Past

We give an exposition of some results from matroid theory which characterise the finite pregeometries arising from Hrushovski's predimension construction as the strict gammoids: a class of matroids studied in the early 1970's which arise from directed graphs. As a corollary, we observe that a finite pregeometry which satisfies Hrushovski's flatness condition arises from a predimension. We also discuss the isomorphism types of the pregeometries of countable, saturated strongly minimal structures in Hrushovski's 1993 paper and answer some open questions from there. This last part is joint work with Marco Ferreira, and extends results in his UEA PhD thesis.

In these two talks we will look at a recent paper by David Anderson and Des Higham: http://arxiv.org/pdf/1107.2181 This paper takes the Multilevel Monte Carlo method which I developed in 2006 for Brownian SDEs, and comes up with an elegant way of applying it to stochastic biochemical reaction networks.

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• Review of the basic notions concerning bifurcation and asymptotic linearity.

• Review of differentiability in the sense of Gˆateaux, Fréchet, Hadamard.

• Examples which are Hadamard but not Fréchet differentiable.  The Dirichlet problem for a degenerate elliptic equation on a bounded domain. The stationary nonlinear Schrödinger equation on RN

Variational data assimilation techniques for optimal state estimation in very large environmental systems currently use approximate Gauss-Newton (GN) methods. The GN method solves a sequence of linear least squares problems subject to linearized system constraints. For very large systems, low resolution linear approximations to the model dynamics are used to improve the efficiency of the algorithm. We propose a new approach for deriving low order system approximations based on model reduction techniques from control theory which can be applied to unstable stochastic systems. We show how this technique can be combined with the GN method to retain the response of the dynamical system more accurately and improve the performance of the approximate GN method.

We consider a portfolio optimisation problem on infinite horizon when

the investment policy satisfies the drawdown constraint, which is the

wealth process of an investor is always above a threshold given as a

function of the past maximum of the wealth process. The preferences are

given by a utility function and investor aims to maximise an asymptotic

growth rate of her expected utility of wealth. This problem was firstly

considered by Grossman and Zhou [3] and solved for a Black-Scholes

market and linear drawdown constraint.

The main contribution of the paper is an equivalence result: the

constrained problem with utility U and drawdown function w has the same

value function as the unconstrained problem with utility UoF, where

function F is given explicitly in terms of w. This work was inspired by

ideas from [2], whose results are a special case of our work. We show

that the connection between constrained and unconstrained problems holds

for a much more general setup than their paper, i.e. a general

semimartingale market, larger class of utility functions and drawdown

function which is not necessarily linear. The paper greatly simplifies

previous approaches using the tools of Azema-Yor processes developed in

[1]. In fact we show that the optimal wealth process for constrained

problem can be found as an explicit Azema-Yor transformation of the

optimal wealth process for the unconstrained problem.

We further provide examples with explicit solution for complete and

incomplete markets.

[1] Carraro, L., Karoui, N. E., and Obloj, J. On Azema-Yor processes,

their optimal properties and the Bachelier-Drawdown equation, to appear in

Annals of Probability, 2011.

[2] Cvitanic, J., and Karatzas, I. On portfolio optimization under

drawdown constraints. IMA Volumes in Mathematics and Its Applications

65(3), 1994, 35-45

[3] Grossman, S. J., and Zhou, Z. Optimal investment strategies for

controlling drawdowns. Mathematical Finance 3(3), 1993, 241-276

An overview is given of some key issues and definitions in the Calculus of Variations, with a focus on lower semicontinuity and quasiconvexity. Some well known results and instructive counterexamples are also discussed. We then move to consider variational problems in the BV setting, and present a new lower semicontinuity result for quasiconvex integrals of subquadratic growth. The proof of this requires some interesting techniques, such as obtaining boundedness properties for an extension operator, and exploiting fine properties of Sobolev maps.

This is the first in a series of $\geq 2$ talks about Stable Homotopy Theory. We will motivate the definition of spectra by the Brown Representability Theorem, which allows us to interpret a spectrum as a generalized cohomology theory. Along the way we recall basic notions from homotopy theory, such as suspension, loop spaces and smash products.

The self-consistent analytic theory of the wind-driven sea can be developed due to the presence of small parameter, ratio of atmospheric and water densities. Because of low value of this parameter the sea is "weakly nonlinear" and the average steepness of sea surface is also relatively small. Nevertheless, the weakly nonlinear four-wave resonant interaction is the dominating process in the energy balance. The wind-driven sea can be described statistically in terms of the Hasselmann kinetic equation.

