Past

We discuss some connections between various notions of rationality in the face of uncertainty and the theory of convex risk measures, both in a static and a dynamic setting.

The circulatory system is the most important and amongst the most complicated mechanisms in the human body. Consisting of the heart, the arteries and the veins, it is amply aided by a variety of mechanisms aiming to facilitate adequate perfusion of the body tissues at the appropriate pressure. On this talk I am focusing on the development of a computational model which relates patient specific factors (age, gender, whether someone is an athlete/smokes etc) and their effects on different vascular regions which ultimately determine the arterial pressure and the cardiac output.

This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T; x)-bonds, which pay one if the aggregated loss process in the underlying pool of the CDO has not exceeded x at maturity T, and zero else. Necessary and sufficient conditions on the stochastic term structure movements for the absence of arbitrage are given. Background market risk as well as feedback contagion effects of the loss process are taken into account. Moreover, we show that any ex- ogenous specification of the volatility and contagion parameters actually yields a unique consistent loss process and thus an arbitrage-free family of (T; x)-bond prices. For the sake of analytical and computational efficiency we then develop a tractable class of doubly stochastic affine term structure models.

Sperm cells have been an archetype for very low Reynolds number swimming since the pioneering work of Gray & Hancock in the 1950s. However, there are fundamental questions regarding the swimming and function of mammalian, and particularly human sperm, that are unanswered, and moreover scientific and technological developments mean that for the first time, answering these questions is now possible.

I will present results of our interdisciplinary work on two topics: (1) the relatively famous problem of 'surface accumulation' of sperm, and (2) characterising the changes to the flagellar beat that occur in high viscosity liquids such as cervical mucus. The approach we use combines both mathematical modelling and high speed imaging experiments.

I will then discuss areas we are currently developing: quantifying the energy transport requirements of sperm, and understanding chemotaxis - the remarkable ability of human sperm to 'smell' lily of the valley perfume, which may be important in fertilisation.

This talk is concerned with the probabilistic behaviour of a condition

number C(A) for the problem of deciding whether a system of n

homogeneous linear inequalities in m unknowns has a non-zero solution.

In the case where the input system is feasible, the exact probability

distribution of the condition number for random inputs is determined,

and a sharp bound for the general case. In particular, for the

expected value of the logarithm log C(A), an upper bound of order

O(log m) (m the number of variables) is presented which does not

depend on the number of inequalities.

The probability distribution of the condition number C(A) is closely

related to the probability of covering the m-sphere with n spherical

caps of a given radius. As a corollary, we obtain bounds on the

probability of covering the sphere with random caps.

Modelling the behaviour of light in photonic crystal fibres requires

solving 2nd-order elliptic eigenvalue problems with discontinuous

coefficients. The eigenfunctions of these problems have limited

regularity. Therefore, the planewave expansion method would appear to

be an unusual choice of method for such problems. In this talk I

examine the convergence properties of the planewave expansion method as

well as demonstrate that smoothing the coefficients in the problem (to

get more regularity) introduces another error and this cancels any

benefit that smoothing may have.

To any Coxeter group (W,S) together with an appropriate representation on V one may associate various categories of "singular Soergel bimodules", which are certain bimodules over invariant subrings of

regular functions on V. I will discuss their definition, basic properties and explain how they categorify the associated Hecke algebras and their parabolic modules. I will also outline a motivation coming from geometry and (if time permits) an application in knot theory.

Suppose $L'$ is a compact Lagrangian in ${\mathbb C}^n$ which is Hamiltonian stationary and {\it rigid}, that is, all infinitesimal Hamiltonian deformations of $L$ as a Hamiltonian stationary Lagrangian come from rigid motions of ${\mathbb C}^n$. An example of such $L'$ is the $n$-torus $ \bigl\{(z_1,\ldots,z_n)\in{\mathbb C}^n:\vert z_1\vert=a_1, \ldots,\vert z_n\vert=a_n\bigr\}$, for small $a_1,\ldots,a_n>0$.

I will explain a construction of Hamiltonian stationary Lagrangians in any compact symplectic manifold $(M,\omega)$, which works by `gluing in' $tL'$ near a point $p$ in $M$ for small $t>0$.

Random partial orders and random linear extensions

Several interesting models of random partial orders can be described via a

process that builds the partial order one step at a time, at each point

adding a new maximal element. This process therefore generates a linear

extension of the partial order in tandem with the partial order itself. A

natural condition to demand of such processes is that, if we condition on

the occurrence of some finite partial order after a given number of steps,

then each linear extension of that partial order is equally likely. This

condition is called "order-invariance".

The class of order-invariant processes includes processes generating a

random infinite partial order, as well as those that amount to taking a

random linear extension of a fixed infinite poset.

Our goal is to study order-invariant processes in general. In this talk, I

shall explain some of the problems that need to be resolved, and discuss

some of the combinatorial problems that arise.

(joint work with Malwina Luczak)

The relaxation of a free-energy functional which describes the

order-strain interaction in nematic liquid crystal elastomers is obtained

explicitly. We work in the regime of small strains (linearized

kinematics). Adopting the uniaxial order tensor theory or Frank

model to describe the liquid crystal order, we prove that the

minima of the relaxed functional exhibit an effective biaxial

microstructure, as in de Gennes tensor model. In particular, this

implies that the response of the material is soft even if the

order of the system is assumed to be fixed. The relaxed energy

density satisfies a solenoidal quasiconvexification formula.

