Past

Given a deterministically time-changed Brownian motion Z starting from 1, whose time-change V (t) satisfies $V (t) > t$ for all $t>=0$, we perform an explicit construction of a process X which is Brownian motion in its own filtration and that hits zero for the first time at V (s), where $s:= inf {t > 0 : Z_t = 0}$. We also provide the semimartingale decomposition of $X >$ under

the filtration jointly generated by X and Z. Our construction relies on a combination of enlargement of filtration and filtering techniques. The resulting process X may be viewed as the analogue of a 3-dimensional Bessel bridge starting from 1 at time 0 and ending at 0 at the random time $V (s)$.

We call this a dynamic Bessel bridge since V(s) is not known in advance. Our study is motivated by insider trading models with default risk.(this is a joint work with Luciano Campi and Umut Cetin)

We will give a quick and dirty introduction to Gromov-Witten theory and discuss some integrality properties of GW invariants. We will start by briefly recalling some basic properties of the Deligne Mumford moduli space of curves. We will then try to define GW invariants using both algebraic and symplectic geometry (both definitions will be rather sloppy, but hopefully the basic idea will become visible), talk a bit about the axiomatic definition due to to Kontsevich and Manin, and discuss some applications like quantum cohomology. Finally, we will talk a bit about integrality and the Gopakumar-Vafa conjecture. Just as a word of warning: this talk is intended as an introduction to the

subject and should give an overview, so we will perhaps be a bit sloppy here and there...

Emma Warneford: "Formation of Zonal Jets and the Quasigeostrophic Theory of the Thermodynamic Shallow Water Equations"

Georgios Anastasiades: "Quantile forecasting of wind power using variability indices"

After Sela and Kharlampovich-Myasnikov independently proved that non abelian free groups share the same common theory model theoretic interest for the subject arose.

 In this talk I will present a survey of results around this theory starting with basic model theoretic properties mostly coming from the connectedness of the free group (Poizat).

Then I will sketch our proof with C.Perin for the homogeneity of non abelian free groups and I will give several applications, the most important being the description of forking independence.

 In the last part I will discuss a list of open problems, that fit in the context of geometric stability theory, together with some ideas/partial answers to them.

there will be no seminar in this week.

The first half of this seminar will discuss the hedging problem faced by a large sports betting agent who has to risk-manage an unwanted position in a bet on the simultaneous outcome of multiple football matches, by trading in moderately liquid simple bets on individual results. The resulting mathematical framework is that of a coupled system of multi-dimensional HJB equations.

This leads to the wider question of the numerical approximation of such problems. Dynamic programming with PDEs, while very accurate in low dimensions, becomes practically intractable as the dimensionality increases. Monte Carlo methods, while robust for computing linear expectations in high dimensions, are not per se well suited to dynamic programming. This leaves high-dimensional stochastic control problems to be considered computationally infeasible in general.

In the second half of the seminar, we will outline ongoing work in this area by sparse grid techniques and asymptotic expansions, the former exploiting smoothness of the value function, the latter a fast decay in the importance of principal components. We hope to instigate a discussion of other possible approaches including e.g. BSDEs.

15th Biennial OXFORD / CAMBRIDGE MEETING

PROGRAMME FOR THE

‘WOOLLY OWL TROPHY’

Invited Judges

John Harper

(Victoria University of Wellington, NZ)

Arash Yavari

(Georgia Tech, Atlanta, USA)

Sharon Stephen

(University of Birmingham, UK)

10:45 Morning Coffee The Maths Inst Common Room

... for Torelli groups of surfaces.

I will discuss two of my papers that develop PDE methods for weak KAM theory, in the context of a singular variational problem that can be interpreted as a regularization of Mather's variational principle by an entropy term. This is, sort of, a statistical mechanics approach to the problem. I will show how the Euler-Lagrange PDE yield approximate changes to action-angle variables for the corresponding Hamiltonian dynamics.

Random matrices were introduced by E. Wigner to model the excitation spectrum of large nuclei. The central idea is based on the hypothesis that the local statistics of the excitation spectrum for a large complicated system is universal. Dyson Brownian motion is the flow of eigenvalues of random matrices when each matrix element performs independent Brownian motions. In this lecture, we will explain the connection between the universality of random matrices and the approach to local equilibrium of Dyson Brownian motion. The main tools in our approach are the logarithmic Sobolev inequality and entropy flow. The method will be applied to the adjacency matrices of Erdos-Renyi graphs.

Direct products of finitely generated free groups have a surprisingly rich subgroup structure. We will talk about how the finiteness properties of a subgroup of a direct product relate to the way it is embedded in the ambient product. Central to this connection is a conjecture on finiteness properties of fibre products, which we will present along with different approaches towards solving it.

It is known that generic and universal structures and Ramsey classes are related. We explain this connection and complement it by some new examples. Particularly we disscuss universal and Ramsey classes defined by existence and non-existence of homomorphisms.

The problem of isometric embedding of a Riemannian Manifold into

Euclidean space is a classical issue in differential geometry and

nonlinear PDE. In this talk, I will outline recent work my

co-workers and I have done, using ideas from continuum mechanics as a guide,

formulating the problem, and giving (we hope) some new insight

into the role of " entropy".

The main mechanism for crystal plasticity is the formation and motion of a special class of defects, the dislocations. These are topological defects in the crystalline structure that can be identify with lines on which energy concentrates. In recent years there has been a considerable effort for the mathematical derivation of models that describe these objects at different scales (from an energetic and a dynamical point of view). The results obtained mainly concern special geometries, as one dimensional models, reduction to straight dislocations, the activation of only one slip system, etc.

The description of the problem is indeed extremely complex in its generality.

In the presentation will be given an overview of the variational models for dislocations that can be obtained through an asymptotic analysis of systems of discrete dislocations.

Under suitable scales we study the ``variational limit'' (by means of Gamma-convergence) of a three dimensional (static) discrete model and deduce a line tension anisotropic energy. The characterization of the line tension energy density requires a relaxation result for energies defined on curves.

The talk will explain how a geometric principle gave rise to a new variational description of information-theoretic entropy and how this led to the solution of a problem dating back to the 50's: whether the the central limit theorem is driven by an analogue of the second law of thermodynamics.

This problem is classically addressed by the so-called Skorohod Embedding problem. We instead develop a stochastic control approach. Unlike the previous literature, our formulation seeks the optimal no arbitrage bounds given the knowledge of the distribution at some (or various) point in time. This problem is converted into a classical stochastic control problem by means of convex duality. We obtain a general characterization, and provide explicit optimal bounds in some examples beyond the known classical ones. In particular, we solve completely the case of finitely many given marginals.

In spirit with John's talk we will discuss how topological invariants can be defined within a purely algebraic framework. After having introduced étale fundamental groups, we will discuss conjectures of Gieseker, relating those to certain "flat bundles" in finite characteristic. If time remains we will comment on the recent proof of Esnault-Sun.

• James Kirkpatrick - "Drift Diffusion modelling of organic solar cells: including electronic disorder".
• Timothy Reis - "Moment-based boundary conditions for the Lattice Boltzmann method".
• Matthew Moore - "Introducing air cushioning to Wagner theory".
• Matthew Hennessy - “Organic Solar Cells and the Marangoni Instability”.