Past

Partial differential equations (PDEs) with random coefficients are used in computer simulations of physical processes in science, engineering and industry applications with uncertain data. The goal is to obtain quantitative statements on the effect of input data uncertainties for a comprehensive evaluation of simulation results. However, these equations are formulated in a physical domain coupled with a sample space generated by random parameters and are thus very computing-intensive.

We outline the key computational challenges by discussing a model elliptic PDE of single phase subsurface flow in random media. In this application the coefficients are often rough, highly variable and require a large number of random parameters which puts a limit on all existing discretisation methods. To overcome these limits we employ multilevel Monte Carlo (MLMC), a novel variance reduction technique which uses samples computed on a hierarchy of physical grids. In particular, we combine MLMC with mixed finite element discretisations to calculate travel times of particles in groundwater flows.

For coefficients which can be parameterised by a small number of random variables we employ spectral stochastic Galerkin (SG) methods which give rise to a coupled system of deterministic PDEs. Since the standard SG formulation of the model elliptic PDE requires expensive matrix-vector products we reformulate it as a convection-diffusion problem with random convective velocity. We construct and analyse block-diagonal preconditioners for the nonsymmetric Galerkin matrix for use with Krylov subspace methods such as GMRES.

We will discuss numerical solutions of Multi-objective Control problems governed by partial differential equations. More precisely, we will look for Nash Equilibria, which are solutions to non-cooperative differential games. First we will study the continuous case. Then, in order to compute solutions, we will combine finite difference schemes for the time discretization, finite element methods for the space discretization and a conjugate gradient algorithm (or other suitable alternative) for the iterative solution of the discrete differential game. Finally, we will apply this methodology to the solution of several test problems.

We investigate a mixed problem with Robin boundary conditions for a diffusion-reaction equation. We investigate the problem in the sublinear, linear and super linear cases, depending on the nonlinear part. We obtain relations between the parameters of the problem which are sufficient conditions for the existence of generalized solutions to the problem and, in a special case, for their uniqueness. The proof relies on a general existence theorem by Soltanov. Finally we investıgate the time-behaviour of solutions. We show that boundedness of solutions holds under some additional conditions as t is convergent to infinity. This study is joint work with Kamal Soltanov (Hacettepe University).

I'll sketch some context for future and past research around valued fields
and motivic integration, from a model theoretic viewpoint, leaving out technical details. 
The talk will be partly conjectural.

We give a brief overview of hyperbolic metric spaces and the relatively hyperbolic counterparts, with particular emphasis on the quasi-isometry class of trees. We then show that an understanding of the relative version of such spaces - quasi tree-graded spaces -  has strong consequences for mapping class groups. In particular, they are shown to embed into a finite product of (possibly infinite valence) simplicial trees. This uses and extends the work of Bestvina, Bromberg and Fujiwara.

I describe recent work with Pyber, Short and Szabo in which we study the `width' of a finite simple group. Given a group G and a subset A of G, the `width of G with respect to A' - w(G,A) - is the smallest number k such that G can be written as the product of k conjugates of A. If G is finite and simple, and A is a set of size at least 2, then w(G,A) is well-defined; what is more Liebeck, Nikolov and Shalev have conjectured that in this situation there exists an absolute constant c such that w(G,A)\leq c log|G|/log|A|. 
I will present a partial proof of this conjecture as well as describing some interesting, and unexpected, connections between this work and classical additive combinatorics. In particular the notion of a normal K-approximate group will be introduced.

Results that say local information is enough to guarantee global information provide the theoretical underpinnings of many reconstruction algorithms in evolutionary biology. Such results include Buneman's Splits-Equivalence Theorem and the Tree-Metric Theorem. The first result says that, for a collection $\mathcal C$ of binary characters, pairwise compatibility is enough to guarantee compatibility for $\mathcal C$, that is, there is a phylogenetic (evolutionary) tree that realises $\mathcal C$. The second result says that, for a distance matrix $D$, if every $4\times 4$ distance submatrix of $D$ is realisable by an edge-weighted phylogenetic tree, then $D$ itself is realisable by such a tree. In this talk, we investigate these and other results of this type. Furthermore, we explore the closely-related task of determining how much information is enough to reconstruct the correct phylogenetic tree.

