Past

In the Examination Schools.

Over the last decades, advanced probabilistic methods have played an increasing role in Finance, both in Academia and in the financial industry. In view of the recent financial crisis it has been asked to which extent "misplaced reliance on sophisticated maths" has been part of the problem. We will focus on the foundational issue of model uncertainty, also called "Knightian uncertainty". This will be illustrated

by the problem of quantifying financial risk. We discuss recent advances

in the theory of convex risk measures and a corresponding robustification of classical problems of optimal portfolio choice, where model uncertainty is taken into account explicitly.

Biography: Hans Follmer is Professor Emeritus of Mathematics at Humboldt-Universitat zu Berlin, Andrew D. White Professor-at-Large at Cornell University, and Visiting Professor at the National University of Singapore. Before joining Humboldt University in 1994, he has been professor at the universities of Frankfurt and Bonn and at ETH Zurich.

Hans Follmer is widely known for his contributions to probability theory and mathematical finance. He received numerous awards, including the Prix Gay-Lussac/Humboldt of the French Government, the Georg-Cantor medal of the German Mathematical Society, and a honorary degree of the University Paris-Dauphine. He is a member of the Berlin-Brandenburgische Akademie der Wissenschaften, the German National Academy of Sciences Leopoldina, and the European Academy of Sciences Academia Europaea.

We develop a theory of impact of viscoelastic spheres with adhesive

interactions. We assume that the collision velocities are not large to

avoid the fracture and plastic deformation of particles material and

microscopic relaxation time is much smaller than the collision duration.

The adhesive interactions are described with the use of Johnson, Kendall

and Roberts (JKR) theory, while dissipation is attributed to the

viscoelastic behavior of the material. For small impact velocities we

apply the condition of a quasi-static collision and obtain the

inter-particle force. We show that this force is a sum of four

components, having in addition to common elastic, viscous and adhesive

force, the visco-adhesive cross term. Using the derived force we compute

the coefficient of normal restitution and consider the application of our

theory to the collisions of macro and nano-particles.

The points in question can be found on  any semi-abelian surface over an elliptic curve with complex multiplication. We will show that they provide counter-examples to natural expectations in a variety of fields :  Galois representations (following K. Ribet's initial study from the 80's), Lehmer's problem on heights, and more recently, the relative  analogue of the Manin-Mumford conjecture. However, they do support Pink's general conjecture on special subvarieties of mixed Shimura varieties.

The points in question can be found on any semi-abelian surface over an

elliptic curve with complex multiplication. We will show that they provide

counter-examples to natural expectations in a variety of fields : Galois

representations (following K. Ribet's initial study from the 80's),

Lehmer's problem on heights, and more recently, the relative analogue of

the Manin-Mumford conjecture. However, they do support Pink's general

conjecture on special subvarieties of mixed Shimura varieties.

This seminar will be held at the Rutherford Appleton Laboratory near Didcot.

Abstract:

Numerical calculations of laminar flow in a two-dimensional channel with a sudden expansion exhibit a symmetry-breaking bifurcation at Reynolds number 40.45 when the expansion ratio is 3:1. In the experiments reported by Fearn, Mullin and Cliffe [1] there is a large perturbation to this bifurcation and the agreement with the numerical calculations is surprisingly poor. Possible reasons for this discrepancy are explored using modern techniques for uncertainty quantification.

When experimental equipment is constructed there are, inevitably, small manufacturing imperfections that can break the symmetry in the apparatus. In this work we considered a simple model for these imperfections. It was assumed that the inlet section of the channel was displaced by a small amount and that the centre line of the inlet section was not parallel to the centre line of the outlet section. Both imperfections were modelled as normal random variables with variance equal to the manufacturing tolerance. Thus the problem to be solved is the Navier-Stokes equations in a geometry with small random perturbations. A co-ordinate transformation technique was used to transform the problem to a fixed deterministic domain but with random coefficient appearing in the transformed Navier-Stokes equations. The resulting equations were solved using a stochastic collocation technique that took into account the fact that the problem has a discontinuity in parameter space arising from the bifurcation structure in the problem.

The numerical results are in the form of an approximation to a probability measure on the set of bifurcation diagrams. The experimental data of Fearn, Mullin and Cliffe are consistent with the computed solutions, so it appears that a satisfactory explanation for the large perturbation can be provided by manufacturing imperfections in the experimental apparatus.

The work demonstrates that modern methods for uncertainty quantification can be applied successfully to a bifurcation problem arising in fluid mechanics. It should be possible to apply similar techniques to a wide range of bifurcation problems in fluid mechanics in the future.

