Past

We study a dynamic multi-asset economy with private information, a stock and a derivative. There are informed and uninformed investors as well as bounded rational investors trading on noise. The noisy rational expectations equilibrium is obtained in closed form. The equilibrium stock price follows a non-Markovian process, is positive and has stochastic volatility. The derivative cannot be replicated, except at rare endogenous times. At any point in time, the derivative price adds information relative to the stock price, but the pair of prices is less informative than volatility, the residual demand or the history of prices. The rank of the asset span drops at endogenous times causing turbulent trading activity. The effects of financial innovation are discussed. The equilibrium is fully revealing if the derivative is not traded: financial innovation destroys information.

Network models may be applied to describe many complex systems, and in the era of online social networks the study of dynamics on networks is an important branch of computational social science.  Cascade dynamics can occur when the state of a node is affected by the states of its neighbours in the network, for example when a Twitter user is inspired to retweet a message that she received from a user she follows, with one event (the retweet) potentially causing further events (retweets by followers of followers) in a chain reaction. In this talk I will review some simple models that can help us understand how social contagion (the spread of cultural fads and the viral diffusion of information) depends upon the structure of the social network and on the dynamics of human behaviour. Although the models are simple enough to allow for mathematical analysis, I will show examples where they can also provide good matches to empirical observations of cascades on social networks.

Solving the Stokes equation by an optimal domain decomposition method derived algebraically involves the use of non standard interface conditions whose discretisation is not trivial. For this reason the use of approximation methods such as hybrid discontinuous Galerkin appears as an appropriate strategy: on the one hand they provide the best compromise in terms of the number of degrees of freedom in between standard continuous and discontinuous Galerkin methods, and on the other hand the degrees of freedom used in the non standard interface conditions are naturally defined at the boundary between elements. In this work we introduce the coupling between a well chosen discretisation method (hybrid discontinuous Galerkin) and a novel and efficient domain decomposition method to solve the Stokes system. We present the detailed analysis of the hybrid discontinuous Galerkin method for the Stokes problem with non standard boundary conditions. This analysis is supported by numerical evidence. In addition, the advantage of the new preconditioners over more classical choices is also supported by numerical experiments.

This work was done in collaboration with G. Barrenechea, M. Bosy (Univ. Strathclyde) and F. Nataf, P-H Tournier (Univ of Paris VI)

We will discuss nonlinear cross-diffusion models describing cell motility of two distinct populations. The continuum PDE model is derived systematically from a stochastic discrete model consisting of impenetrable diffusing spheres. In this talk, I will outline the derivation of the cross-diffusion model, discuss some of its features such as the gradient-flow structure, and show numerical results comparing the discrete stochastic system to the derived model.

Stable commutator length (scl) is a well established invariant of group elements g  (write scl(g)) and  has both geometric and algebraic meaning.

It is a phenomenon that many classes of non-positively curved groups have a gap in stable commutator length: For every non-trivial element g, scl(g) > C for some C>0. Such gaps may be found in hyperbolic groups, Baumslag-solitair groups, free products, Mapping class groups, etc. 
However, the exact size of this gap usually unknown, which is due to a lack of a good source of “quasimorphisms”.

In this talk I will construct a new source of quasimorphisms which yield optimal gaps and show that for Right-Angled Artin Groups and their subgroups the gap of stable commutator length is exactly 1/2. I will also show this gap for certain amalgamated free products.

With the evolution towards the IoT and cyber-physical systems, the role that the underlying hardware plays in securing an application is becoming more prominent. Hardware can be used constructively, e.g. for accelerating computationally- intensive cryptographic algorithms. Hardware can also be used destructively, e.g., for physical attacks or transistor-level Trojans which are virtually impossible to detect. In this talk, we will present case studies for high-speed cryptography used in car2x communication and recent research on low-level hardware Trojans. 

A famous theorem of Mantel from 1907 states that every n-vertex graph with more than n^2/4 edges contains at least one triangle. In the 50s, Erdős asked for a quantitative version of this statement: for every n and e, how many triangles must an n-vertex e-edge graph contain?

