Past

The risk of a financial position is usually summarized by a risk measure.

As this risk measure has to be estimated from historical data, it is important to be able to verify and compare competing estimation procedures. In

statistical decision theory, risk measures for which such verification and comparison is possible, are called elicitable. It is known that quantile based risk

measures such as value-at-risk are elicitable. However, the coherent risk measure expected shortfall is not elicitable. Hence, it is unclear how to perform

forecast verification or comparison. We address the question whether coherent and elicitable risk measures exist (other than minus the expected value).

We show that one positive answer are expectiles, and that they play a special role amongst all elicitable law-invariant coherent risk measures.

When high-dimensional problems are concerned, not much algorithms can break the curse of dimensionality, and solve them efficiently and reliably. Among those, tensor product algorithms, which implement the idea of separation of variables for multi-index arrays (tensors), seem to be the most general and also very promising. They originated in quantum physics and chemistry and descent broadly from the density matrix renormalization group (DMRG) and matrix product states (MPS) formalisms. The same tensor formats were recently re-discovered in the numerical linear algebra (NLA) community as the tensor train (TT) format.

Algorithms developed in the quantum physics community are based on the optimisation in tensor formats, that is performed subsequently for all components of a tensor format (i.e. all sites or modes).
The DMRG/MPS schemes are very efficient but very difficult to analyse, and at the moment only local convergence results for the simplest algorithm are available. In the NLA community, a common approach is to use a classical iterative scheme (e.g. GMRES) and enforce the compression to a tensor format at every step. The formal analysis is quite straightforward, but tensor ranks of the vectors which span the Krylov subspace grow rapidly with iterations, and the methods are struggling in practice.

The first attempt to merge classical iterative algorithms and DMRG/MPS methods was made by White (2005), where the second Krylov vector is used to expand the search space on the optimisation step.
The idea proved to be useful, but the implementation was based on the fair amount of physical intuition, and the algorithm is not completely justified.

We have recently proposed the AMEn algorithm for linear systems, that also injects the gradient direction in the optimisation step, but in a way that allows to prove the global convergence of the resulted scheme. The scheme can be easily applied for the computation of the ground state --- the differences to the algorithm of S. White are emphasized in Dolgov and Savostyanov (2013).
The AMEn scheme is already acknowledged in the NLA community --- for example it was recently applied for the computation of extreme eigenstates by Kressner, Steinlechner and Uschmajew (2013), using the block-TT format proposed by in Dolgov, Khoromskij, Oseledets and Savostyanov (2014).

At the moment, AMEn algorithm was applied
 - to simulate the NMR spectra of large molecules (such as ubiquitin),
 - to solve the Fokker-Planck equation for the non-Newtonian polymeric flows,
 - to the chemical master equation describing the mesoscopic model of gene regulative networks,
 - to solve the Heisenberg model problem for a periodic spin chain.
We aim to extend this framework and the analysis to other problems of NLA: eigenproblems, time-dependent problems, high-dimensional interpolation, and matrix functions;  as well as to a wider list of high-dimensional problems.

This is a joint work with Sergey Dolgov the from Max-Planck Institute for Mathematics in the Sciences, Leipzig, Germany.

Steiner symmetrization is a very useful tool in the study of isoperimetric inequality. This is also due to the fact that the perimeter of a set is less or equal than the perimeter of its Steiner symmetral. In the same way, in the Gaussian setting,

it is well known that Ehrhard symmetrization does not increase the Gaussian perimeter. We will show characterization results for equality cases in both Steiner and Ehrhard perimeter inequalities. We will also characterize rigidity of equality cases. By rigidity, we mean the situation when all equality cases are trivially obtained by a translation of the Steiner symmetral (or, in the Gaussian setting, by a reflection of the Ehrhard symmetral). We will achieve this through the introduction of a suitable measure-theoretic notion of connectedness, and through a fine analysis of the barycenter function

for a special class of sets. These results are obtained in collaboration with Maria Colombo, Guido De Philippis, and Francesco Maggi.

In an o-minimal expansion of the real field, while few holomorphic functions are globally definable, many may be locally definable. Wilkie conjectured that a few basic operations suffice to obtain all of them from the basic functions in the language, and proved the conjecture at generic points. However, it is false in general. Using Ax's theorem, I will explain one counterexample. However, this is not the end of the story.
This is joint work with Jones and Servi.

In some of their recent work Derbez and Wang studied volumes of representations of 3-manifold groups into the Lie groups $$Iso_e \widetilde{SL_2(\mathbb{R})} \mbox{ and }PSL(2,\mathbb{C}).$$ They computed the set of all volumes of representations for a fixed prime closed oriented 3-manifold with $$\widetilde{SL_2(\mathbb{R})}\mbox{-geometry}$$ and used this result to compute some volumes of Graph manifolds after passing to finite coverings.

