Past

Can investors with irrational beliefs be neglected as long as they are rational on average ? Does unbiased disagreement lead to trades that cancel out with no consequences on prices, as implicitly assumed by the traditional models ? We show in this paper that there is an important impact of unbiased disagreement on the behavior of financial markets, even though the pricing formulas are "on average" (over the states of the world) unchanged. In particular we obtain time varying, mean reverting and countercyclical (instead of constant in the standard model) market prices of risk, mean reverting and procyclical (instead of constant) risk free rates, decreasing (instead of flat) yield curves in the long run, possibly higher returns and higher risk premia in the long run (instead of a flat structure), momentum in stock returns in the short run, more variance on the state price density, time and state varying (instead of constant) risk sharing rules, as well as more important and procyclical trading volumes. These features seem consistent with the actual (or desirable) behavior of financial markets and only result from the introduction of unbiased disagreement.

Inverse problems are often ill-posed, with solutions that depend sensitively on data. Regularization of some form is often used to counteract this. I will describe an approach to regularization, based on a Bayesian formulation of the problem, which leads to a notion of well-posedness for inverse problems, at the level of probability measures.

The stability which results from this well-posedness may be used as the basis for understanding approximation of inverse problems in finite dimensional spaces. I will describe a theory which carries out this program.

The ideas will be illustrated with the classical inverse problem for the heat equation, and then applied to so more complicated inverse problems arising in data assimilation, such as determining the initial condition for the Navier-Stokes equation from observations.

I will present a new proof of Mumford's conjecture on the rational cohomology of moduli spaces of curves, which is substantially different from those given by Madsen--Weiss and Galatius--Madsen--Tillmann--Weiss: in particular, it makes no use of Harer--Ivanov stability for the homology of mapping class groups, which played a decisive role in the previously known proofs. This talk represents joint work with Soren Galatius.

Presheaves on categories crop up everywhere! In this talk, I'll give a

gentle introduction to 2-categories, and discuss the notion of a

presheaf on a 2-category. In particular, we'll consider which

2-categories such a presheaf might take values in. Only a little

familiarity with the notion of a category will be assumed!

Triply graded link homology (introduced by Khovanov and Rozansky) is a

categorification of the HOMFLYPT polynomial. In this talk I will discuss

recent joint work with Ben Webster which gives a geometric construction of this invariant in terms of equivariant constructible sheaves. In this

framework the Reidemeister moves have quite natural geometric proofs. A

generalisation of this construction yields a categorification of the

coloured HOMFLYPT polynomial, constructed (conjecturally) by Mackay, Stosic and Vaz. I will also describe how this approach leads to a natural formula for the Jones-Ocneanu trace in terms of the intersection cohomology of Schubert varieties in the special linear group.

Numerical computer codes implementing physics based models are the backbone of today's mechanical/aerospace engineering analysis and design methods. Such computational codes can be extremely expensive consisting of several millions of degrees of freedom. However, large models even with very detailed physics are often not enough to produce credible numerical results because of several types of uncertainties which exist in the whole process of physics based computational predictions. Such uncertainties include, but not limited to (a) parametric uncertainty (b) model inadequacy; (c) uncertain model calibration error coming from experiments and (d) computational uncertainty. These uncertainties must be assessed and systematically managed for credible computational predictions. This lecture will discuss a random matrix approach for addressing these issues in the context of complex structural dynamic systems. An asymptotic method based on eigenvalues and eigenvectors of Wishart random matrices will be discussed. Computational predictions will be validated against laboratory based experimental results.

The parabolic Anderson model is the Cauchy problem for the heat equation with random potential.  It offers a case study for the possible effects that a random, or irregular environment can have on a diffusion process.  In this talk I review results obtained for an extreme case of heavy-tailed potentials, among the effects we discuss our intermittency, strong localisation and ageing.

Let G be a compact semisimple Lie group. A classical paper of Atiyah and Bott (from 1982) studies the moduli space of flat G-bundles on a fixed Riemann surface S. Their approach completely determines the integral homology of this moduli space, using Morse theoretic methods. In the case where G is U(n), this moduli space is homotopy equivalent to the moduli space of holomorphic vector bundles on S which are "semi-stable". Previous work of Harder and Narasimhan determined the Betti numbers of this moduli space using the Weil conjectures. 20 years later, a Madsen and Weiss determined the homology of the moduli space of Riemann surfaces, in the limit where the genus of the surface goes to infinity.

My talk will combine these two spaces: I will describe the homology of the moduli space of Riemann surfaces S, equipped with a flat G-bundle E -> S, where we allow both the flat bundle and the surface to vary. I will start by reviewing parts of the Atiyah-Bott and Madsen-Weiss papers. Our main theorem will then be a rather easy consequence. This is joint work with Nitu Kitchloo and Ralph Cohen.