Past

The theory of risk measurement has been extensively developed over the past ten years or so, but there has been comparatively little effort devoted to using this theory to inform portfolio choice. One theme of this paper is to study how an investor in a conventional log-Brownian market would invest to optimize expected utility of terminal wealth, when subjected to a bound on his risk, as measured by a coherent law-invariant risk measure. Results of Kusuoka lead to remarkably complete expressions for the solution to this problem.

The second theme of the paper is to discuss how one would actually manage (not just measure) risk. We study a principal/agent problem, where the principal is required to satisfy some risk constraint. The principal proposes a compensation package to the agent, who then optimises selfishly ignoring the risk constraint. The principal can pick a compensation package that induces the agent to select the principal's optimal choice.

We report on work joint with Scott Parsell in which estimates are obtained for the set of real numbers not closely approximated by a given form with real coefficients. "Slim"

technology plays a role in obtaining the sharpest estimates.

This is joint work with Diaz, Glesser and Park.

In Proc. Instructional Conf, Oxford 1969, G. Glauberman shows that

several global properties of a finite group are determined by the properties

of its p-local subgroups for some prime p. With Diaz, Glesser and Park, we

reviewed these results by replacing the group by a saturated fusion system

and proved that the ad hoc statements hold. In this talk, we will present

the adapted versions of some of Glauberman and Thompson theorems.

Multicore chips are nearly ubiquitous in modern machines, and to fully exploit this continuation of Moore's Law, numerical algorithms need to be able to exploit parallelism. We describe recent approaches to both dense and sparse parallel Cholesky factorization on shared memory multicore systems and present results from our new codes for problems arising from large real-world applications. In particular we describe our experiences using directed acyclic graph based scheduling in the dense case and retrofitting parallelism to a

sparse serial solver.

We introduce the notion of $G$-Higgs bundle from studying the representations of the fundamental group of a closed connected oriented surface $X$ in a Lie group $G$. If $G$ turns to be the isometry group of a Hermitian symmetric space, much more can be said about the moduli space of $G$-Higgs bundles, but this also implies dealing with exceptional cases. We will try to face all these subjects intuitively and historically, when possible!

In this talk, I shall endeavour to explain to the uneducated and uninitiated the joys and pleasures one can have studying automata.

Bridgeland's notion of stability condition allows us to associate a complex manifold, the space of stability conditions, to a triangulated category $D$. Each stability condition has a heart - an abelian subcategory of $D$ - and we can decompose the space of stability conditions into subsets where the heart is fixed. I will explain how (under some quite strong assumpions on $D$) the tilting theory of $D$ governs the geometry and combinatorics of the way in which these subsets fit together. The results will be illustrated by two simple examples: coherent sheaves on the projective line and constructible sheaves on the projective line stratified by a point and its complement.

Parity games are simple two-player, infinite-move games particularly useful in Computer Science for modelling non-terminating reactive systems and recursive processes.  A longstanding open problem related to these games is whether the winner of a parity game can be decided in polynomial time.  One of the most promising algorithms to date is a strategy improvement algorithm of Voege and Jurdzinski, however no good bounds are known on its running time.

In this talk I will discuss how the problem of finding a winner in a parity game can be reduced to the problem of locally finding a global sink on an acyclic unique sink oriented hypercube.  As a consequence, we can improve (albeit only marginally) the bounds of the strategy improvement algorithm.

This talk is similar to one I presented at the InfoSys seminar in the Computing Laboratory in October.

This talk will give detailed proofs of Szemer\'{e}di's Regularity Lemma for graphs and the deduction of Roth's Theorem. One can derive Szemer\'{e}di's Theorem on arithmetic progressions of length $k$ from a suitable regularity result on $(k-1)$-uniform hypergraphs, and this will be introduced, although not in detail.

It is well known that the description of the asymptotic behaviour of products of i.i.d random matrices can be derived from the properties of the Lyapunov exponents of these matrices. So far, the fact that the matrices in question are IDENTICALLY distributed, had been crucial for the existing theories. The goal of this work is to explain how and under what conditions one might be able to control products of NON-IDENTICALLY distributed matrices.

We present a new class of self interacting Markov chain models. In contrast to traditional Markov chains, their time evolution may depend on the occupation measure of the past values. We propose a theoretical basis based on measure valued processes and semigroup technics to analyze their asymptotic behaviour as the time parameter tends to infinity. We exhibit different types of decays to equilibrium depending on the level of interaction. In the end of the talk, we shall present a self interacting methodology to sample from a sequence of target probability measures of increasing complexity. We also analyze their fluctuations around the limiting target measures.