Given K a separably closed field of finite ( > 1) degree of imperfection, and semiabelian variety A over K, we study the maximal divisible subgroup A^{sharp} of A(K). We show that the {\sharp} functor does not preserve exact sequences and also give an example where A^{\sharp} does not have relative Morley rank. (Joint work with F. Benoist and E. Bouscaren)

Abstract available at: http://people.maths.ox.ac.uk/~kirby/LInnocente.pdf

We consider an infinite plate being withdrawn from an infinite pool of viscous liquid. Assuming that the effects of inertia and surface tension are weak, Derjaguin (1943) conjectured that the 'load', i.e. the thickness of the liquid film clinging to the plate, is determined by a certain formula involving the liquid's density and viscosity, the plate's velocity and inclination angle, and the acceleration due to gravity.

In the present work, Deryagin's formula is derived from the Stokes equations in the limit of small slope of the plate (without this assumption, the formula is invalid). It is shown that the problem has infinitely many steady solutions, all of which are stable - but only one of these corresponds to Derjaguin’s formula. This particular steady solution can only be singled out by matching it to a self-similar solution describing the non-steady part of the film between the pool and the film’s 'tip'. Even though the near-pool region where the steady state has been established expands with time, the upper, non-steady part of the film (with its thickness decreasing towards the tip) expands faster and, thus, occupies a larger portion of the plate. As a result, the mean thickness of the film is 1.5 times smaller than the load.

The results obtained are extended to order-one inclinantion angles and the case where surface tension is present.

We study a class of Markovian optimal stochastic control problems in which the controlled process $Z^\nu$ is constrained to satisfy an a.s.~constraint $Z^\nu(T)\in G\subset \R^{d+1}$ $\Pas$ at some final time $T>0$.  When the set is of the form $G:=\{(x,y)\in \R^d\x \R~:~g(x,y)\ge 0\}$, with $g$ non-decreasing in $y$, we provide a Hamilton-Jacobi-Bellman  characterization of the associated value function. It gives rise to a state constraint problem where the constraint can be expressed in terms of an auxiliary value function $w$ which characterizes the set $D:=\{(t,Z^\nu(t))\in [0,T]\x\R^{d+1}~:~Z^\nu(T)\in G\;a.s.$ for some $ \nu\}$. Contrary to standard state constraint problems, the domain $D$ is not given a-priori and we do not need to impose conditions on its boundary. It is naturally incorporated in the auxiliary value function $w$ which is itself a viscosity solution of a non-linear parabolic PDE.  Applying ideas recently developed in Bouchard, Elie and Touzi (2008), our general result also allows to consider optimal control problems with moment constraints of the form $\Esp{g(Z^\nu(T))}\ge 0$ or $\Pro{g(Z^\nu(T))\ge 0}\ge p$.

The climate is largely determined by the ocean flow, which in itself is driven by wind and by gradients in temperature and salinity. Nowadays numerical models exist that are able to describe the occurring phenomena not only qualitatively but also quantitatively. At the Institute for Marine and Atmospheric research Utrecht (IMAU) a so-called thermohaline circulation model is developed in which methods of dynamical systems theory are used to study the stability of ocean flows. Here bifurcation diagrams are constructed by varying the strength of the forcing, for instance the amount of fresh water coming in from the north due to melting. For every value of the strength we have to solve a nonlinear system, which is handled by a Newton-type method. This produces many linear systems to be solved. 

In the talk the following will be addressed: the form of the system of equations, a special purpose method which uses Trilinos and MRILU. The latter is a multilevel ILU preconditioner developed at Groningen University. Results of the approach obtained on the Dutch national supercomputer will be shown.

We solve the problem of an agent with prospect theory preferences who seeks to liquidate a portfolio of (divisible) claims.

Our methodology enables us to consider different formulations of prospect preferences in the literature (piecewise exponential or piecewise power) and various price processes. We find that these differences in specification matter - for instance, with piecewise power functions, the agent may liquidate at a loss relative to break-even, albeit the likelihood of liquidating at a gain is much higher than liquidating at a loss. This is consistent with the disposition effect documented in empirical and experimental studies. We find the agent does not choose to partially liquidate a position, but rather, if liquidation occurs, the entire position is sold. This is in contrast to partial liquidation when agents have standard concave utilities.

I will discuss the investigatation of highly nonlinear solitary waves in heterogeneous one-dimensional granular crystals using numerical computations, asymptotics, and experiments. I will focus primarily on periodic arrangements of particles in experiments in which stiffer/heavier stainless stee are alternated with softer/lighter ones.

The governing model, which is reminiscent of the Fermi-Pasta-Ulam lattice, consists of a set of coupled ordinary differential equations that incorporate Hertzian interactions between adjacent particles. My collaborators and I find good agreement between experiments and numerics and gain additional insight by constructing an exact compaction solution to a nonlinear partial differential equation derived using long-wavelength asymptotics. This research encompasses previously-studied examples as special cases and provides key insights into the influence of heterogeneous, periodic lattice on the properties of the solitary waves.

I will briefly discuss more recent work on lattices consisting of randomized arrangements of particles, optical versus acoustic modes, and the incorporation of dissipation.

Last week, I proved five theorems about fusion systems, each with a (relatively) trivial proof. All of these theorems were known, but in each case the proof was (in some cases highly) non-trivial. I will introduce fusion systems and talk a bit about why they are interesting, and then prove some, or maybe all, of the theorems I proved.

In a joint project with Christopher Voll, I have investigated the representation zeta functions of compact p-adic Lie groups. In my talk I will explain some of our results, e.g. the existence of functional equations in a suitable global setting, and discuss open problems. In particular, I will indicate how piecing together information about local zeta functions allows us to determine the precise abscissa of convergence for the representation zeta function of the arithmetic group SL3(Z).