Past

The theory and computation of convex measures of financial risk has been a very active area of Financial Mathematics, with a rich history in a short number of years. The axioms specify sensible properties that measures of risk should possess (and which the industry's favourite, value-at-risk, does not). The most common example is related to the expectation of an exponential utility function.

A basic application is hedging, that is taking off-setting positions, to optimally reduce the risk measure of a portfolio. In standard continuous-time models with dynamic hedging, this leads to nonlinear PDE problems of HJB type. We discuss so-called static-dynamic hedging of exotic options under convex risk measures, and specifically the existence and uniqueness of an optimal position. We illustrate the computational challenge when we move away from the risk measure associated with exponential utility.

Joint work with Aytac Ilhan (Goldman Sachs) and Mattias Jonsson (University of Michigan).

In 1974 Haim Gaifman conjectured that if a first-order theory T is relatively categorical over T(P) (the theory of the elements satisfying P), then every model of T(P) expands to one of T.

The conjecture has long been known to be true in some special cases, but nothing general is known. I prove it in the case of abelian groups with distinguished subgroups. This is some way outside the previously known cases, but the proof depends so heavily on the Kaplansky-Mackey proof of Ulm's theorem that the jury is out on its generality.

Given a polynomial function f defined on a variety X,

we consider two questions, which are non-commutative analogues

of the Prime Number Theorem and the Linnik Theorem:

- how often the values of f(x) at integral points in X are almost prime?

- can one effectively solve the congruence equation f(x)=b (mod q)

with f(x) being almost prime?

We discuss a solution to these questions when X is a homogeneous

variety (e.g, a quadratic surface).

Whenever we say the words "fluid flows" or "shape changes" we enter the realm of infinite-dimensional geometric mechanics. Water, for example, flows. In fact, Euler's equations tell us that water flows a particular way. Namely, it flows to get out of its own way as adroitly as possible. The shape of water changes by smooth invertible maps called diffeos (short for diffeomorphisms). The flow responsible for this optimal change of shape follows the path of shortest length, the geodesic, defined by the metric of kinetic energy. Not just the flow of water, but the optimal morphing of any shape into another follows one of these optimal paths.

The lecture will be about the commonalities between fluid dynamics and shape changes and will be discussed in the language most suited to fundamental understanding -- the language of geometric mechanics. A common theme will be the use of momentum maps and geometric control for steering along the optimal paths using emergent singular solutions of the initial value problem for a nonlinear partial differential equation called EPDiff, that governs metamorphosis along the geodesic flow of the diffeos. The main application will be in the registration and comparison of Magnetic Resonance Images for clinical diagnosis and medical procedures.

Starting from a Navier-Stokes-Cahn-Hilliard equation for a two-phase flow problem we discuss efficient numerical approaches based on adaptive finite element methods. Various extensions of the model are discussed: a) we consider the model on implicitly described geometries, which is used to simulate the sliding of droplets over nano-patterned surfaces, b) we consider the effect of soluble surfactants and show its influence on tip splitting of droplets under shear flow, and c) we consider bijels as a new class of soft matter materials, in which colloidal particles are jammed on the fluid-fluid interface and effect the motion of the interface due to an elastic force.

The work is based on joint work with Sebastian Aland (TU Dresden), John Lowengrub (UC Irvine) and Knut Erik Teigen (U Trondheim).

A K3 surface of degree two can be seen as a double cover of the complex projective plane, ramified over a nonsingular sextic curve. In this talk we explore two different methods for constructing explicit projective models of threefolds admitting a fibration by such surfaces, and discuss their relative merits.

Singular monopoles are solutions to the Bogomolny equation with prescribed singularities of Dirac monopole type. Previously such monopoles could be constructed only by the Nahm transform, with some difficulty. We therefore formulate a new construction of all singular monopoles. This construction relies on two ideas: Kronheimer's correspondence between singular monopoles on R^3 and self-dual connections on the multi-Taub-NUT space, and Cherkis' recent construction of self-dual connections on curved spaces using bow diagrams. As an example of our method we use it to obtain the explicit solution for a charge one SU(2) singular monopole with an arbitrary number of singularities.

We shall discuss a simple low order numerical integration scheme for ODEs and DAEs. The scheme has a parameter that allows for regularization of Jacobian of stiff problems and for numerically elucidating multi-scale response, if any, in some problems.