This equation has a rich family of Kolmogorov-type solutions perfectly describing "rear faces" of wave spectra right behind the spectral peak.

More short waves are described by steeper Phillips spectrum formed by ensemble of microbreakings. From the practical view-point the most important question is the spatial and temporal evolution of spectral peaks governed by self-similar solutions of the Hasselmann equation. This analytic theory is supported by numerous experimental data and computer

simulations.   

A dimer model on a surface with punctures is an embedded quiver such that its vertices correspond to the punctures and the arrows circle round the faces they cut out. To any dimer model Q we can associate two categories: A wrapped Fukaya category F(Q), and a category of matrix factorizations M(Q). In both categories the objects are arrows, which are interpreted as Lagrangian subvarieties in F(Q) and will give us certain matrix factorizations of a potential on the Jacobi algebra of the dimer in M(Q).

We show that there is a duality D on the set of all dimers such that for consistent dimers the category of matrix factorizations M(Q) is isomorphic to the Fukaya category of its dual,  F((DQ)). We also discuss the connection with classical mirror symmetry.

We say that a hypergraph is \emph{stable} if each sufficiently large subset of its vertices either spans many hyperedges or is very structured. Hypergraphs that arise naturally in many classical settings posses the above property. For example, the famous stability theorem of Erdos and Simonovits and the triangle removal lemma of Ruzsa and Szemeredi imply that the hypergraph on the vertex set $E(K_n)$ whose hyperedges are the edge sets of all triangles in $K_n$ is stable. In the talk, we will present the following general theorem: If $(H_n)_n$ is a sequence of stable hypergraphs satisfying certain technical conditions, then a typical (i.e., uniform random) $m$-element independent set of $H_n$ is very structured, provided that $m$ is sufficiently large. The above abstract theorem has many interesting corollaries, some of which we will discuss. Among other things, it implies sharp bounds on the number of sum-free sets in a large class of finite Abelian groups and gives an alternate proof of Szemeredi’s theorem on arithmetic progressions in random subsets of integers.

Joint work with Noga Alon, Jozsef Balogh, and Robert Morris.

The Market Selection Hypothesis is a principle which (informally) proposes that `less knowledgeable' agents are eventually eliminated from the market. This elimination may take the form of starvation (the proportion of output consumed drops to zero), or may take the form of going broke (the proportion of asset held drops to zero), and these are not the same thing. Starvation may result from several causes, diverse beliefs being only one.We firstly identify and exclude these other possible causes, and then

prove that starvation is equivalent to inferior belief, under suitable technical conditions. On the other hand, going broke cannot be characterized solely in terms of beliefs, as we show. We next present a remarkable example with two agents with different beliefs, in which one agent starves yet amasses all the capital, and the other goes broke yet consumes all the output -- the hungry miser and the happy bankrupt.

This example also serves to show that although an agent may starve, he may have long-term impact on the prices. This relates to the notion of price impact introduced by Kogan et al (2009), which we correct in the final section, and then use to characterize situations where asymptotically equivalent

pricing holds.

Attractive features of Lifshitz type theories are described with different

examples,

as the improvement of graphs convergence, the introduction of new

renormalizable

interactions, dynamical mass generation, asymptotic freedom, and other

features

related to more specific models. On the other hand, problems with the

expected

emergence of Lorentz symmetry in the IR are discussed, related to the

different

effective light cones seen by different particles when they interact.

We describe several bifurcation properties corresponding to various classes of nonlinear elliptic equations The purpose of this talk is two-fold. First, it points out different competition effects between the terms involved in the equations. Second, it provides several non standard phenomena that occur according to the structure of the differential operator.

A longstanding question in geometric group theory is the following. Suppose G is a hyperbolic group where all finitely generated subgroups of infinite index are free. Is G the fundamental group of a surface? This question is still open for some otherwise well understood classes of groups. In this talk, I will explain why the answer is affirmative for graphs of free groups with cyclic edge groups. I will also discuss the extent to which these techniques help with the harder problem of finding surface subgroups.

We treat the first n terms of general orthogonal series evolving with n as the partial sum process, and proved that under Menshov-Rademacher condition, the partial sum process can be enhanced into a geometric 2-rough process. For Fourier series, the condition can be improved, with an equivalent condition on limit function identified.

Translation actions appear all over geometry, so it is not surprising that there are many cases of moduli problems which involve non-reductive group actions, where Mumford’s geometric invariant theory does not apply. One example is that of jets of holomorphic map germs from the complex line to a projective variety, which is a central object in global singularity theory. I will explain how to construct this moduli space using the test curve model of Morin singularities and how this can be generalized to study the quotient of projective varieties by a wide class of non-reductive groups. In particular, this gives information about the invariant ring. This is joint work with Frances Kirwan.