This question has received a great deal of attention, and a long series of partial results culminated in an asymptotic solution by Razborov, extended to larger cliques by Nikiforov and Reiher. Currently, an exact solution is only known for a small range of edge densities, due to Lovász and Simonovits. In this talk, I will discuss the history of the problem and recent work which gives an exact solution for almost the entire range of edge densities. This is joint work with Hong Liu and Oleg Pikhurko.

We propose a new parameter estimation technique for SDEs, based on the inverse problem of finding a forward operator describing the evolution of temporal data. Nonlinear dynamical systems on a state-space can be lifted to linear dynamical systems on spaces of higher, often infinite, dimension. Recently, much work has gone into approximating these higher-dimensional systems with linear operators calculated from data, using what is called Dynamic Mode Decomposition (DMD). For SDEs, this linear system is given by a second-order differential operator, which we can quickly calculate and compare to the DMD operator.

In 2016-17, Fjordholm, Kappeli, Mishra and Tadmor developed a numerical method by which one could compute measure-valued solutions to systems of hyperbolic conservation laws with either measure-valued or deterministic initial data. In this talk I will discuss the ideas behind this method, and discuss how it can be adapted to systems of quasi-linear parabolic PDEs whose nonlinearity fails to satisfy a monotonicity condition.

Many studies of digital communication, in particular of Twitter, use natural language processing (NLP) to find topics, assess sentiment, and describe user behaviour.
In finding topics often the relationships between users who participate in the topic are neglected.
We propose a novel method of describing and classifying online conversations using only the structure of the underlying temporal network and not the content of individual messages.
This method utilises all available information in the temporal network (no aggregation), combining both topological and temporal structure using temporal motifs and inter-event times.
This allows us to describe the behaviour of individuals and collectives over time and examine the structure of conversation over multiple timescales.
 

In this talk I will present three families of differential equations (SDEs, BSDEs and PDEs) and their links to each other. The novel fact is that some of the coefficients are generalised functions living in a fractional Sobolev space of negative order. I will discuss the appropriate notion of solution for each type of equation and show existence and uniqueness results. To do so, I will use tools from analysis like semigroup theory, pointwise products, theory of function spaces, as well as classical tools from probability and stochastic analysis. The link between these equations will play a fundamental role, in particular the results on the PDE are used to give a meaning and solve both the forward and the backward stochastic differential equations.  

Stochastic differential equations have Taylor expansions in terms of iterated Wiener integrals. The convergence of such expansion depends on the limiting behavior of the order-N iterated integrals as N tends to infinity. Recently, there has been increased interests in processes stopped at a random time. A breakthrough in the study of the iterated integrals of Brownian motion up to the exit time of a domain was included in the work of Lyons-Ni (2012). The paper leaves open an interesting question: what is the sharp rate of decay for the expected iterated integrals up to the exit time. We will review the state of the art in this problem and report some recent progress. Joint work with Ni Hao (UCL).

Timetable:

1.00pm: Introductory Remarks by Camilla Serck-Hanssen, the Vice President of the Norwegian Academy of Science and Letters

1.10pm - 2.10pm: Andrew Wiles

2.10pm - 2.30pm: Break

2.30pm - 3.30pm: Irene Fonseca

3.30pm - 4.00pm: Tea and Coffee

4.00pm - 5.00pm: John Rognes

Abstracts:

Andrew Wiles: Points on elliptic curves, problems and progress

This will be a survey of the problems concerned with counting points on elliptic curves.

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Irene Fonseca: Mathematical Analysis of Novel Advanced Materials

Quantum dots are man-made nanocrystals of semiconducting materials. Their formation and assembly patterns play a central role in nanotechnology, and in particular in the optoelectronic properties of semiconductors. Changing the dots' size and shape gives rise to many applications that permeate our daily lives, such as the new Samsung QLED TV monitor that uses quantum dots to turn "light into perfect color"! 

