Past

Robust pricing of an exotic derivative with payoff $\Phi$ can be viewed as the task of estimating its expectation $E_Q \Phi$ with respect to a martingale measure $Q$ satisfying marginal constraints. It has proven fruitful to relate this to the theory of Monge-Kantorovich optimal transport. For instance, the duality theorem from optimal transport leads to new super-replication results. Optimality criteria from the theory of mass transport can be translated to the martingale setup and allow to characterize minimizing/maximizing models in the robust pricing problem. Moreover, the dual viewpoint provides new insights to the classical inequalities of Doob and Burkholder-Davis-Gundy.

• Joseph Parker - Numerical algorithms for the gyrokinetic equations and applications to magnetic confinement fusion
• Rita Schlackow - Global and functional analyses of 3' untranslated regions in fission yeast
• Peter Stewart - Creasing and folding of fibre-reinforced materials

PLEASE NOTE EARLY START TIME TO AVOID CLASH WITH OCCAM GROUP MEETING

The human influenza A virus causes three to five million cases of severe illness and about 250 000 to 500 000 deaths each year. The 1918 Spanish Flu may have killed more than 40 million people. Yet, the underlying cause of the seasonality of the human influenza virus, its preferential transmission in winter in temperate climates, remains controversial. One of the major forms of the human influenza virus is a sphere made up of lipids selectively derived from the host cell along with specialized viral proteins. I have employed molecular dynamics simulations to study the biophysical properties of a single transmissible unit--an approximately spherical influenza A virion in water (i.e., to mimic the water droplets present in normal transmission of the virus). The surface area per lipid can't be calculated as a ratio of the surface area of the sphere to the number of lipids present as there are many different species of lipid for which different surface area values should be calculated. The 'mosaic' of lipid surface areas may be regarded quantitatively as a Voronoi diagram, but construction of a true spherical Voronoi tessellation is more challenging than the well-established methods for planar Voronoi diagrams. I describe my attempt to implement an approach to the spherical Voronoi problem (based on: Hyeon-Suk Na, Chung-Nim Lee, Otfried Cheong. Computational Geometry 23 (2002) 183–194) and the challenges that remain in the implementation of this algorithm.

Newelski suggested that topological dynamics could be used to extend "stable group theory" results outside the stable context. Given a group G, it acts on the left on its type space S_G(M), i.e. (G,S_G(M)) is a G-flow. If every type is definable, S_G(M) can be equipped with a semigroup structure *, and it is isomorphic to the enveloping Ellis semigroup of the flow. The topological dynamics of (G,S_G(M)) is coded in the Ellis semigroup and in its minimal G-invariant subflows, which coincide with the left ideals I of S_G(M). Such ideals contain at least an idempotent r, and r*I forms a group, called "ideal group". Newelski proved that in stable theories and in o-minimal theories r*I is abstractly isomorphic to G/G^{00} as a group. He then asked if this happens for any NIP theory. Pillay recently extended the result to fsg groups; we found instead a counterexample to Newelski`s conjecture in SL(2,R), for which G/G^{00} is trivial but we show r*I has two elements. This is joint work with Jakub Gismatullin and Anand Pillay.

In this talk I shall describe two rather different, but not entirely unrelated,

problems involving thin-film flow of a viscous fluid which I have found of interest

and which may have some application to a number of practical situations,

including condensation in heat exchangers and microfluidics.

The first problem,

which is joint work with Adam Leslie and Brian Duffy at the University of Strathclyde,

concerns the steady three-dimensional flow of a thin, slowly varying ring of fluid

on either the outside or the inside of a uniformly rotating large horizontal cylinder.

Specifically, we study ``full-ring'' solutions, corresponding to a ring of continuous,

finite and non-zero thickness that extends all the way around the cylinder.

These full-ring solutions may be thought of as a three-dimensional generalisation of

the ``full-film'' solutions described by Moffatt (1977) for the corresponding two-dimensional problem.

We describe the behaviour of both the critical and non-critical full-ring solutions.

In particular,

we show that, while for most values of the rotation speed and the load the azimuthal velocity is

in the same direction as the rotation of the cylinder, there is a region of parameter space close

to the critical solution for sufficiently small rotation speed in which backflow occurs in a

small region on the upward-moving side of the cylinder.

The second problem,

which is joint work with Phil Trinh and Howard Stone at Princeton University,

concerns a rigid plate moving steadily on the free surface of a thin film of fluid.