References:

[1] R M Fearn, T Mullin and K A Cliffe Nonlinear flow phenomena in a symmetric sudden expansion, J. Fluid Mech. 211, 595-608, 1990.

Mikhail Borovoi's theorem states that any simply connected compact semisimple Lie group can be understood (as a group) as an amalgam of its rank 1 and rank 2 subgroups. Here we present a recent extension of this, which allows us to understand the same objects as a colimit of their rank 1 and rank 2 subgroups under a final group topology in the category of Lie groups. Loosely speaking, we obtain not only the group structure uniquely by understanding all rank 1 and rank 2 subgroups, but also the topology.

The talk will race through the elements of Lie theory, buildings and category theory needed for this proof, to leave the audience with the underlying structure of the proof. Little prior knowledge will be assumed, but many details will be left out.

We'll discuss 2 ways to decompose a 3-manifold, namely the Heegaard

splitting and the celebrated geometric decomposition. We'll then see

that being hyperbolic, and more in general having (relatively)

hyperbolic fundamental group, is a very common feature for a 3-manifold.

We highlight a technique for studying edge colourings of multigraphs, due to Tashkinov. This method is a sophisticated generalisation of the method of alternating paths, and builds upon earlier work by Kierstead and Goldberg. In particular we show how to apply it to a number of edge colouring problems, including the question of whether the class of multigraphs that attain equality in Vizing's classical bound can be characterised.

This talk represents joint work with Jessica McDonald.

In field theory simple forms of certain scattering amplitudes in four dimensional theories with massless particles are known. This has been shown to be closely related to underlying (super)symmetries and has been a source of inspiration for much development in the last years. Away from four dimensions much less is known with some concrete development only in six dimensions. I will show how to construct promising on-shell superspaces in eight and ten dimensions which permit suggestively simple forms of supersymmetric four point scattering amplitudes with massless particles. Supersymmetric on-shell recursion relations which allow one to compute in principle any amplitude are constructed, as well as the three point `seed' amplitudes to make these work. In the three point case I will also present some classes of supersymmetric amplitudes with a massive particle for the type IIB superstring in a flat background.

We give a characterization of divergence-free vector fields on the plane such that the Cauchy problem for the associated continuity (or transport) equation has a unique bounded solution (in the sense of distribution).

Unlike previous results in this directions (Di Perna-Lions, Ambrosio), the proof relies on a dimension-reduction argument, which can be regarded as a variant of the method of characteristics. Note that our characterization is not stated in terms of function spaces, but is based on a suitable weak formulation of the Sard property for the potential associated to the vector-field.

This is a joint work with S. Bianchini (SISSA, Trieste) and Gianluca Crippa (Parma).

I will describe why e^{\pi\sqrt{163}} is almost an integer and how this is related to Q(\sqrt{-163}) having class number one and why n^2-n+41 is prime for n=0,...,39. Bits and pieces about Gauss's class number problem, Heegner numbers, the j-invariant and complex multiplication on elliptic curves will be discussed along the way.

Numerical Approximations of Non-linear Stochastic Systems. Abstract:  The explicit solution of stochastic differential equations (SDEs can be found only in a few cases. Therefore, there is a need fo accurate numerical approximations that could, for example, enabl  Monte Carlo Simulations. Convergence and stability of these methods are well understood for SDEs with Lipschit  continuous coefficients. Our research focuses on those situations wher  the coefficients of the underlying SDEs are non-Lipschitzian  It was demonstrated in the literature,  that in this case using the classical methods we may fail t  obtain numerically computed paths that are accurate for small step-sizes, or to obtain qualitative information about the behaviour of numerical methods over long time intervals. Our work addresses both of these issues, giving a customized analysis of the most widely used numerical methods.

We consider parabolic scalar conservation laws perturbed by a (conservative) noise. Large deviations are investigated in the singular limit of jointly vanishing viscosity and noise. The model is supposed to feature the same behavior of "asymmetric" particles systems (e.g. TASEP) under Euler scaling.

A first large deviations principle is obtained in a space of Young measures. A "second order" large deviations principle is then discussed, including connections with the Jensen and Varadhan functional. As time allows, more recent "long correlation" models will be treated.

We derive a general methodology to approximate the law of the average of the marginal of diffusion processes. The average is computed w.r.t. a general parameter that is involved in the diffusion dynamics. Our approach is suitable to compute expectations of functions of arithmetic or geometric means. In the context of small SDE coefficients, we establish an expansion, which terms are explicit and easy to compute. We also provide non asymptotic error bounds. Applications to the pricing of basket options, Asian options or commodities options are then presented. This talk is based on a joint work with M. Miri.