Past

When liquidating large portfolios of securities one faces a trade off between adverse market impact of sell orders and the impatience to generate proceeds. We present a Black-Scholes model with an impact factor describing the market's distress arising from previous transactions and show how to solve the ensuing optimization problem via classical calculus of variations. (Joint work with Dirk Becherer, Humboldt Universität zu

Berlin)

Meshfree methods become more and more important for the numerical simulation of complex real-world processes. Compared to classical, mesh-based methods they have the advantage of being more flexible, in particular for higher dimensional problems and for problems, where the underlying geometry is changing. However, often, they are also combined with classical methods to form hybrid methods.

In this talk, I will discuss meshfree, kernel based methods. After a short introduction along the lines of optimal recovery, I will concentrate on results concerning convergence orders and stability. After that I will address efficient numerical algorithms. Finally, I will present some examples, including one from fluid-structure-interaction, which will demonstrate why these methods are currently becoming Airbus's preferred solution in Aeroelasticity.

The partition function of the random cluster model on a graph $G$ is also known as its Potts model partition function. (Only the points at which it is evaluated differ in the two models.) This is a multivariate generalization of the Tutte polynomial of $G$, and encodes a wealth of enumerative information about spanning trees and forests, connected spanning subgraphs, electrical properties, and so on.

An elementary property of electrical networks translates into the statement that any two distinct edges are negatively correlated if one picks a spanning tree uniformly at random. Grimmett and Winkler have conjectured the analogous correlation inequalities for random forests or random connected spanning subgraphs. I'll survey some recent related work, partial results, and more specific conjectures, without going into all the gory details.

We outline a method to solve the stationary Einstein equations with source a body in rigid rotation consisting of elastic matter.

This is work in progress by R.B., B.G.Schmidt, and L.Andersson

There is a well-behaving class of dense ordered abelian groups called "regularly dense ordered abelian groups". This first order property of ordered abelian groups is introduced by Robinson and Zakon as a generalization of being an archimedean ordered group. Every dense subgroup of the additive group of reals is regularly dense. In this talk we consider subgroups of the multiplicative group, S, of all complex numbers of modulus 1. Such groups are not ordered, however they have an "orientation" on them: this is a certain ternary relation on them that is invariant under multiplication. We have a natural correspondence between oriented abelian groups, on one side, and ordered abelian groups satisfying a cofinality condition with respect to a distinguished positive element 1, on the other side. This correspondence preserves model-theoretic relations like elementary equivalence. Then we shall introduce a first-order notion of "regularly dense" oriented abelian group; all infinite subgroups of S are regularly dense in their induced orientation. Finally we shall consider the model theoretic structure (R,Gamma), where R is the field of real numbers, and Gamma is dense subgroup of S satisfying the Mann property, interpreted as a subset of R^2. We shall determine the elementary theory of this structure.

We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before the effective execution of the first one.

This is motivated by financial applications in the trading of illiquid assets such as hedge funds.

We show that the value functions for such control problems satisfy a suitable version of dynamic programming principle in finite dimension, which takes into account the past dependence of state process through the pending orders. The corresponding Bellman partial differential equations (PDE) system is derived, and exhibit some peculiarities on the coupled equations, domains and boundary conditions. We prove a unique characterization of the value functions to this nonstandard PDE system by means of viscosity solutions. We then provide an algorithm to find the value functions and the optimal control. This implementable algorithm involves backward and forward iterations on the domains and the value functions, which appear in turn as original arguments in the proofs for the boundary conditions and uniqueness results. Finally, we give several numerical experiments illustrating the impact of execution delay on trading strategies and on option pricing.