Quantum dots are obtained via the deposition of a crystalline overlayer (epitaxial film) on a crystalline substrate. When the thickness of the film reaches a critical value, the profile of the film becomes corrugated and islands (quantum dots) form. As the creation of quantum dots evolves with time, materials defects appear. Their modeling is of great interest in materials science since material properties, including rigidity and conductivity, can be strongly influenced by the presence of defects such as dislocations. 

In this talk we will use methods from the calculus of variations and partial differential equations to model and mathematically analyze the onset of quantum dots, the regularity and evolution of their shapes, and the nucleation and motion of dislocations.

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John Rognes: Symmetries of Manifolds

To describe the possible rotations of a ball of ice, three real numbers suffice.  If the ice melts, infinitely many numbers are needed to describe the possible motions of the resulting ball of water.  We discuss the shape of the resulting spaces of continuous, piecewise-linear or differentiable symmetries of spheres, balls and higher-dimensional manifolds.  In the high-dimensional cases the answer turns out to involve surgery theory and algebraic K-theory.

Lein Applied Diagnostics has a novel optical measurement technique that is used to measure various parameters in the body for medical applications.

Two particular areas of interest are non-invasive glucose measurement for diabetes care and the diagnosis of diabetes. Both measurements are based on the eye and involve collecting complex data sets and modelling their links to the desired parameter.

If we take non-invasive glucose measurement as an example, we have two data sets – that from the eye and the gold standard blood glucose reading. The goal is to take the eye data and create a model that enables the calculation of the glucose level from just that eye data (and a calibration parameter for the individual). The eye data consists of measurements of apparent corneal thickness, anterior chamber depth, optical axis orientation; all things that are altered by the change in refractive index caused by a change in glucose level. So, they all correlate with changes in glucose as required but there are also noise factors as these parameters also change with alignment to the meter etc. The goal is to get to a model that gives us the information we need but also uses the additional parameter data to discount the noise features and thereby improve the accuracy.

In this talk we describe an approach to approximate the truncated singular value decomposition of a large matrix by first decomposing the matrix into a sum of Kronecker products. Our approach can be used to more efficiently approximate a large number of singular values and vectors than other well known schemes, such as iterative algorithms based on the Golub-Kahan bidiagonalization or randomized matrix algorithms. We provide theoretical results and numerical experiments to demonstrate accuracy of our approximation, and show how the approximation can be used to solve large scale ill-posed inverse problems, either as an approximate filtering method, or as a preconditioner to accelerate iterative algorithms.
 

In our Oxford Mathematics Christmas Lecture Alex Bellos challenges you with some festive brainteasers as he tells the story of mathematical puzzles from the middle ages to modern day. Alex is the Guardian’s puzzle blogger as well as the author of several works of popular maths, including Puzzle Ninja, Can You Solve My Problems? and Alex’s Adventures in Numberland.

Please email @email to register.

Using synchronized high-speed video camera, hydrophone and microphone we investigated flow patterns, the impact and secondary sound pulses emitted by oscillating bubbles. On the submerging  drop found short capillary waves produced by small secondary impact droplets. Picturesque filament and grid structures produced by colour drop of mixing fluid registered on the surface of the cavity and crown. Physical model includes discussion of the potential surface energy effects.

Scattering amplitudes computed at a fixed loop order, along with any other object computed in perturbative QFT, can be expressed as a linear combination of a finite basis of loop integrals. To compute loop amplitudes in practise, such a basis of integrals must be determined. In this talk I introduce a new algorithm for finding bases of loop integrals and discuss its implementation in the publically available package Azurite.

The bipolar filtration of Cochran, Harvey and Horn initiated the study of deeper structures of the smooth concordance group of the topologically slice knots. We show that the graded quotient of the bipolar filtration has infinite rank at each stage greater than one. To detect nontrivial elements in the quotient, the proof uses higher order amenable Cheeger-Gromov $L^2$ $\rho$-invariants and infinitely many Heegaard Floer correction term $d$-invariants simultaneously. This is joint work with Jae Choon Cha.