We discuss homological finiteness Bredon types FPm with respect to the class of finite subgroups and seperately with respect to the class of virtually cyclic subgroups. We will concentrate to the case of solubles groups and if the time allows to the case of generalized R. Thompson groups of type F. The results announced are joint work with Brita Nucinkis

(Southampton) and Conchita Martinez Perez (Zaragoza) and will appear in papers in Bulletin of LMS and Israel Journal of Mathematics.

I will show that given smooth embedded Lagrangian L in a Calabi-Yau, one can find a perturbation of L which lies in the same hamiltonian isotopy class and such that the correspondent solution to mean curvature flow develops a finite time singularity. This shows in particular that a simplified version of the Thomas-Yau conjecture does not hold.

We revisit the problem of sorting under partial information: sort a finite set given the outcomes of comparisons between some pairs of elements. The input is a partially ordered set P, and solving the problem amounts to discovering an unknown linear extension of P, using pairwise comparisons. The information-theoretic lower bound on the number of comparisons needed in the worst case is log e(P), the binary logarithm of the number of linear extensions of P. In a breakthrough paper, Jeff Kahn and Jeong Han Kim (STOC 1992) showed that there exists a polynomial-time sorting algorithm achieving this bound up to a constant factor. They established a crucial link between the entropy of the input partial order and the information-theoretic lower bound. However, their algorithm invokes the ellipsoid algorithm at each iteration for determining the next comparison, making it unpractical. We develop efficient algorithms for sorting under partial information, derived from approximation and exact algorithms for computing the partial order entropy.

This is joint work with S. Fiorini, G. Joret, R. Jungers, and I. Munro.

We explore two different threading approaches on a graphics processing
unit (GPU) exploiting two different characteristics of the current GPU
architecture. The fat thread approach tries to minimise data access time
by relying on shared memory and registers potentially sacrificing
parallelism. The thin thread approach maximises parallelism and tries to
hide access latencies. We apply these two approaches to the parallel
stochastic simulation of chemical reaction systems using the stochastic
simulation algorithm (SSA) by Gillespie. In these cases, the proposed
thin thread approach shows comparable performance while eliminating the
limitation of the reaction system's size.

Link to paper: 

http://people.maths.ox.ac.uk/erban/papers/paperCUDA.pdf

Much effort has been devoted to the study of weak scale particles, e.g. supersymmetric neutralinos, which have a relic abundance from thermal equilibrium in the early universe of order what is inferred for dark matter. This does not however provide any connection to the comparable abundance of baryonic matter, which must have a non-thermal origin. However "dark baryons" of mass ~5 GeV from a new strongly interacting sector would naturally provide dark matter and are consistent with recent putative signals in experiments such as CoGeNT and DAMA. Such particles would accrete in the Sun and affect heat transport in the interior so as to affect low energy neutrino fluxes and can possibly resolve the current conflict between helioseismological data and the Standard Solar Model.

We develop a theory based on relative entropy to show stabilityand uniqueness of extremal entropic Rankine-Hugoniot discontinuities forsystems of conservation laws (typically 1-shocks, n-shocks, 1-contactdiscontinuities and n-contact discontinuities of big amplitude), amongbounded entropic weak solutions having an additional strong traceproperty. The existence of a convex entropy is needed. No BV estimateis needed on the weak solutions considered. The theory holds withoutsmallness condition. The assumptions are quite general. For instance, thestrict hyperbolicity is not needed globally. For fluid mechanics, thetheory handles solutions with vacuum.

Abstract: We will explain a certain natural way to project elements of

the mapping class to simple closed curves on subsurfaces. Generalizing

a coordinate system on hyperbolic space, we will use these projections

to describe a way to characterize elements of the mapping class group

in terms of these projections. This point of view is useful in several

applications; time permitting we shall discuss how we have used this

to prove the Rapid Decay property for the mapping class group. This

talk will include joint work with Kleiner, Minksy, and Mosher.

We consider a dilute stationary system of N particles uniformly distributed in space and interacting pairwise according to a compactly supported potential, which is repellent at short distances and attractive at moderate distances. We are interested in the large-N behaviour of the system. We show that at a certain scale there are phase transitions in the temperature parameter and describe the energy and ground states explicitly in terms of a variational problem