Specifically, we study two problems

involving a rigid flat (but not, in general, horizontal) plate:

the pinned problem, in which the upstream end of plate is pinned at a fixed position,

the fluid pressure at the upstream end of the plate takes a prescribed value and there is a free surface downstream of the plate, and

the free problem, in which the plate is freely floating and there are free surfaces both upstream and downstream of the plate.

For both problems, the motion of the fluid and the position of the plate

(and, in particular, its angle of tilt to the horizontal) depend in a non-trivial manner on the

competing effects of the relative motion of the plate and the substrate,

the surface tension of the free surface, and of the viscosity of the fluid,

together with the value of the prescribed pressure in the pinned case.

Specifically, for the pinned problem we show that,

depending on the value of an appropriately defined capillary number and on the value of the

prescribed fluid pressure, there can be either none, one, two or three equilibrium solutions

with non-zero tilt angle.

Furthermore, for the free problem we show that the solutions

with a horizontal plate (i.e.\ zero tilt angle) conjectured by Moriarty and Terrill (1996)

do not, in general, exist, and in fact there is a unique equilibrium solution with,

in general, a non-zero tilt angle for all values of the capillary number.

Finally, if time permits some preliminary results for an elastic plate will be presented.

Part of this work was undertaken while I was a

Visiting Fellow in the Department of Mechanical and Aerospace Engineering

in the School of Engineering and Applied Science at Princeton University, Princeton, USA.

Another part of this work was undertaken while I was a

Visiting Fellow in the Oxford Centre for Collaborative Applied Mathematics (OCCAM),

University of Oxford, United Kingdom.

This publication was based on work supported in part by Award No KUK-C1-013-04,

made by King Abdullah University of Science and Technology (KAUST).

We will discuss the Littlewood conjecture from Diophantine approximation, and recent variants of the conjecture in which one of the real components is replaced by a p-adic absolute value (or more generally a "pseudo-absolute value''). The Littlewood conjecture has a dynamical formulation in terms of orbits of the action of the diagonal subgroup on SL_3(R)/SL_3(Z). It turns out that the mixed version of the conjecture has a similar formulation in terms of homogeneous dynamics, as well as meaningful connections to several other dynamical systems. This allows us to apply tools from combinatorics and ergodic theory, as well as estimates for linear forms in logarithms, to obtain new results.

Fix a connected manifold-with-boundary M and a closed, connected submanifold P of its boundary. The set of all possible submanifolds of M whose components are pairwise unlinked and each isotopic to P can be given a natural topology, and splits into a disjoint union depending on the number of components of the submanifold. When P is a point this is just the usual (unordered) configuration space on M. It is a classical result, going back to Segal and McDuff, that for these spaces their homology in any fixed degree is eventually independent of the number of points of the configuration (as the number of points goes to infinity). I will talk about some very recent work on extending this result to higher-dimensional submanifolds: in the above setup, as long as P is of sufficiently large codimension in M, the homology in any fixed degree is eventually independent of the number of components. In particular I will try to give an idea of how the codimension restriction arises, and how it can be improved in some special cases.

ALE formulations are useful when approximating solutions of problems in deformable domains, such as fluid-structure interactions. For realistic simulations involving fluids in 3d, it is important that the ALE method is at least of second order of accuracy. Second order ALE methods in time, without any constraint on the time step, do not exist in the literature and the role of the so-called geometric conservation law (GCL) for stability and accuracy is not clear. We propose discontinuous Galerkin (dG) methods of any order in time for a time dependent advection-diffusion model problem in moving domains. We prove that our proposed schemes are unconditionally stable and that the conservative and non conservative formulations are equivalent. The same results remain true when appropriate quadrature is used for the approximation of the involved integrals in time. The analysis hinges on the validity of a discrete Reynolds' identity and generalises the GCL to higher order methods. We also prove that the computationally less intensive Runge-Kutta-Radau (RKR) methods of any order are stable, subject to a mild ALE constraint. A priori and a posteriori error analysis is provided. The final estimates are of optimal order of accuracy. Numerical experiments confirm and complement our theoretical results.

This is joint work with Andrea Bonito and Ricardo H. Nochetto.