A bold conjecture of Boyer-Gorden-Watson and others posit that for any irreducible rational homology 3-sphere M the following three conditions are equivalent: (1) the fundamental group of M is left-orderable, (2) M has non-minimal Heegaard Floer homology, and (3) M admits a co-orientable taut foliation. Very recently, this conjecture was established for all graph manifolds by the combined work of Boyer-Clay and Hanselman-Rasmussen-Rasmussen-Watson. I will discuss a computational survey of these properties involving half a million hyperbolic 3-manifolds, including new or at least improved techniques for computing each of these properties.
 

The theory of metric measure spaces with Ricci curvature from below is growing very quickly, both in the "Riemannian" class RCD and the general  CD one. I will review some of the most recent results, by illustrating the key identification results and technical tools (at the level of calculus in metric measure spaces) underlying these results.
 

The last 500 million years of Earth’s history have been punctuated by numerous episodes of abrupt climate change, some of them coincident with mass extinction events. Many of these climate events have been associated with massive volcanism, occurring during the emplacement of so-called Large Igneous Provinces (LIPs). Because of the significant impact of small modern eruptions on the Earth’s climate, a link between LIP volcanism and past climate change has been strongly advocated. Geochemical investigations of the sedimentary records which record major climate changes can give a profound insight into the proposed interactions between volcanic activity and climate. Mercury is a trace-gas emitted by modern volcanoes, which are the main source of this metal to the atmosphere. Ultimately atmospheric mercury is deposited in sediments, thus if enrichments in mercury are observed in sediments of the same age across the globe, a volcanic cause of these enrichments might be inferred. Osmium isotopes can also be used as a fingerprint of volcanic activity, as primitive basalts are enriched in unradiogenic 188Os. However, the continental crust is enriched in radiogenic 187Os. Therefore, the 187Os/188Os ratio can change with either more volcanic activity, or increased continental weathering during climate change. Changes in sedimentary mercury content and osmium isotopes can thus be used as markers of volcanism or weathering during climate events. However, a possible future step would be to quantify the amount of volcanism and/or weathering on the basis of these sedimentary excursions. The final part of this talk will introduce some simple quantitative models which may represent a first step towards such quantification, with the aim of further elaborating these models in the future.

In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way which is independent of any modelling assumptions, but that she observes market information in the form of the prices of vanilla call options on the asset. We also assume that both the insider’s information, which takes the form of a set of impossible paths, and the payoff of the derivative are time-invariant. This setup allows us to adapt recent work of Beiglboeck, Cox, and Huesmann [BCH16] to prove duality results and a monotonicity principle, which enables us to determine geometric properties of the optimal models. Moreover, we show that this setup is powerful, in that we are able to find analytic and numerical solutions to certain pricing and hedging problems. (Joint with B. Acciaio and M. Huesmann)

This talk will introduce the notion of categorical rigidity and the automorphism class group of a category. We will proceed with calculations for several important categories, hopefully illuminating the inverse relationship between the automorphisms of a category and the extent to which the structure of its objects is determined categorically. To conclude, some discussion of what progress there is on currently open/unknown cases.

I will present a new approach to study the RG flow in 3d N=4 gauge theories, based on an analysis of the Coulomb branch of vacua. The Coulomb branch is described as a complex algebraic variety and important information about the strongly coupled fixed points of the theory can be extracted from the study of its singularities. I will use this framework to study the fixed points of U(N) and Sp(N) gauge theories with fundamental matter, revealing some surprising scenarios at low amount of matter.

 In a recent paper Friedl, Zentner and Livingston asked when a sum of torus knots is concordant to an alternating knot. After a brief analysis of the problem in its full generality, I will describe some effective obstructions based on Floer type theories.

We count monic quartic polynomials with prescribed Galois group, by box height. Among other things, we obtain the order of magnitude for  quartics, and show that non-quartics are dominated by reducibles. Tools include the geometry of numbers, diophantine approximation, the invariant theory of binary forms, and the determinant method. Joint with Rainer Dietmann.