In the talk I will give a brief introduction to the theory of volumes of representations and state some of Derbez' and Wang's results. Then I will prove an additivity formula for volumes of representations into $$Iso_e \widetilde{SL_2(\mathbb{R})}$$ which enables us to improve some of the results of Derbez and Wang.

The main result is to give a separable, Cech-complete, 0-dimensional Moore space that is not Scott-domain representable. This result answered questions in the literature; it is known that each complete mertrisable space is Scott-domain representable. The talk will give a history of the techniques involved.

We define the notion of orbit decidability in a general context, and descend to the case of groups to recognise it into several classical algorithmic problems. Then we shall go into the realm of free groups and shall analise this notion there, where it is related to the Whitehead problem (with many variations). After this, we shall enter the negative side finding interesting subgroups which are orbit undecidable. Finally, we shall prove a theorem connecting orbit decidability with the conjugacy problem for extensions of groups, and will derive several (positive and negative) applications to the conjugacy problem for groups.

The talk will focus on how the asymptotic behavior of the Riemann-Hilbert correspondence (and, conjecturally, the non-abelian Hodge correspondence) on a Riemann surface is controlled by certain harmonic maps from the Riemann surface to affine buildings. This is part of joint work with Katzarkov, Noll and Simpson, which revisits, from the perspective afforded by the theory of harmonic maps to buildings, the work of Gaiotto, Moore and Neitzke on spectral networks, WKB problems, BPS states and wall-crossing.

Nature and the world of human technology are full of
networks. People like to draw diagrams of networks: flow charts,
electrical circuit diagrams, signal flow diagrams, Bayesian networks,
Feynman diagrams and the like. Mathematically-minded people know that
in principle these diagrams fit into a common framework: category
theory. But we are still far from a unified theory of networks.

We discuss a new collocation-type method for numerically solving partial differential equations (PDEs) on the sphere.  The method uses radial basis function (RBF) approximations in a partition of unity framework for approximating spatial derivatives on the sphere.  High-orders of accuracy are achieved for smooth solutions, while the overall computational cost of the method scales linearly with the number of unknowns.  The discussion will be primarily limited to the transport equation and results will be presented for a few well-known test cases.  We conclude with a preliminary application to the non-linear shallow water wave equations on a rotating sphere.

We discuss some questions related to coloring the edge/vertices of randomgraphs. In particular we look at
(i) The game chromatic number;
(ii) Rainbow Matchings and Hamilton cycles;
(iii) Rainbow Connection;
(iv) Zebraic Colorings.

The classical Deligne conjecture (now a theorem with several published proofs) says that chains on the little disks operad act on Hochschild cohomology.  I'll describe a higher dimensional generalization of this result.  In fact, even in the dimension of the original Deligne conjecture the generalization has something new to say:  Hochschild chains and Hochschild cochains are the first two members of an infinite family of chain complexes associated to an arbitrary associative algebra, and there is a colored, higher genus operad which acts on these chain complexes.  The Connes differential and Gerstenhaber bracket are two of the simplest generators of the homology of this operad, and I'll show that there exist additional, independent generators.  These new generators are close cousins of Connes and Gerstenhaber which, so far as I can tell, have not been described in the literature.

A solid object placed at a liquid-gas interface causes the formation of a meniscus around it. In the case of a vertical circular cylinder, the final state of the static meniscus is well understood, from both experimental and theoretical viewpoints. Experimental investigations suggest the presence of two different power laws in the growth of the meniscus. In this talk I will introduce a theoretical model for the dynamics and show that the early-time growth of the meniscus is self-similar, in agreement with one of the experimental predictions. I will also discuss the use of a numerical solution to investigate the validity of the second power law.

In this talk, we will discuss low Weissenberg number

effects on mathematical properties of solutions for several PDEs

governing different viscoelastic fluids.

I present some recent work with Bruce Driver and Christian Litterer on rough paths 'constrained’ to lie in a d - dimensional submanifold of a Euclidean space E. We will present a natural definition for this class of rough paths and then describe the (second) order geometric calculus which arises out of this definition. The talk will conclude with more advanced applications, including a rough version of Cartan’s development map.

Trees are not just combinatorial structures: they are also

biological structures, both in the obvious way but also in the

study of evolution. Starting from DNA samples from living

species, biologists use increasingly sophisticated mathematical

techniques to reconstruct the most likely “phylogenetic tree”

describing how these species evolved from earlier ones. In their

work on this subject, they have encountered an interesting

example of an operad, which is obtained by applying a variant of

the Boardmann–Vogt “W construction” to the operad for

commutative monoids. The operations in this operad are labelled

trees of a certain sort, and it plays a universal role in the

study of stochastic processes that involve branching. It also

shows up in tropical algebra. This talk is based on work in

progress with Nina Otter [www.fair-fish.ch].

