Past

In this talk, we present several numerical issues, that we currently pursue,

related to accurate approximation of option prices. Next to the numerical

solution of the Black-Scholes equation by means of accurate finite differences

and an analytic coordinate transformation, we present results for options under

the Variance Gamma Process with a grid transformation. The techniques are

evaluated for European and American options.

The famous Eckart-Young Theorem states that the (normwise) condition number of a matrix is equal to the reciprocal of its distance to the nearest singular matrix. In a recent paper we proved an extension of this to a number of structures common in matrix analysis, i.e. the structured condition number is equal to the reciprocal of the structured distance to the nearest singular matrix. In this talk we present a number of related results on structured eigenvalue perturbations and structured pseudospectra, for normwise and for componentwise perturbations.

We show that the solutions of stochastic differential equations converge in

the rough path metric as the coefficients of these equations converge in a

suitable lipschitz norm. We then use this fact to obtain results about

differential equations driven by the Brownian rough path.

It is now known that the overall behaviour of a simple random walk (SRW) on

supercritical (p>p_c) percolation cluster in Z^d is similiar to that of the SRW

in Z^d. The critical case (p=p_c) is much harder, and one needs to define the

'incipient infinite cluster' (IIC). Alexander and Orbach conjectured in 1982

that the return probability for the SRW on the IIC after n steps decays like

n^{2/3} in any dimension. The easiest case is that of trees; this was studied by

Kesten in 1986, but we can now revisit this problem with new techniques.

We use the partial differential inclusion method to establish existence of

infinitely many weak solutions to the one-dimensional version of the

Perona-Malek anisotropic diffusion model in the theory of image processing. We

consider the homogeneous Neumann problem as the model requires.

.

The Yang-Mills energy is a non-negative functional on the space of connections on a principal bundle over a Riemannian manifold. At a heuristical level, this energy determines a Gibbs measure which is called the Yang-Mills measure. When the manifold is a surface, a stochastic process can be constructed - at least in two different ways - which is a sensible candidate for the random holonomy of a connection distributed according to the Yang-Mills measure. This process is constructed by using some specifications given by physicists of its distribution, namely some of its finite-dimensional marginals, which of course physicists have derived from the Yang-Mills energy, but by non-rigorous arguments. Without assuming any familiarity with this stochastic process, I will present a large deviations result which is the first rigorous link between the Yang-Mills energy and the Yang-Mills measure.

Current methods for globalizing Newton's Method for solving systems of nonlinear equations fall back on steps biased towards the steepest descent direction (e.g. Levenberg/Marquardt, Trust regions, Cauchy point dog-legs etc.), when there is difficulty in making progress. This can occasionally lead to very slow convergence when short steps are repeatedly taken.

This talk looks at alternative strategies based on searching curved arcs related to Davidenko trajectories. Near to manifolds on which the Jacobian matrix is singular, certain conjugate steps are also interleaved, based on identifying a Pareto optimal solution.

Preliminary limited numerical experiments indicate that this approach is very effective, with rapid and ultimately second order convergence in almost all cases. It is hoped to present more detailed numerical evidence when the talk is given. The new ideas can also be incorporated with more recent ideas such as multifilters or nonmonotonic line searches without difficulty, although it may be that there is no longer much to gain by doing this.

An important class of nonlinear parabolic equations is the class of quasi-linear equations, i.e., equations with a leading second-order (in space) linear part (e.g., the Laplacian) and a nonlinear part which depends on the first-order spatial derivatives of the unknown function. This class contains the Navier-Stokes system of fluid dynamics, as well as "viscous" versions (or "regularized") of the Hamilton-Jacobi equation, nonlinear hyperbolic conservation laws and more. The talk will present various recent results concerning existence/uniqueness (and nonexistence/nonuniqueness) of global solutions. In addition, a new class of "Bernstein-type" estimates of derivatives will be presented. These estimates are independent of the viscosity parameter and thus lead to results concerning the "zero-viscosity" limit.

The estimation of heat kernels has been of much interest in various settings. Often, the spaces considered have some kind of uniformity in the volume growth. Recent results have shown that this is not the case for certain random fractal sets. I will present heat kernel bounds for spaces admitting a suitable resistance form, when the volume growth is not uniform, which are motivated by these examples.

We study diploid branching particle models and its behaviour when rapid

stirring, i.e. rapid exchange of particles between neighbouring spatial

sites, is added to the interaction. The particle models differ from the

``usual'' models in that they all involve two types of particles, male

and female, and branching can only occur when both types of particles

are present. We establish the existence of nontrivial stationary

distributions for various models when birth rates are sufficiently large.

Most people acquire their

Abstract 1 Another Orthogonal Matrix

A householder reflection and a suitable product of Givens rotations are two well known examples of an orthogonal matrix with given first column. We present another way to produce such a matrix and apply it to produce a "fast Givens" method to compute the R factor of A, A = QR. This approach avoids the danger of under/overflow.
(joint work with Eric Barszcz)

Abstract 2 An application of Pfaff's Theorem (on skew-symmetric matrices)

There are no constraints on the eigenvalues of a product of two real symmetric matrices but what about the product of two real skew-symmetric matrices?
(joint work with A Dubrulle)