Using Vovk's game-theoretic approach to mathematical finance and probability, it is possible to obtain new results in both areas.We first prove that one can make an arbitrarily large profit by investing in those one-dimensional paths which do not possess a local time of finite p-variation.  Additionally, we provide pathwise Tanaka formulas suitable for our local times and for absolutely continuous functions with sufficient regular derivatives. In the second part we derive a model-independent super-replication theorem in continuous time. Our result covers a broad range of exotic derivatives, including look-back options, discretely monitored Asian options, and options on realized variance.
 This talk is based on joint works with M. Beiglböck, A.M.G. Cox, M. Huesmann and N. Perkowski.

 

We show how the theories of paracontrolled distributions and regularity structures can be implemented on manifolds, to solve singular SPDEs like the parabolic Anderson model.

This is ongoing work with Bruce Driver (UCSD) and Antoine Dahlqvist (Cambridge)

Malliavin calculus is implemented in the context of [M. Hairer, A theory of regularity structures, Invent. Math. 2014]. This involves some constructions of independent interest, notably an extension of the structure which accommodates a robust and purely deterministic translation operator in L^2-directions between models. In the concrete context of the generalized parabolic Anderson model in 2D -one of the singular SPDEs discussed in the afore-mentioned article - we establish existence of a density at positive times.

In this talk, I will present recent results that give the necessary mathematical foundation for the study of rough path driven PDEs in the framework of weak solutions. The main tool is a new rough Gronwall Lemma argument whose application is rather wide: among others, it allows to derive the basic energy estimates leading to the proof of existence for e.g. parabolic RPDEs. The talk is based on a joint work with Aurelien Deya, Massimiliano Gubinelli and Samy Tindel.

Tmoslav Plesa: Chemical Reaction Systems with a Homoclinic Bifurcation: An Inverse Problem, 25+5 min;

John Ockendon: Wave Homogenisation, 10 min + questions; 

Hilary Ockendon: Sloshing, 10 min + questions
 

In this talk we want to present a detailed study of the algebraic objects appearing in the theory of regularity structures. In particular we aim at introducing a class of co-algebras on labelled forests and trees and show that these allow to describe in an unified setting the structure group and the renormalisation group. Based on joint work with Yvain Bruned and Martin Hairer

We aim to study the long time behaviour of the solution to a rough differential equation (in the sense of Lyons) driven by a random rough path. To do so, we use the theory of random dynamical systems. In a first step, we show that rough differential equations naturally induce random dynamical systems, provided the driving rough path has stationary increments. If the equation satisfies a strong form of stability, we can show that the solution admits an invariant measure.

This is joint work with I. Bailleul (Rennes) and M. Scheutzow (Berlin).    

We derive a Stratonovich-to-Skorohod integral conversion formula for a class of integrands which are path-level solutions to RDEs driven by Gaussian rough paths. This is done firstly by showing that this class lies in the domain of the Skorohod integral, and secondly, by appending the Riemann-sum approximants of the Skorohod integral with a suitable compensation term. To show the convergence of the Riemann-sum approximants, we utilize a novel characterization of the Cameron-Martin norm using higher dimensional Young-Stieltjes integrals. Moreover, in the case where complementary regularity is absent, i.e. when the integrand has finite p-variation and the integrator has finite q-variation but 1/p + 1/q <= 1, we give new and sufficient conditions for the convergence these Young integrals.

The Hilbert transform is a central operator in harmonic analysis as it gives access to the harmonic conjugate function. The link between pairs of martingales (X,Y) under differential subordination and the pair (f,Hf) of a function and its Hilbert transform have been known at least since the work of Burkholder and Bourgain in the UMD setting.

During the last 20 years, new and more exact probabilistic interpretations of operators such as the Hilbert transform have been studied extensively. The motivation for this was in part the study of optimal weighted estimates in harmonic analysis. It has been known since the 70s that H:L^2(w dx) to L^2(w dx) if and only if w is a Muckenhoupt weight with its finite Muckenhoupt characteristic. By a sharp estimate we mean the correct growth of the weighted norm in terms of this characteristic. In one particular case, such an estimate solved a long standing borderline regularity problem in complex PDE.

In this lecture, we present the historic development of the probabilistic interpretation in this area, as well as recent results and open questions.