathematical landscapes with remarkable properties.
The shuffle Hopf algebra, which is fundamental in Lyons’s groundbreaking work on rough paths, is based on Lie algebras without additional properties. Pre-Lie algebras and the Connes-Kreimer Hopf algebra are providing algebraic descriptions of the geometry of Euclidean spaces. This is the foundation of B-series and was used elegantly in Gubinelli’s theory of Branched Rough Paths.
Lie-Butcher theory combines Lie series with B-series in a unified algebraic structure based on post-Lie algebras and the MKW Hopf algebra, which is giving algebraic abstractions capturing the fundamental geometrical properties of Lie groups, homogeneous spaces and Klein geometries.
In these talks we will give an introduction to these new algebraic structures. Building upon the works of Lyons, Gubinelli and Hairer-Kelly, we will present a new theory for rough paths on homogeneous spaces built upon the MKW Hopf algebra.
Joint work with: Charles Curry and Dominique Manchon
A generic surface homeomorphism (up to isotopy) is what we call it pseudo-Anosov. These maps come equipped with an algebraic integer that measures
how much the map stretches/shrinks in different direction, called the stretch factor. Given a surface homeomorsphism, one can ask if it is the lift (by a branched or unbranched cover) of another homeomorphism on a simpler surface possibly of small genus. Farb conjectured that if the algebraic degree of the stretch factor is bounded above, then the map can be obtained by lifting another homeomorphism on a surface of bounded genus.
This was known to be true for quadratic algebraic integers by a Theorem of Franks-Rykken. We construct counterexamples to Farb's conjecture.