We consider the forest fire process on Z: on each site, seeds and matches fall at random, according to some independent Poisson processes. When a seed falls on a vacant site, a tree immediately grows. When a match falls on an occupied site, a fire destroys immediately the corresponding occupied connected component. We are interested in the asymptotics of rare fires. We prove that, under space/time re-scaling, the process converges (as matches become rarer and rarer) to a limit forest fire process.
Next, we consider the more general case where seeds and matches fall according to some independent stationary renewal processes (not necessarily Poisson). According to the tail distribution of the law of the delay between two seeds (on a given site), there are 4 possible scaling limits.
We finally introduce some related coagulation-fragmentation equations, of which the stationary distribution can be more or less explicitely computed and of which we study the scaling limit.

I will study the sequestering of blow-up fields through a CFT in a toroidal orbifold setting. In particular, I will examine the disk correlator between orbifold blow-up moduli and matter Yukawa couplings. Blow-up moduli appear as twist fields on the worldsheet which introduce a monodromy

condition for the coordinate field X. Thus I will focus on how the presence of twist field affects

the CFT calculation of disk correlators. Further, I will explain how the results are relevant to

suppressing soft terms to scales parametrically below the gravitino mass. Last, I want to explore the

relevance of our calculation for the case of smooth Calabi-Yaus.

In the SABR model of Hagan et al. [2002] a perturbative expansion approach yields a tractable approximation to the implied volatility smile. This approximation formula has been adopted across the financial markets as a means of interpolating market volatility surfaces. All too frequently - in stressed markets, in the long-dated FX regime - the limitations of this approximation are pronounced. In this talk a highly efficient conditional integration approach, motivated by the work of Stein and Stein [1991] and Willard [1997], will be presented that when applied to the SABR model not only produces a volatility smile consistent with the underlying SABR process but gives access to the joint distribution of the asset and its volatility. The latter is particularly important in understanding the dynamics of the volatility smile as it evolves through time and the subsequent effect on the pricing of exotic options.

William McGhee is Head of Hybrid Quantitative Analytics at The Royal Bank of Scotland and will also discuss within the context of this presentation the interplay of mathematical modelling and the technology infrastructure required to run a complex hybrids trading business and the benefits of highly efficient numerical algorithms."

• Derek Moulton - "Growth and morphology of seashells"

• Simon Cotter - "A Hybrid stochastic finite element method for solving Fokker-Planck equations"

• Apala Majumdar -"The theory of liquid crystals - analysis, computation and applications"

The following two topics are likely to be discussed.

A) Modelling the collective behaviour of chicken flocks. Marian Dawkins has a joint project with Steve Roberts in Engineering studying the patterns of optical flow in large flocks of commercial broiler chickens. They have found that various measurements of flow (such as skew and kurtosis) are predictive of future mortality. Marian would be interested in seeing whether we can model these effects.
B) Asymmetrical prisoners’ dilemma games. Despite massive theoretical interest, there are very few (if any) actual examples of animals showing the predicted behaviour of reciprocity with delayed reward. Marian Dawkins suspects that the reason for this is that the assumptions made are unrealistic and she would like to explore some ideas about this.

Please note the slightly early start to accommodate the OCCAM group meeting that follows.

In these two talks we will look at a recent paper by David Anderson and Des Higham: http://arxiv.org/pdf/1107.2181 This paper takes the Multilevel Monte Carlo method which I developed in 2006 for Brownian SDEs, and comes up with an elegant way of applying it to stochastic biochemical reaction networks.

In this meeting

This is a joint work with Emmanuel Ullmo.

This work is motivated by J.Pila's strategy to prove the Andre-Oort conjecture. One ingredient in the strategy is the following

conjecture:

Let S be a Shimura variety uniformised by a symmetric space X.

Let V be an algebraic subvariety of S. Maximal algebraic subvarieties of the preimage of V in X are precisely the

components of the preimages of weakly special subvarieties contained in V.

We will explain the proof of this conjecture in the case where S is compact.

Computational Fluid Dynamics (CFD) has become an

indispensable tool in designing turbomachinery components in all sectors of

Rolls-Royce business units namely, Aerospace, Industrial, Marine and Nuclear.

Increasingly sophisticated search and optimisation techniques are used based on

both traditional optimisation methods as well as, design of computer experiment

techniques, advanced surrogate methods, and evolutionary optimisation

techniques. Geometry and data representation as well as access, queuing and

loading control of large high performance computing clusters are areas of

research to establish the most efficient techniques for improving the

performance of an already highly efficient modern jet engine.