I will explain recent results with Emanuele Macrì, in which we systematically study the birational geometry of moduli of sheaves on K3's via wall-crossing for

Bridgeland stability conditions. In particular, we obtain descriptions of their nef cones via the Mukai lattice of the K3, their moveable cones, their divisorial contractions, and obtain counter-examples to various conjectures in the literature. We also give a proof of the Lagrangian fibration conjecture (due to

Hassett-Tschinkel/Huybrechts/Sawon) via wall-crossing.

We review potential theoretic aspects of degenerate parabolic PDEs of p-Laplacian type.

Solutions form a similar basis for a nonlinear parabolic potential theory as the solutions of the heat

equation do in the classical theory. In the parabolic potential theory, the so-called superparabolic

functions are essential. For the ordinary heat equation we have supercaloric functions. They are defined

as lower semicontinuous functions obeying the comparison principle. The superparabolic

functions are of actual interest also because they are viscosity supersolutions of the equation. We discuss

their existence, structural, convergence and Sobolev space properties. We also consider the

definition and properties of the nonlinear parabolic capacity and show that the infinity set of a superparabolic

function is of zero capacity.

I will talk about the fixed-point properties of matrix groups acting CAT(0) paces, spheres and acyclic manifolds. The matrix groups include general linear groups, sympletic groups, orthogonal groups and classical unitary groups over general rings. We will show that for lower dimensional CAT(0) spaces, the group action of a matrix group always has a global fixed point and that for lower dimensional spheres and acyclic manifolds, a group action by homeomorphisms is always trivial. These results give generalizations of results of Farb concerning Chevalley groups over commutative rings and those of Bridson-Vogtmann, Parwani and Zimmermann concerning the special linear groups SL_{n}(Z) and symplectic groups Sp_{2n}(Z).

4D-Var is a widely used data assimilation method, particularly in the field of Numerical Weather Prediction. However, it is highly sequential: integrations of a numerical model are nested within the loops of an inner-outer minimisation algorithm. Moreover, the numerical model typically has a low spatial resolution, limiting the number of processors that can be employed in a purely spatial parallel decomposition. As computers become ever more parallel, it will be necessary to find new dimensions over which to parallelize 4D-Var. In this talk, I consider the possibility of parallelizing 4D-Var in the temporal dimension. I analyse different formulations of weak-constraint 4D-Var from the point of view of parallelization in time. Some formulations are shown to be inherently sequential, whereas another can be made parallel but is numerically ill-conditioned. Finally, I present a saddlepoint formulation of 4D-Var that is both parallel in time and amenable to efficient preconditioning. Numerical results, using a simple two-level quasi-geotrophic model, will be presented.

Links between:

• storm tracks, sediment movement and an icy environment

• fluvial flash flooding to coastal erosion in the UK

Did you know that the recent Japanese, Chilean and Samoan tsunami all led to strong currents from resonance at the opposite end of the ocean?

Journey around the world, from the north Atlantic to the south Pacific, on a quest to explore and explain the maths of nature.

We discuss the question of the existence of the smallest size of a family of Banach spaces of a given density which embeds all Banach spaces of that same density. We shall consider two kinds of embeddings, isometric and isomorphic. This type of question is well studied in the context of separable spaces, for example a classical result by Banach states that C([0,1]) embeds all separable Banach spaces. However, the nonseparable case involves a lot of set theory and the answer is independent of ZFC.

Given a variety X over a number field, one is interested in the collection X(F) of rational points on X. Weil defined a variety X' (the restriction of scalars of X) defined over the rational numbers whose set of rational points is naturally equal to X(F). In this talk, I will compare the number of rational points of bounded height on X with those on X'.

Some striking, and potentially useful, effects in electrokinetics occur for

bipolar membranes: applications are in medical diagnostics amongst other areas.

The purpose of this talk is to describe the experiments, the dominant features observed

and then model the phenomena: This uncovers the physics that control this process.

Time-periodic reverse voltage bias

across a bipolar membrane is shown to exhibit transient hysteresis.

