Fri, 16 Oct 2015
14:15
C3

Turbulence in shear flows with and without surface waves

Greg Chini
(University of New Hampshire)
Abstract

Surface waves modify the fluid dynamics of the upper ocean not only through wave breaking but also through phase-averaged effects involving the surface-wave Stokes drift velocity. Chief among these rectified effects is the generation of a convective flow known as Langmuir circulation (or “Langmuir turbulence”). Like stress-driven turbulence in the absence of surface waves, Langmuir turbulence is characterized by streamwise-oriented quasi-coherent roll vortices and streamwise streaks associated with spanwise variations in the streamwise flow. To elucidate the fundamental differences between wave-free (shear) and wave-catalyzed (Langmuir) turbulence, two separate asymptotic theories are developed in parallel. First, a large Reynolds number analysis of the Navier–Stokes equations that describes a self-sustaining process (SSP) operative in linearly stable wall-bounded shear flows is recounted. This theory is contrasted with that emerging from an asymptotic reduction in the strong wave-forcing limit of the Craik–Leibovich (CL) equations governing Langmuir turbulence. The comparative analysis reveals important structural and dynamical differences between the SSPs in shear flows with and without surface waves and lends further support to the view that Langmuir turbulence in the upper ocean is a distinct turbulence regime. 

Mon, 19 Oct 2015

16:00 - 17:00
Oxford-Man Institute

Computing harmonic measures for the Lévy stable process

THOMAS SIMON
(University of Lille 1)
Abstract

Abstract:In the first part of the talk, using classical hypergeometric identities, I will compute the harmonic measure of finite intervals and their complementaries for the Lévy stable process on the line. This gives a simple and unified proof of several results by Blumenthal-Getoor-Ray, Rogozin, and Kyprianou-Pardo-Watson. In the second part of the talk, I will consider the two-dimensional Markov process based on the stable Lévy process and its area process. I will give two explicit formulae for the harmonic measure of the split complex plane. These formulae allow to compute the persistence exponent of the stable area process, solving a problem raised by Zhan Shi. This is based on two joint works with Christophe Profeta.

 

Mon, 19 Oct 2015

14:15 - 15:15
Oxford-Man Institute

The microstructural foundations of rough volatility models

MATHIEU ROSENBAUM
(Paris Polytechnique)
Abstract

Abstract: It has been recently shown that rough volatility models reproduce very well the statistical properties of low frequency financial data. In such models, the volatility process is driven by a fractional Brownian motion with Hurst parameter of order 0.1. The goal of this talk is to explain how such fractional dynamics can be obtained from the behaviour of market participants at the microstructural scales.

Using limit theorems for Hawkes processes, we show that a rough volatility naturally arises in the presence of high frequency trading combined with metaorders splitting. This is joint work with Thibault Jaisson.

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