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This presentation focuses on a high fidelity design

optimisation framework called SOPHY that is used in Rolls-Royce to provide

parametric geometry, automatic meshing, advanced design-space search

algorithms, accurate and robust CFD methodology and post-processing. The

significance of including the so-called real geometry features and interaction

of turbomachinery components in the optimisation cycle are discussed. Examples are drawn from real world

applications of the SOPHY design systems in an engine project.

In this work, we study equilibrium solutions for a LQ

control problem with state-dependent terms in the objective, which

destroy the time-consisitence of a pre-commited optimal solution.

We get a sufficient condition for equilibrium by a system of

stochastic differential equations. When the coefficients in the

problem are all deterministic, we find an explicit equilibrium

for general LQ control problem. For the mean-variance portfolio

selection in a complete financial market, we also get an explicit

equilibrium with random coefficient of the financial.

Chern-Simons theory is topological gauge theory in three dimensions that contains an interesting class of operators called Wilson lines/loops, which have connections with both physics and pure mathematics. In particular, it has been shown that computations with Wilson operators in Chern-Simons theory reproduce knot invariants, and are also related to Gauss linking invariants. We will discuss the complex generalizations of these ideas, which are known as holomorphic Chern-Simons theory, Wilson operators, and linking, in the setting of Calabi-Yau three-folds. This will (hopefully) include a definition of all three of these holomorphic analogues as well as an investigation into how these ideas can be translated into simple homological algebra, allowing us to propose the existence of "homological Feynman rules" for computing things like Wilson operators in a holomorphic Chern-Simons theory. If time permits I may say something about physics too.

We explore methods (deterministic and otherwise) of composing music using mathematical models. Musical examples will be provided throughout and the audience (with the speakers assistance) will compose a brand new piece.

Diffusive process with discontinuous coefficients provide significant computational challenges. We consider the solution of a diffusive process in a domain where the diffusion coefficient changes discontinuously across a curved interface. Rather than seeking to construct discretizations that match the interface, we consider the use of regularly-shaped meshes so that the interface "cuts'' through the cells (elements or volumes). Consequently, the discontinuity in the diffusion coefficients has a strong impact on the accuracy and convergence of the numerical method. We develop an adjoint based a posteriori error analysis technique to estimate the error in a given quantity of interest (functional of the solution). In order to employ this method, we first construct a systematic approach to discretizing a cut-cell problem that handles complex geometry in the interface in a natural fashion yet reduces to the well-known Ghost Fluid Method in simple cases. We test the accuracy of the estimates in a series of examples.

A polar space $\Pi$ is a geometry whose elements are the totally isotropic subspaces of a vector space $V$ with respect to either an alternating, Hermitian, or quadratic form. We may form a new geometry $\Gamma$ by removing all elements contained in either a hyperplane $F$ of $\Pi$, or a hyperplane $H$ of the dual $\Pi^*$. This is a \emph{biaffine polar space}.

We will discuss two specific examples, one with automorphism group $q^6:SU_3(q)$ and the other $G_2(q)$. By considering the stabilisers of a maximal flag, we get an amalgam, or "glueing", of groups for each example. However, the two examples have "similar" amalgams - this leads to a group recognition result for their automorphism groups.

Generalized Donaldson-Thomas invariants $\bar{DT}^\alpha(\tau)$ defined by Joyce and Song are rational numbers which 'count' both $\tau$-stable and $\tau$-semistable coherent sheaves with Chern character $\alpha$ on a Calabi-Yau 3-fold X, where $\tau$ denotes Gieseker stability for some ample line bundle on X. The theory of Joyce and Song is valid only over the field $\mathbb C$. We will extend it to algebraically closed fields $\mathbb K$ of characteristic zero.

We will describe the local structure of the moduli stack $\mathfrak M$ of coherent sheaves on X, showing that an atlas for $\mathfrak M$ may be written locally as the zero locus of an almost closed 1-form on an \'etale open subset of the tangent space of $\mathfrak M$ at a point, and use this to deduce identities on the Behrend

function $\nu_{\mathfrak M}$ of $\mathfrak M$. This also yields an extension of generalized Donaldson-Thomas theory to noncompact Calabi-Yau 3-folds.

Finally, we will investigate how our argument might yield generalizations of the theory to a even wider context, for example the derived framework using Toen's theory and to motivic Donaldson-Thomas theory in the style of Kontsevich and Soibelman.