TBC

We study several important fine properties for the family of fractional Brownian motions with Hurst parameter H under the (p,r)-capacity on classical Wiener space introduced by Malliavin. We regard fractional Brownian motions as Wiener functionals via the integral representation discovered by Decreusefond and \"{U}st\"{u}nel, and show non differentiability, modulus of continuity, law of iterated Logarithm(LIL) and self-avoiding properties of fractional Brownian motion sample paths using Malliavin calculus as well as the tools developed in the previous work by Fukushima, Takeda and etc. for Brownian motion case.

We develop a method to study the implied volatility for exotic options and volatility derivatives with European payoffs such as VIX options. Our approach, based on Malliavin calculus techniques, allows us to describe the properties of the at-the-money implied volatility (ATMI) in terms of the Malliavin derivatives of the underlying process. More precisely, we study the short-time behaviour of the ATMI level and skew. As an application, we describe the short-term behavior of the ATMI of VIX and realized variance options in terms of the Hurst parameter of the model, and most importantly we describe the class of volatility processes that generate a positive skew for the VIX implied volatility. In addition, we find that our ATMI asymptotic formulae perform very well even for large maturities. Several numerical examples are provided to support our theoretical results.  

(Marta Lewicka)

Variational methods have been extensively used in the past decades to rigorously derive nonlinear models in the description of thin elastic films. In this context, natural growth or differential swelling-shrinking lead to models where an elastic body aims at reaching a space-dependent metric. We will describe the effect of such, generically incompatible, prestrain metrics on the singular limits' bidimensional models. We will discuss metrics that vary across the specimen in both the midplate and the thin (transversal) directions. We will also cover the case of the oscillatory prestrain, exhibit its relation to the non-oscillatory case via identifying the effective metrics, and discuss the role of the Riemann curvature tensor in the limiting models.

(Shankar Venkataramani)

Using the bidimensional models for pre-strained Elasticity, that Marta will discuss in her talk, I will discuss some contrasts between the mechanics of thin objects with non-negative curvature (plates, spherical shells, etc) and the mechanics of hyperbolic sheets, i.e. soft/thin objects with negative curvature. I will motivate the need for new "geometric" methods for discretizing the relevant equations, and present some of our preliminary work in this direction.

This is joint work with Toby Shearman and Ken Yamamoto.