Abstract: In this talk we try to establish an analytic framework for studying Set-Valued Backward Stochastic Differential Equations (SVBSDE for short), motivated largely by the current studies of dynamic set-valued risk measures for multi-asset or network-based financial models. Our framework will be based on the notion of Hukuhara difference between sets, in order to compensate the lack of “inverse” operation of the traditional Minkowski addition, whence the vector space structure, in traditional set-valued analysis. We shall examine and establish a useful foundation of set-valued stochastic analysis under this algebraic framework, including some fundamental issues regarding Aumann-Itˆo integrals, especially when it is connected to the martingale representation theorem. We shall identify some fundamental challenges and propose some extensions of the existing theory that are necessary to study the SVBSDEs. This talk is based on the joint works with C¸ a˘gın Ararat and Wenqian Wu.

Following the risk-taking model of Seel and Strack, n players decide when to stop privately observed Brownian motions with drift and absorption at zero. They are then ranked according to their level of stopping and paid a rank-dependent reward. We study the optimal reward design where a principal is interested in the average performance and the performance at a given rank. While the former can be related to reward inequality in the Lorenz sense, the latter can have a surprising shape. Next, I will present the mean-field version of this problem. A particular feature of this game is to be tractable without necessarily being smooth, which turns out to offer a cautionary tale. We show that the mean field equilibrium induces n-player ε-Nash equilibria for any continuous reward function— but not for discontinuous ones. We also analyze the quality of the mean field design (for maximizing the median performance) when used as a proxy for the optimizer in the n-player game. Surprisingly, the quality deteriorates dramatically as n grows. We explain this with an asymptotic singularity in the induced n-player equilibrium distributions. (Joint work with M. Nutz)

I will discuss the multi-sorted structure of analytic covers H -> Y(N), where H is the upper half-plane and Y(N) are the N-level modular curves, all N, in a certain language, weaker than the language applied by Adam Harris and Chris Daw.  We define a certain locally modular reduct of the structure which is called "pure" structure - an extension of the structure of special subvarieties.  
The problem of non-elementary categorical axiomatisation for this structure is closely related to the theory of "canonical models for Shimura curves", in particular, the description of Gal_Q action on the CM-points of the Y(N). This problem for the case of curves is basically solved (J.Milne) and allows the beautiful interpretation in our setting:  the abstract automorphisms of the pure structure on CM-points are exactly the automorphisms induced by Gal_Q.  Using this fact and earlier theorem of Daw and Harris we prove categoricity of a natural axiomatisation of the pseudo-analytic structure.
If time permits I will also discuss a problem which naturally extends the above:  a categoricity statement for the structure of unramified analytic covers H -> X, where X runs over all smooth curves over a given number field.  

I will discuss modified Newton methods for solving nonlinear systems of PDEs. These methods introduce additional variables before deriving the Newton linearization. These variables can then often be eliminated analytically before solving the Newton system, such that existing solvers can be adapted easily and the computational cost does not increase compared to a standard Newton method. The resulting algorithms yield favorable convergence properties. After illustrating the ideas on a simple example, I will show its application for the solution of incompressible Stokes flow problems with viscoplastic constitutive relation, where the additionally introduced variable is the stress tensor. These models are commonly used in earth science models. This is joint work with Johann Rudi (Argonne) and Melody Shih (NYU).

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