What should you expect in intercollegiate classes?  What can you do to get the most out of them?  In this session, experienced class tutors will share their thoughts, and a current student will offer tips and advice based on their experience.

All undergraduate and masters students welcome, especially Part B and MSc students attending intercollegiate classes. (Students who attended the Part C/OMMS induction event will find significant overlap between the advice offered there and this session!)

Equations of fluctuating hydrodynamics, also called Dean-Kawasaki type equations, are stochastic PDEs describing the evolution of finitely many interacting particles which obey a Langevin equation. First, we give a mathematical derivation for such equations. The focus is on systems of interacting particles described by second order Langevin equations. For such systems,  the equations of fluctuating hydrodynamics are a stochastic variant of Vlasov-Fokker-Planck equations, where the noise is white in space and time, conservative and multiplicative. We show a dichotomy previously known for purely diffusive systems holds here as well: Solutions exist only for suitable atomic initial data, but provably not for any other initial data. The class of systems covered includes several models of active matter. We will also discuss regularisations, where existence results hold under weaker assumptions. 

We develop a general framework for pathwise stochastic integration that extends Follmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums and provides pathwise counterparts of Ito, Stratonovich, and backward Ito integration. More precisely, for a continuous path admitting both quadratic variation and Levy area along a fixed sequence of partitions, we define pathwise stochastic integrals as limits of general Riemann sums and prove that they coincide with integrals defined with respect to suitable rough paths. Furthermore, we identify necessary and sufficient conditions under which the quadratic variation and the Levy area of a continuous path are invariant with respect to the choice of partition sequences.

I will present problems a stochastic variant of the classic optimal transport problem as well as a large deviation question for a mean field system of interacting particles. We shall see that those problems can be analyzed by means of a Hamilton-Jacobi equation on the space of probability measures. I will then present the main challenge on such equations as well as the current known techniques to address them. In particular, I will show how the notion of relaxed controls in this setting naturally solve an important difficulty, while being clearly interpretable in terms of geometry on the space of probability measures.

Mathematical modelling and stochastic optimization are often based on the separation of two stages: At the first stage, a model is selected out of a family of plausible models and at the second stage, a policy is chosen that optimizes an underlying objective as if the chosen model were correct. In this talk, I will introduce a new approach which, rather than completely isolating the two stages, interlinks them dynamically. I will first introduce the notion of “consequential performance” of each  model and, in turn, propose a “consequentialist criterion for model selection” based on the expected utility of consequential performances. I will apply the approach to continuous-time portfolio selection and derive a key system of coupled PDEs and solve it for representative cases. I will, also, discuss the connection of the new approach with the popular methods of robust control and of unbiased estimators.   This is joint work with M. Strub (U. of Warwick)

Brenier’s theorem and its Benamou-Brenier variant play a pivotal role
in optimal transport theory. In the context of martingale transport
there is a perfect analogue, termed stretched Brownian motion. We
show that under a natural irreducibility condition this leads to the
notion of Bass martingales.
For given probability measures µ and ν on Rn in convex order, the
Bass martingale is induced by a probability measure α. It is the min-
imizer of a convex functional, called the Bass functional. This implies
that α can be found via gradient descent. We compare our approach
to the martingale Sinkhorn algorithm introduced in dimension one by
Conze and Henry-Labordere.

TBA

Come take a break and get to know other Mathematrix members over some crafts! All supplies and sweet treats provided.