This is due to the incomplete depletion of mobile ions, at the junction

between the membranes, within two adjoining polarized layers; the layer thickness depends on

the applied voltage and the surface charge densities. Experiments

show that the hysteresis consists of an Ohmic linear rise in the

total current with respect to the voltage, followed by a

decay of the current. A limiting current is established for a long

period when all the mobile ions are depleted from the polarized layer.

If the resulting high field within the two polarized layers is

sufficiently large, water dissociation occurs to produce proton and

hydroxyl travelling wave fronts which contribute to another large jump

in the current. We use numerical simulation and asymptotic analysis

to interpret the experimental results and

to estimate the amplitude of the transient hysteresis and the

water-dissociation current.

We will go through the GIT construction of the moduli space of quiver representations. Concentrating on examples (probably the cases of Hilbert schemes of points of $\mathbb{C}^{2}$ and $\mathbb{C}^{3}$) we will try to give an idea of why this methods became relevant in modern (algebraic) geometry.

No prerequisites required, experts would probably get bored.

By classical results of Thomason, the Grothendieck group of a

triangulated category classifies the triangulated subcategories. More

precisely, there is a bijective correspondence between the set of

triangulated subcategories and the set of subgroups of the Grothendieck

group. In this talk, we extend Thomason's results to "higher"

triangulated categories, namely the recently introduced n-angulated

categories. This is joint work with Marius Thaule.

We will discuss the numerical simulation of acoustic wave propagation with localized inhomogeneities. To do this we will apply a standard finite element method (FEM) in space and explicit time-stepping in time on a finite spatial domain containing the inhomogeneities. The equations in the exterior computational domain will be dealt with a time-domain boundary integral formulation discretized by the Galerkin boundary element method (BEM) in space and convolution quadrature in time.

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We will give the analysis of the proposed method, starting with the proof of a positivity preservation property of convolution quadrature as a consequence of a variant of the Herglotz theorem. Combining this result with standard energy analysis of leap-frog discretization of the interior equations will give us both stability and convergence of the method. Numerical results will also be given.

Speaker: Tigran Atoyan\\

Title: A revised approach to hedging and pricing\\

Abstract:\\

After a brief review of the classical option pricing framework, we present a motivating example on the evaluation of hedging P&L using a simplistic strategy which does very well in practice. We then present preliminary results about a relatively unknown approach called business time hedging. Some applications of the latter approach to pricing certain derivative products as well as future research directions in this topic are discussed.\\

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Speaker: Sean Ledger\\

Title: Stochastic Evolution Equations in Portfolio Credit Modelling\\

Abstract:\\

I shall present an infinite-dimension structural model for a large portfolio of credit risky assets. As the number of assets approaches infinity we obtain a limiting system with a density process. I shall outline the properties of this density process and how one can use the SPDE satisfied by this process to estimate the loss function of the portfolio. Extensions to the model shall be onsidered, including contagion effects and Lévy noise. Finally I shall present some of the numerical testing for these models.\\

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Speaker: Peter Spoida\\

Title: Robust Pricing and Hedging of the Barrier Option with a Finite Number of Intermediate Law Constraints\\

Abstract:\\

We propose a robust superhedging strategy for simple barrier options, consisting of a portfolio of calls with different maturities and a self-financing trading strategy. The superhedging strategy is derived from a pathwise inequality. We illustrate how a stochastic control ansatz can provide a good guess for finding such strategies. By constructing a worst-case model, we demonstrate that this superhedge is the cheapest possible. Our construction generalizes the Skorokhod embedding obtained by Brown, Hobson and Rogers (2001). The talk is based on joint work with Pierre Henry-Labordere, Jan Obloj and Nizar Touzi.

We establish the exact boundary controllability of nodal profile for general first order quasi linear hyperbolic systems in 1-D. And we apply the result in a tree-like network with general nonlinear boundary conditions and interface conditions. The basic principles of choosing the controls and getting the controllability are given.

