I will introduce the concept of forward rank-dependent performance processes, extending the original notion to forward criteria that incorporate probability distortions and, at the same time, accommodate “real-time” incoming market information. A fundamental challenge is how to reconcile the time-consistent nature of forward performance criteria with the time-inconsistency stemming from probability distortions. For this, I will first propose two distinct definitions, one based on the preservation of performance value and the other on the time-consistency of policies and, in turn, establish their equivalence. I will then fully characterize the viable class of probability distortion processes, providing a bifurcation-type result. This will also characterize the candidate optimal wealth process, whose structure motivates the introduction of a new, distorted measure and a related dynamic market. I will, then, build a striking correspondence between the forward rank-dependent criteria in the original market and forward criteria without probability distortions in the auxiliary market. This connection provides a direct construction method for forward rank-dependent criteria with dynamic incoming information. Furthermore, a direct by-product of our work are new results on the so-called dynamic utilities and time-inconsistent problems in the classical (backward) setting. Indeed, it turns out that open questions in the latter setting can be directly addressed by framing the classical problem as a forward one under suitable information rescaling.

Abstract: Gaussian multiplicative chaos (GMC) has attracted a lot of attention in recent years due to its applications in many areas such as Liouville CFT and random matrix theory, but despite its importance not much has been known about its distributional properties. In this talk I shall explain the study of the tail probability of subcritical GMC and establish a precise formula for the leading order asymptotics, resolving a conjecture of Rhodes and Vargas.

The classic Fatou lemma states that the lower limit of expectations is greater or equal than the expectation of the lower limit for a sequence of nonnegative random variables. This talk describes several generalizations of this fact including generalizations to converging sequences of probability measures. The three types of convergence of probability measures are considered in this talk: weak convergence, setwise convergence, and convergence in total variation. The talk also describes the Uniform Fatou Lemma (UFL) for sequences of probabilities converging in total variation. The UFL states the necessary and sufficient conditions for the validity of the stronger inequality than the inequality in Fatou's lemma. We shall also discuss applications of these results to sequential optimization problems with completely and partially observable state spaces. In particular, the UFL is useful for proving weak continuity of transition probabilities for posterior state distributions of stochastic sequences with incomplete state observations known under the name of Partially Observable Markov Decision Processes. These transition probabilities are implicitly defined by Bayes' formula, and general method for proving their continuity properties have not been available for long time. This talk is based on joint papers with Pavlo Kasyanov, Yan Liang, Michael Zgurovsky, and Nina Zadoianchuk.

 Gaussian processes are well studied object in statistics and mathematics. In Machine Learning, we think of Gaussian processes as prior distributions over functions, which map from the index set to the realised path. To make Gaussian processes a practical tool for machine learning, we have developed tools around variational inference that allow for approximate computation in GPs leveraging the same hardware and software stacks that support deep learning. In this talk I'll give an overview of variational inference in GPs, show some successes of the method, and outline some exciting direction of potential future work.

Description:In his seminal work from the 1950s, William Feller classified all one-dimensional diffusions in terms of their ability to access the boundary (Feller's test for explosions) and to enter the interior from the boundary. Feller's technique is restricted to diffusion processes as the corresponding differential generators allow explicit computations and the use of Hille-Yosida theory. In the present article we study exit and entrance from infinity for jump diffusions driven by a stable process.Many results have been proved for jump diffusions, employing a variety of techniques developed after Feller's work but exit and entrance from infinite boundaries has long remained open. We show that the these processes have features not observes in the diffusion setting. We derive necessary and sufficient conditions on σ so that (i) non-exploding solutions exist and (ii) the corresponding transition semigroup extends to an entrance point at `infinity'. Our proofs are based on very recent developments for path transformations of stable processes via the Lamperti-Kiu representation and new Wiener-Hopf factorisations for Lévy processes that lie therein. The arguments draw together original and intricate applications of results using the Riesz-Bogdan--Żak transformation, entrance laws for self-similar Markov processes, perpetual integrals of Lévy processes and fluctuation theory, which have not been used before in the SDE setting, thereby allowing us to employ classical theory such as Hunt-Nagasawa duality and Getoor's characterisation of transience and recurrence.

Backward Stochastic Differential Equations (BSDEs) have been successfully applied  to represent the value of optimal control problems for controlled

stochastic differential equations. Since in the classical framework several restrictions on the scope of applicability of this method remained, in recent times several approaches have been devised to obtain the desired probabilistic representation in more general situations. We will review the so called  randomization method, originally introduced by B. Bouchard in the framework of optimal switching problems, which consists in introducing an auxiliary,`randomized'' problem with the same value as the original one, where the control process is replaced by an exogenous random point process,and optimization is performed over a family of equivalent probability measures. The value of the randomized problem is then represented

by means of a special class of BSDEs with a constraint on one of the unknown processes.This methodology will be applied in the framework of controlled evolution equations (with immediate applications to controlled SPDEs), a case for which very few results are known so far.

We present a first-principles derivation of a weak-strong duality between the four-dimensional fishnet theory in the planar limit and a discretized string-like model living in AdS5. At strong coupling, the dual description becomes classical and we demonstrate explicitly the classical integrability of the model. We test our results by reproducing the strong coupling limit of the 4-point correlator computed before non-perturbatively from the conformal partial wave expansion. Next, by applying the canonical quantization procedure with constraints, we show that the model describes a quantum integrable chain of particles propagating in AdS5. Finally, we reveal a discrete reparametrization symmetry of the model and reproduce the spectrum when known analytically. Due to the simplicity of our model, it could provide an ideal playground for holography. Furthermore, since the fishnet model and N=4 SYM theory are continuously linked our consideration could shed light on the derivation of AdS/CFT for the latter. This talk is based on recent work with Amit Sever.

I will give a brief survey of some problems in curvature free geometry and sketch

a new proof of the following:

Theorem (Guth). There is some $\delta (n)>0$ such that if $(M^n,g)$ is a closed aspherical Riemannian manifold and $V(R)$ is the volume of the largest ball of radius $R$ in the universal cover of $M$, then $V(R)\geq \delta(n)R^n$ for all $R$.

I will also discuss some recent related questions and results.

The relationship between the large-scale geometry of a group and its algebraic structure can be studied via three notions: a group's quasi-isometry class, a group's abstract commensurability class, and geometric actions on proper geodesic metric spaces. A common model geometry for groups G and G' is a proper geodesic metric space on which G and G' act geometrically. A group G is action rigid if every group G' that has a common model geometry with G is abstractly commensurable to G. For example, a closed hyperbolic n-manifold group is not action rigid for all n at least three. In contrast, we show that free products of closed hyperbolic manifold groups are action rigid. Consequently, we obtain the first examples of Gromov hyperbolic groups that are quasi-isometric but do not virtually have a common model geometry. This is joint work with Daniel Woodhouse.