Mon, 19 Jan 2015

15:45 - 16:45
Oxford-Man Institute

A stochastic free boundary problem

Martin Keller-Ressel
(Dresden University of Technology)
Abstract

Motivated by stochastic models for order books in stock exchanges we consider stochastic partial differential equations with a free boundary condition. Such equations can be considered generalizations of the classic (deterministic) Stefan problem of heat condition in a two-phase medium. 

Extending results by Kim, Zheng & Sowers we allow for non-linear boundary interaction, general Robin-type boundary conditions and fairly general drift and diffusion coefficients. Existence of maximal local and global solutions is established by transforming the equation to a fixed-boundary problem and solving a stochastic evolution equation in suitable interpolation spaces. Based on joint work with Marvin Mueller.

Mon, 19 Jan 2015

14:15 - 15:15
Oxford-Man Institute

'Optimal Switching in Finite Horizon under State Constraints’

Idris Kharoubbi
(Université Paris Dauphine)
Abstract

'We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove that the value function associated to the weak formulation of this problem is the limit of the value function associated to an unconstrained switching problem with penalized coefficients, as the penalization parameter goes to infinity. This convergence allows to set a dynamic programming principle for the constrained switching problem. We then prove that the value function is a constrained viscosity solution to a system of variational inequalities (SVI for short). We finally prove that the value function is the maximal solution to this SVI. All our results are obtained without any regularity assumption on the constraint domain.’

Thu, 29 Jan 2015

17:30 - 18:30
L6

Special subvarieties of additive extensions

Harry Schmidt
(University of Basel)
Abstract

Let ${\cal E}$ be a family of elliptic curves over a base variety defined over $\mathbb C$. An additive extension ${\cal G}$ of ${\cal E}$ is a family of algebraic groups which fits into an exact sequence of group schemes $0\rightarrow {\mathbb G}_{\rm a}\rightarrow {\cal G}\rightarrow {\cal E}\rightarrow 0$. We can define the special subvarieties of ${\cal G}$ to be families of algebraic groups over the same base contained in ${\cal G}$. The relative Manin-Mumford conjecture suggests that the intersection of a curve in ${\cal G}$ with the special subvarieties of dimension 0 is contained in a finite union of special subvarieties.

To prove this we can assume that the family ${\cal E}$ is the Legendre family and then follow the strategy employed by Masser-Zannier for their proof of the relative Manin-Mumford conjecture for the fibred product of two legendre families. This has applications to classical problems such as the theory of elementary integration and Pell's equation in polynomials.

Tue, 10 Feb 2015

17:00 - 18:00
C2

Spin projective representations of Weyl groups, Green polynomials, and nilpotent orbits

Dan Ciubotaru
(Oxford)
Abstract

The classification of irreducible representations of pin double covers of Weyl groups was initiated by Schur (1911) for the symmetric group and was completed for the other groups by A. Morris, Read and others about 40 years ago. Recently, a new relation between these projective representations, graded Springer representations, and the geometry of the nilpotent cone has emerged. I will explain these connections and the relation with a Dirac operator for (extended) graded affine Hecke algebras.  The talk is partly based on joint work with Xuhua He.

Thu, 29 Jan 2015

14:00 - 15:00
L5

High-order approximations for some classical Gaussian quadrature

Dr Ignace Bogaert
(University of Ghent)
Abstract

Gaussian quadrature rules are of theoretical and practical interest because of their role in numerical integration and interpolation. For general weighting functions, their computation can be performed with the Golub-Welsch algorithm or one of its refinements. However, for the specific case of Gauss-Legendre quadrature, computation methods based on asymptotic series representations of the Legendre polynomials have recently been proposed. 
For large quadrature rules, these methods provide superior accuracy and speed at the cost of generality. We provide an overview of the progress that was made with these asymptotic methods, focusing on the ideas and asymptotic formulas that led to them. 
Finally, the limited generality will be discussed with Gauss-Jacobi quadrature rules as a prominent possibility for extension.

Subscribe to