Mathematical Insitute, Oxford

Causal optimal transport and the related adapted Wasserstein distance have recently been popularized as a more appropriate alternative to the classical Wasserstein distance in the context of stochastic analysis and mathematical finance. In this talk, we establish some interesting consequences of causality for transports on the space of continuous functions between the laws of stochastic differential equations.
 

We first characterize bicausal transport plans and maps between the laws of stochastic differential equations. As an application, we are able to provide necessary and sufficient conditions for bicausal transport plans to be induced by bi-causal maps. Analogous to the classical case, we show that bicausal Monge transports are dense in the set of bicausal couplings between laws of SDEs with unique strong solutions and regular coefficients.

 This is a joint work with Rama Cont.

I will give an overview of new ideas showing up in arithmetic intersection theory based on some exciting talks that appeared at the very recent conference "Global invariants of arithmetic varieties". I will also outline connections to globally valued fields and some classical problems.

Popular automated market makers (AMMs) use constant function markets (CFMs) to clear the demand and supply in the pool of liquidity. A key drawback in the implementation of CFMs is that liquidity providers (LPs) are currently providing liquidity at a loss, on average. In this paper, we propose two new designs for decentralised trading venues, the arithmetic liquidity pool (ALP) and the geometric liquidity pool (GLP). In both pools, LPs choose impact functions that determine how liquidity taking orders impact the marginal exchange rate of the pool, and set the price of liquidity in the form of quotes around the marginal rate. The impact functions and the quotes determine the dynamics of the marginal rate and the price of liquidity. We show that CFMs are a subset of ALP; specifically, given a trading function of a CFM, there are impact functions and  quotes in the ALP that replicate the marginal rate dynamics and the execution costs in the CFM. For the ALP and GLP, we propose an optimal liquidity provision strategy where the price of liquidity maximises the LP's expected profit and the strategy depends on the LP's (i) tolerance to inventory risk and (ii) views on the demand for liquidity. Our strategies admit closed-form solutions and are computationally efficient.  We show that the price of liquidity in CFMs is suboptimal in the ALP. Also, we give conditions on the impact functions and the liquidity provision strategy to prevent arbitrages from rountrip trades. Finally, we use transaction data from Binance and Uniswap v3 to show that liquidity provision is not a loss-leading activity in the ALP.

Following Rosati and Perkowski’s work on constructing the first version of a rough super Brownian motion, we generalize the rough super Brownian motion to the case when the branching mechanism has infinite variance. In both case, we can prove the compact support properties and the exponential persistence.

I will report on a research program which uses ideas from stochastic analysis in the context of constructive Euclidean quantum field theory. Stochastic analysis is the study of measures on path spaces via push-forward from Gaussian measures. The foundational example is the map, introduced by Itô, which sends Brownian motion to a diffusion process solution to a stochastic differential equation. Parisi–Wu's stochastic quantisation is the stochastic analysis of an Euclidean quantum field, in the above sense. In this introductory talk, I will put these ideas in context and illustrate various stochastic quantisation procedures and some of the rigorous results one can obtain from them.

Topological data analysis is a growing area of research where topology and geometry meets data analysis. Many data science problems have a geometric flavor, and thus computational tools like persistent homology and Mapper were often found to be useful. Domains of applications include cosmology, material science, diabetes and cancer research. We will discuss some main tools of the field and some prominent applications.

Diffusion processes are widely used to model the evolution of random values over time. In many applications, the diffusion process is constrained to a finite domain. We consider the estimation problem of a diffusion process constrained by a polytope, i.e. intersection of finitely many (hyper-)planes, given a discretely observed time series data. Since the boundary behaviours of a diffusion process are characterised by its drift and diffusion functions, we derive sufficient conditions on the drift and diffusion functions for the nonattainablity of a polytope. We use deep learning to estimate the drift and diffusion, and ensure that their constraints are satisfied throughout the training.

Signalling pathways can be modelled as a biochemical reaction network. When the kinetics are to follow mass-action kinetics, the resulting
mathematical model is a polynomial dynamical system. I will overview approaches to analyse these models with steady-state data using
computational algebraic geometry and statistics. Then I will present how to analyse such models with time-course data using differential
algebra and geometry for model identifiability. Finally, I will present how topological data analysis can be help distinguish models
and data.

Lisa Lamberti

Geometric models in algebra and beyond

Many phenomena in mathematics and related sciences are described by geometrical models.

In this talk, we will see how triangulations in polytopes can be used to uncover combinatorial structures in algebras. We will also glimpse at possible generalizations and open questions, as well as some applications of geometric models in other disciplines.

Jaroslav Fowkes

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Optimization Challenges in the Commercial Aviation Sector

The commercial aviation sector is a low-margin business with high fixed costs, namely operating the aircraft themselves. It is therefore of great importance for an airline to maximize passenger capacity on its route network. The majority of existing full-service airlines use largely outdated capacity allocation models based on customer segmentation and fixed, pre-determined price levels. Low-cost airlines, on the other hand, mostly fly single-leg routes and have been using dynamic pricing models to control demand by setting prices in real-time. In this talk, I will review our recent research on dynamic pricing models for the Emirates route network which, unlike that of most low-cost airlines, has multiple routes traversing (and therefore competing for) the same leg.