Inelastic surface growth associated with continuous creation of incompatibility on the boundary of an evolving body is behind a variety of both natural processes (embryonic development,  tree growth) and technological processes (dam construction, 3D printing). Despite the ubiquity of such processes, the mechanical aspects of surface growth are still not fully understood. In this talk we present  a new approach to surface growth that allows one to address inelastic effects,  path dependence of the growth process and the resulting geometric frustration. In particular, we show that incompatibility developed during deposition can be fine-tuned to ensure a particular behaviour of the system in physiological (or working) conditions. As an illustration, we compute an explicit deposition protocol aimed at "printing" arteries, that guarantees the attainment of desired stress distributions in physiological conditions. Another illustration is the growth starategy for explosive plants, allowing a complete release of residual elastic energy with a single cut.

In this talk, I consider the problem of pricing and (statically)
hedging short-term contingent claims written on illiquid or
non-tradable assets.
In a first part, I show how to find the best European payoff written
on a given set of underlying assets for hedging (under several
metrics) a given European payoff written on another set of underlying
assets -- some of them being illiquid or non-tradable. In particular,
I present new results in the case of the Expected Shortfall risk
measure. I also address the associated pricing problem by using
indifference pricing and its link with entropy.
In a second part, I consider the more classic case of hedging with a
finite set of simple payoffs/instruments and I address the associated
pricing problem. In particular, I show how entropic methods (Davis
pricing and indifference pricing à la Rouge-El Karoui) can be used in
conjunction with recent results of extreme value theory (in dimension
higher than 1) for pricing and hedging short-term out-of-the-money
options such as those involved in the definition of Daily Cliquet
Crash Puts.

We analyze a fully discrete numerical scheme for solving a parabolic PDE on a moving surface. The method is based on a diffuse interface approach that involves a level set description of the moving surface. Under suitable conditions on the spatial grid size, the time step and the interface width we obtain stability and error bounds with respect to natural norms. Test calculations are presented that confirm our analysis.

I will introduce a McKean—Vlasov problem arising from a simple mean-field model of interacting neurons. The equation is nonlinear and captures the positive feedback effect of neurons spiking. This leads to a phase transition in the regularity of the solution: if the interaction is too strong, then the system exhibits blow-up. We will cover the mathematical challenges in defining, constructing and proving uniqueness of solutions, as well as explaining the connection to PDEs, integral equations and mathematical finance.

 The aim of this talk is to describe the classification problem for Higgs bundles and to explain how a combination of classical and Non-Reductive Geometric Invariant Theory might be used to solve this classification problem.
 
I will start by defining Higgs bundles and their physical origins. Then, I will present the classification problem for Higgs bundles. This will involve introducing the "stack" of Higgs bundles, a purely formal object which allows us to consider all isomorphism classes of Higgs bundles at once. Finally, I will explain how the stack of Higgs bundles can be described geometrically. As we will see, the stack of Higgs bundles can be decomposed into disjoint strata, each consisting of Higgs bundles of a given "instability type". Both classical and Non-Reductive GIT can then be applied to obtain moduli spaces for each of the strata.

The “field with one element” is an interesting algebraic object that in some sense relates linear algebra with set theory. In a much deeper vein it is also expected to have a role in algebraic geometry that could potentially “lift" Deligne’s proof of the final Weil Conjecture for varieties over finite fields to a proof of the Riemann hypothesis for the Riemann zeta function. The only problem is that it doesn’t exist. In this highly speculative talk I will discuss some of these concepts, and focus mainly on zeta functions of algebraic varieties over finite fields. I will give a (very) brief sketch of how to interpret various zeta functions in a geometric context, and try to explain what goes wrong for the Riemann zeta function that makes this a difficult problem.

Oxford Mathematics Public Lectures - Andrew Wiles, 28th November, 6.30pm, Science Museum, London SW7 2DD

Oxford Mathematics in partnership with the Science Museum is delighted to announce its first Public Lecture in London. World-renowned mathematician Andrew Wiles will be our speaker. Andrew will be talking about his current work and will also be 'in conversation' with mathematician and broadcaster Hannah Fry after the lecture.