The splitting-up method is a powerful tool to solve (SP)DEs by dividing the equation into a set of simpler equations that are easier to handle. I will speak about how such splitting schemes can be derived and extended by insights from the theory of rough paths.

Finally, I will discuss numerics for real-world applications that appear in the management of risk and engineering applications like nonlinear filtering.

We explore the technique of elementary submodels to prove 
results in topology and set theory. We will in particular prove the 
delta system lemma, and Arhangelskii's result that a first countable 
Lindelof space has cardinality not exceeding continuum.

Nature and the world of human technology are full of
networks. People like to draw diagrams of networks: flow charts,
electrical circuit diagrams, signal flow diagrams, Bayesian networks,
Feynman diagrams and the like. Mathematically-minded people know that
in principle these diagrams fit into a common framework: category
theory. But we are still far from a unified theory of networks.

The aim of this lecture is to give a general introduction to

the interacting particle system and applications in finance, especially

in the pricing of American options. We survey the main techniques and

results on Snell envelope, and provide a general framework to analyse

these numerical methods. New algorithms are introduced and analysed

theoretically and numerically.

This talk will give an introduction to generalized complex geometry, where complex and symplectic structures are particular cases of the same structure, namely, a generalized complex structure. We will also talk about a sister theory, generalized complex geometry of type Bn, where generalized complex structures are defined for odd-dimensional manifolds as well as even-dimensional ones.

In this work, we want to construct the solution $(Y,Z,K)$ to the following BSDE

$$\begin{array}{l}

Y_t=\xi+\int_t^Tf(s,Y_s,Z_s)ds-\int_t^TZ_sdB_s+K_T-K_t, \quad 0\le t\le T, \\

{\mathbf E}[l(t, Y_t)]\ge 0, \quad 0\le t\le T,\\

\int_0^T{\mathbf E}[l(t, Y_t)]dK_t=0, \\

\end{array}

$$

where $x\mapsto l(t, x)$ is non-decreasing and the terminal condition $\xi$

is such that ${\mathbf E}[l(T,\xi)]\ge 0$.

This equation is different from the (classical) reflected BSDE. In particular, for a solution $(Y,Z,K)$,

we require that $K$ is deterministic. We will first study the case when $l$ is linear, and then general cases.

We also give some application to mathematical finance. This is a joint work with Philippe Briand and Romuald Elie.

In Parkinson’s disease, increased power of oscillations in firing rate has been observed throughout the cortico-basal-ganglia circuit. In

particular, the excessive oscillations in the beta range (13-30Hz) have been shown to be associated with difficulty of movement initiation. However, on the basis of experimental data alone it is difficult to determine where these oscillations are generated, due to complex and recurrent structure of the cortico-basal-ganglia-thalamic circuit. This talk will describe a mathematical model of a subset of basal-ganglia that is able to reproduce experimentally observed patterns of activity. The analysis of the model suggests where and under which conditions the beta oscillations are produced.

For Logic Seminar: Note change of time and location!

This talk will focus on extremizers for

a family of Fourier restriction inequalities on planar curves. It turns

out that, depending on whether or not a certain geometric condition

related to the curvature is satisfied, extremizing sequences of

nonnegative functions may or may not have a subsequence which converges

to an extremizer. We hope to describe the method of proof, which is of

concentration compactness flavor, in some detail. Tools include bilinear

estimates, a variational calculation, a modification of the usual

method of stationary phase and several explicit computations.

I will explain why one can symplectically embed closed symplectic manifolds (with integral symplectic form) into CPⁿ and compute the weak homotopy type of the space of all symplectic embeddings of such a symplectic manifold into CP^∞.

The classical small cancellation theory goes back to the 1950's and 1960's when the geometry of 2-complexes with a unique 0-cell was studied, i.e. the standard 2-complex of a finite presentation. D.T. Wise generalizes the Small Cancellation Theory to 2-complexes with arbitray 0-cells showing that certain classes of Small Cancellation Groups act properly discontinuously and cocompactly on CAT(0) Cube complexes and hence have codimesion 1-subgroups. To be more precise I will introduce "his" version of small Cancellation Theory and go roughly through the main ideas of his construction of the cube complex using Sageeve's famous construction. I'll try to make the ideas intuitively clear by using many pictures. The goal is to show that B(4)-T(4) and B(6)-C(7) groups act properly discontinuously and cocompactly on CAT(0) Cube complexes and if there is time to explain the difficulty of the B(6) case. The talk should be self contained. So don't worry if you have never had heard about "Small Cancellation".