Market impact, leverage, systemic risk, and the perils of mark-to-market accounting

Market impact is the price change associated with new buy or sell orders entering the market. It provides a useful alternative to thinking in terms of supply and demand for several reasons, the most important being that there is theoretical and empirical evidence that it follows a universal law. Understanding market impact is essential for adjusting investment size, for optimizing execution tactics, and provides a useful tool for understanding market ecology and systemic risk. I will present a new method for impact-adjusted accounting, and show how it can avoid the serious problems of marking-to-market when leverage is used. Then I will discuss how market impact can be combined with network theory to understand the problem of overlapping portfolios and market crowding. Since I am a new faculty member, at the beginning of the talk I will say a bit about my interests and current projects.

Recent advances in engineered muscle tissue attached to a synthetic substrate motivates the development of appropriate constitutive and numerical models. Applications of active materials can be expanded by using robust, non-mammalian muscle cells, such as those of Manduca sexta. In this talk we present a   continuum model that accounts for the stimulation of muscle fibers by introducing multiple stress-free reference configurations and for the hysteretic response by specifying a pseudo-elastic energy function. A simple example representing uniaxial loading-unloading is used to validate and verify the characteristics of the model. Then, based on experimental data of muscular thin films, a more complex case shows the qualitative potential of Manduca muscle tissue in active biohybrid constructs.

 We present a new, more conceptual proof of our result that, when a finite group acts on a polynomial ring, the regularity of the ring of invariants is at most zero, and hence one can write down bounds on the degrees of the generators and relations. This new proof considers the action of the group on the Cech complex and looks at when it splits over the group algebra. It also applies to a more general class of rings than just polynomial ones.

How many nodal degree d plane curves are tangent to a given line? The celebrated Caporaso-Harris recursion formula gives a complete answer for any number of nodes, degrees, and all possible tangency conditions. In this talk, I will report my recent work on the generalization of the above problem to count singular curves with given tangency condition to a fixed smooth divisor on general surfaces. I will relate the enumeration to tautological integrals on Hilbert schemes of points and show the numbers of curves in question are given by universal polynomials. As a result, we can obtain infinitely many new formulas for nodal curves and understand the asymptotic behavior for all singular curves with any tangency conditions.

We will discuss the origin of the conjectured colour-kinematics

duality in perturbative gauge theory, according to which there is a

symmetry between the colour dependence and the kinematic dependence of the

S-matrix. Based on this duality, there is a prescription to obtain gravity

amplitudes as the "double copy" of gauge theory amplitudes. We will first

consider tree-level amplitudes, where a diffeomorphism algebra underlies

the structure of MHV amplitudes, mirroring the colour algebra. We will

then draw on the progress at tree-level to consider one-loop amplitudes.

Topological field theories give a connection between

topology and algebra. This connection can be exploited in both

directions: using algebra to construct topological invariants, or

using topology to prove algebraic theorems. In this talk, I will

explain an interesting example of the latter phenomena. Radford's

theorem, as generalized by Etingof-Nikshych-Ostrik, says that in a

finite tensor category the quadruple dual functor is easy to

understand. It's somewhat mysterious that the double dual is hard to

understand but the quadruple dual is easy. Using topological field

theory, we show that Radford's theorem is exactly the consequence of

the Dirac belt trick in topology. That is, the double dual

corresponds to the generator of $\pi_1(\mathrm{SO}(3))$ and so the

quadruple dual is trivial in an appropriate sense exactly because

$\pi_1(\mathrm{SO}(3)) \cong \mathbb{Z}/2$. This is part of a large

project, joint with Chris Douglas and Chris Schommer-Pries, to

understand local field theories with values in the 3-category of

tensor categories via the cobordism hypothesis.

Given a flat torus, we consider certain discrete graph approximations of

it and determine the asymptotics of the number of spanning trees

("complexity") of these graphs as the mesh gets finer. The constants in the

asymptotics involve various notions of determinants such as the

determinant of the Laplacian ("height") of the torus. The analogy between

the complexity of graphs and the height of manifolds was previously

commented on by Sarnak and Kenyon. In dimension two, similar asymptotics

were established earlier by Barber and Duplantier-David in the context of

statistical physics.

Our proofs rely on heat kernel analysis involving Bessel functions, which

in the torus case leads into modular forms and Epstein zeta functions. In

view of a folklore conjecture it also suggests that tori corresponding to

densest regular sphere packings should have approximating graphs with the

largest number of spanning trees, a desirable property in network theory.

Joint work with G. Chinta and J. Jorgenson.