Wave-particle duality is a quantum behaviour usually assumed to have no possible counterpart in classical physics. We revisited this question when we found that a droplet bouncing on a vibrated bath could become self-propelled by its coupling to the surface waves it excites. A dynamical wave-particle association is thus formed.Through several experiments we addressed the same general question. How can a localized and discrete droplet have a common dynamics with a continuous and spatially extended wave? Surprisingly several quantum-like behaviors emerge; a form of uncertainty and a form of quantization are observed. I will show that both properties are related to the "path memory" contained in the wave field. The relation of this experiment with the pilot-wave models proposed by de Broglie and by Bohm for quantum mechanics will be discussed.

I will explain a construction of a group acting on a rooted tree, related to the Grigorchuk group. Those groups have exponential growth, at least under certain circumstances. I will also show how it can be seen that any two elements fulfil a non-trivial relation, implying the absence of non-cyclic free subgroups.

I will give a brief report on some the topics discussed at the workshop "Golod-Shafarevich groups and rank gradient" that took place this August in Vienna. I will focus on results involving rank gradient.

There is a well-acknowledged analogy between mapping class
groups and lattices in higher rank groups. I will discuss to which
extent does Margulis's superrigidity hold for mapping class groups:
examples, very partial results and questions.

Counting nodal curves in linear systems $|L|$ on smooth projective surfaces $S$ is a problem with a long history. The G\"ottsche conjecture, now proved by several people, states that these counts are universal and only depend on $c_1(L)^2$, $c_1(L)\cdot c_1(S)$, $c_1(S)^2$ and $c_2(S)$. We present a quite general definition of reduced Gromov-Witten and stable pair invariants on S. The reduced stable pair theory is entirely computable. Moreover, we prove that certain reduced Gromov-Witten and stable pair invariants with many point insertions coincide and are both equal to the nodal curve counts appearing in the Göttsche conjecture. This can be seen as version of the MNOP conjecture for the canonical bundle $K_S$. This is joint work with R. P. Thomas.

We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. By contrast to the previous literature, we allow the liquidity parameters of market depth and resilience to vary deterministically over the course of the trading period. The resulting singular optimal control problem is shown to be tractable by methods from convex analysis and, under

minimal assumptions, we construct an explicit solution to the scheduling problem in terms of some concave envelope of the resilience adjusted market depth.

When ice is raised to a temperature above its usual melting temperature
of 273 K, small cylindrical discs of water form within the bulk of the
ice. Subsequent internal melting of the ice causes these liquid discs to
grow radially outwards. However, many experimentalists have observed
that the circular interface of these discs is unstable and eventually
the liquid discs turn into beautiful shapes that resemble flowers or
snowflakes. As a result of their shape, these liquid figures are often
called liquid snowflakes. In this talk I'll discuss a simple
mathematical model of liquid snowflake formation and I'll show how a
combination of analytical and numerical methods can yield much insight
into the dynamics which govern their growth.

Given a form $F(x)$, the circle method is frequently used to provide an asymptotic for the number of representations of a fixed integer $N$ by $F(x)$. However, it can also be used to prove results of a different flavor, such as showing that almost every number (in a certain sense) has at least one representation by $F(x)$. In joint work with Roger Heath-Brown, we have recently considered a 2-dimensional version of such a problem. Given two quadratic forms $Q_1$ and $Q_2$, we ask whether almost every integer (in a certain sense) is simultaneously represented by $Q_1$ and $Q_2$. Under a modest geometric assumption, we are able to prove such a result if the forms are in $5$ variables or more. In particular, we show that any two such quadratic forms must simultaneously attain prime values infinitely often. In this seminar, we will review the circle method, introduce the idea of a Kloosterman refinement, and investigate how such "almost all" results may be proved.

Abstract: By using the Skorohod equation we derive an
iteration procedure which allows us to solve a class of reflected backward
stochastic differential equations with non-linear resistance induced by the
reflected local time. In particular, we present a new method to study the
reflected BSDE proposed first by El Karoui et al. (1997).

Abstract: In the talk we first introduce the level set equation for the evolution by mean curvature flow, explaining the main difference between the standard Euclidean case and the horizontal evolution.

Then we will introduce a stochastic representation formula for the viscosity solution of the level set equation related to the value function of suitable associated stochastic controlled ODEs which are motivated by a concept of intrinsic Brownian motion in Carnot-Caratheodory spaces.