In this talk, I will explain part of the programme of Gorenstein, Lyons

and Solomon (GLS) to provide a new proof of the CFSG. I will focus on

the difference between the initial notion of groups of characteristic

$2$-type (groups like Lie type groups of characteristic $2$) and the GLS

notion of groups of even type. I will then discuss work in progress

with Capdeboscq to study groups of even type and small $2$-local odd

rank. As a byproduct of the discussion, a picture of the structure of a

finite simple group of even type will emerge.

Compressed sensing and matrix completion are techniques by which simplicity in data can be exploited for more efficient data acquisition. For instance, if a matrix is known to be (approximately) low rank then it can be recovered from few of its entries. The design and analysis of computationally efficient algorithms for these problems has been extensively studies over the last 8 years. In this talk we present a new algorithm that balances low per iteration complexity with fast asymptotic convergence. This algorithm has been shown to have faster recovery time than any other known algorithm in the area, both for small scale problems and massively parallel GPU implementations. The new algorithm adapts the classical nonlinear conjugate gradient algorithm and shows the efficacy of a linear algebra perspective to compressed sensing and matrix completion.

Several objects can be associated to a list of vectors with integer coordinates: among others, a family of tori called toric arrangement, a convex polytope called zonotope, a function called vector partition function; these objects have been described in a recent book by De Concini and Procesi. The linear algebra of the list of vectors is axiomatized by the combinatorial notion of a matroid; but several properties of the objects above depend also on the arithmetics of the list. This can be encoded by the notion of a "matroid over Z". Similarly, applications to tropical geometry suggest the introduction of matroids over a discrete valuation ring.Motivated by the examples above, we introduce the more general notion of a "matroid over a commutative ring R". Such a matroid arises for example from a list of elements in a R-module. When R is a Dedekind domain, we can extend the usual properties and operations holding for matroids (e.g., duality). We can also compute the Tutte-Grothendieck ring of matroids over R; the class of a matroid in such a ring specializes to several invariants, such as the Tutte polynomial and the Tutte quasipolynomial. We will also outline other possible applications and open problems. (Joint work with Alex Fink).

In 1992 (or thereabouts) Bloch and Kriz gave the first explicit definition of the category of mixed Tate motives (MTM). Their definition relies heavily on the theory of algebraic cycles. Unfortunately, traditional methods of representing algebraic cycles (such as in terms of formal linear combinations of systems of polynomial equations) are notoriously difficult to work with, so progress in capitalizing on this description of the category to illuminate outstanding conjectures in the field has been slow. More recently, Gangl, Goncharov, and Levin suggested a simpler way to understand this category (and by extension, algebraic cycles more generally) by relating specific algebraic cycles to rooted, decorated, planar trees. In our talks, describing work in progress, we generalize this correspondence and attempt to systematize the connection between algebraic cycles and graphs. We will construct a Lie coalgebra L from a certain algebra of admissible graphs, discuss various properties that it satisfies (such as a well defined and simply described realization functor to the category of mixed Hodge structures), and relate the category of co-representations of L to the category MTM. One promising consequence of our investigations is the appearance of alternative bases of rational motives that have not previously appeared in the literature, suggesting a richer rational structure than had been previously suspected. In addition, our results give the first bounds on the complexity of computing admissibility of algebraic cycles, a previously unexplored topic.

When applied to an inequality constrained optimization problem, interior point methods generate iterates that belong to the interior of the set determined by the constraints, thus avoiding/ignoring the combinatorial aspect of the solution. This comes at the cost of difficulty in predicting the optimal active constraints that would enable termination.  We propose the use of controlled perturbations to address this challenge. Namely, in the context of linear programming with only nonnegativity constraints as the inequality constraints, we consider perturbing the nonnegativity constraints so as to enlarge the feasible set. Theoretically, we show that if the perturbations are chosen appropriately, the solution of the original problem lies on or close to the central path of the perturbed problem and that a primal-dual path-following algorithm applied to the perturbed problem is able to predict the optimal active-set of the original problem when the duality gap (for the perturbed problem) is not too small. Encouraging preliminary numerical experience is obtained when comparing the perturbed and unperturbed interior point algorithms' active-set predictions for the purpose of cross-over to simplex.

A non-parametric test for dependence between sets of random variables based on the entropy rate is proposed. The test has correct size, unit asymptotic power, and can be applied to test setwise cross sectional and serial dependence. Using Monte Carlo experiments, we show that the test has favourable small-sample properties when compared to other tests for dependence. The ‘trick’ of the test relies on using universal codes to estimate the entropy rate of the stochastic process generating the data, and simulating the null distribution of the estimator through subsampling. This approach avoids having to estimate joint densities and therefore allows for large classes of dependence relationships to be tested. Potential economic applications include model specification, variable and lag selection, data mining, goodness-of-fit testing and measuring predictability.