Thu, 30 Nov 2023
16:00
Lecture Room 4, Mathematical Institute

Duality of causal distributionally robust optimization

Yifan Jiang
(Mathematical Institute (University of Oxford))
Abstract

In this talk, we investigate distributionally robust optimization (DRO) in a dynamic context. We consider a general penalized DRO problem with a causal transport-type penalization. Such a penalization naturally captures the information flow generated by the models. We derive a tractable dynamic duality formula under a measure theoretic framework. Furthermore, we apply the duality to distributionally robust average value-at-risk and stochastic control problems.

Counterion-controlled phase equilibria in a charge-regulated polymer solution
Celora, G Blossey, R Münch, A Wagner, B Journal of Chemical Physics volume 159 issue 18 (09 Nov 2023)
Fri, 01 Dec 2023

12:00 - 13:15
L3

A compendium of logarithmic corrections in AdS/CFT

Nikolay Bobev
(KU Leuven)
Abstract

I will discuss logarithmic corrections to various CFT partition functions in the context of the AdS4/CFT3 correspondence for theories arising on the worldvolume of M2-branes. I will use four-dimensional gauged supergravity and heat kernel methods and present general expressions for the logarithmic corrections to the gravitational on-shell action or black hole entropy for a number of different supergravity backgrounds. I will outline several subtleties and puzzles in these calculations and contrast them with a similar analysis of logarithmic corrections performed directly in the eleven-dimensional uplift of a given four-dimensional supergravity background. This analysis suggests that four-dimensional supergravity consistent truncations are not the proper setting for studying logarithmic corrections in AdS/CFT. These results have important implications for the existence of scale-separated AdS vacua in string theory and for effective field theory in AdS more generally.

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Cartea, A Drissi, F Monga, M 37-42 (02 Nov 2023)
Correlation matrix clustering for statistical arbitrage portfolios
Jin, Q Cucuringu, M Cartea, A 557-564 (25 Nov 2023)
Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets
Cartea, A Drissi, F Monga, M Applied Mathematical Finance volume 30 issue 2 69-93 (22 Nov 2023)
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers
Arroyo, A Cartea, A Moreno-Pino, F Zohren, S Quantitative Finance volume 24 issue 1 35-57 (04 Jan 2024)
Morawetz’s contributions to the mathematical theory of transonic flows, shock waves, and partial differential equations of mixed type
Chen, G Bulletin of the American Mathematical Society volume 61 issue 1 161-171 (19 Oct 2023)
Global solutions of the compressible euler-poisson equations with large initial data of spherical symmetry
Chen, G He, L Wang, Y Yuan, D Communications on Pure and Applied Mathematics volume 77 issue 6 2861-3140 (13 Nov 2023)
Dilations and information flow axioms in categorical probability
Fritz, T Gonda, T Houghton-Larsen, N Lorenzin, A Perrone, P Stein, D Mathematical Structures in Computer Science volume 33 issue 10 913-957 (25 Oct 2023)
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