This lecture is now sold out, but it will be streamed live and recorded. https://livestream.com/oxuni/wiles
 

Roelcke precompact groups are exactly the topological groups that can be realized as automorphism groups of omega-categorical structures (in continuous logic). In this talk, I will discuss a model-theoretic framework for the study of those groups and their dynamical systems as well as two concrete applications. The talk is based on joint work with Itaï Ben Yaacov and Tomás Ibarlucía.

The specialization question for rationality is the following one: assume that very general fibers of a flat proper morphism are rational, does it imply that all fibers are rational? I will talk about recent solution of this question in characteristic zero due to myself and Nicaise, and Kontsevich-Tschinkel. The method relies on a construction of various specialization morphisms for the Grothendieck ring of varieties (stable rationality) and the Burnside ring of varieties (rationality), which in turn rely on the Weak Factorization and Semi-stable Reduction Theorems.

The purpose of this work is to introduce a new constraint functional for shape optimization problems, which enforces the constructibility by means of additive manufacturing processes, and helps in preventing the appearance of overhang features - large regions hanging over void which are notoriously difficult to assemble using such technologies. The proposed constraint relies on a simplified model for the construction process: it involves a continuum of shapes, namely the intermediate shapes corresponding to the stages of the construction process where the total, final shape is erected only up to a certain level. The shape differentiability of this constraint functional is analyzed - which is not a standard issue because of its peculiar structure. Several numerical strategies and examples are then presented. This is a joint work with G. Allaire, R. Estevez, A. Faure and G. Michailidis.

In this joint work with D. Ciubotaru, we introduce the notion of local and global indices of Dirac operators for a rational Cherednik algebra H, with underlying reflection group G. In the local theory, I will report on some relations between the (local) Dirac index of a simple module in category O, the graded G-character and the composition series polynomials for standard modules. In the global theory, we introduce an "integral-reflection" module over which we define and compute the index of a (global) Dirac operator and show that the index is independent of the parameters. If time permits, I will discuss some local-global relations.

A new generation of low cost 3D tomography systems is based on multiple emitters and sensors that partially convolve measurements. A successful approach to deconvolve the measurements is to use nonlinear compressed sensing models. We discuss such models, as well as algorithms for their solution. 

This will be a discussion of the paper https://arxiv.org/abs/1607.06978.

Snap-through buckling is a type of instability in which an elastic object rapidly jumps from one state to another, just as an umbrella flips upwards in a gust of wind. While snap-through under dry, mechanical loads has already been harnessed in engineering to generate fast motions between two states, the mechanisms underlying snapping in bulk fluid flows remain relatively unexplored. In this talk we demonstrate how elastic snap-through may be used to passively control fluid flows at low Reynolds number, in contrast to some pre-existing valves that rely on active control. We study viscous flow through a channel in which one of the bounding walls is an elastic arch. By performing experiments at the macroscopic scale, we show that snap-through of the arch rapidly changes the channel from a constricted to an unconstricted state, increasing the hydraulic conductivity by up to an order of magnitude. We also observe nonlinear pressure-flux characteristics away from snapping due to the coupling between the driving flow and elasticity. This behaviour is confirmed by a mathematical model that also shows the device may readily be scaled down for microfluidic applications. Finally, we demonstrate that such a device may be used to create a fluidic analogue of a fuse: the fluid flux through a channel may not rise above a given value. 

Current technological progress has raised concerns about automation of tasks performed by workers resulting in job losses. Previous studies have used machine learning techniques to compute the automation probability of occupations and thus, studied the impact of automation on employment. However, such studies do not consider second-order effects, for example, an occupation with low automation probability can have a  surplus of labor supply due to similar occupations being automated. In this work, we study such second-order effects of automation using a network approach.  In our network – the Job Space – occupations are nodes and edges link occupations which share a significant amount of work activities. By mapping employment, automation probabilities into the network, and considering the movement of workers, we show that an occupation’s position in the network may be crucial to determining its employment future.

I will discuss recent developments in the study of scattering amplitudes in Einstein-Yang-Mills theory. At tree level we find new structures at higher order collinear limits and novel connections with amplitudes in Yang-Mills theory using the CHY formalism. Finally I will comment on unitarity based observations regarding one-loop amplitudes in the theory.