Wed, 23 Oct 2024
11:00
L4

Weak coupling limit for polynomial stochastic Burgers equations in $2d$

Da Li
(Mathematical Institute)
Abstract

We explore the weak coupling limit for stochastic Burgers type equation in critical dimension, and show that it is given by a Gaussian stochastic heat equation, with renormalised coefficient depending only on the second order Hermite polynomial of the nonlinearity. We use the approach of Cannizzaro, Gubinelli and Toninelli (2024), who treat the case of quadratic nonlinearities, and we extend it to polynomial nonlinearities. In that sense, we extend the weak universality of the KPZ equation shown by Hairer and Quastel (2018) to the two dimensional generalized stochastic Burgers equation. A key new ingredient is the graph notation for the generator. This enables us to obtain uniform estimates for the generator. This is joint work with Nicolas Perkowski.

Wed, 16 Oct 2024
11:00
L4

Large Values and Moments of the Riemann Zeta Function

Louis-Pierre Arguin
(Mathematical Institute)
Abstract

I will explain the recent techniques developed with co-authors to obtain fine estimates about the large values of the Riemann zeta functions on the critical line. An emphasis will be put on the ideas originating from statistical mechanics and large deviations that may be of general interest for a stochastic analysis audience. No number theory knowledge will be assumed!

Thu, 17 Oct 2024
16:00
L4

Risk, utility and sensitivity to large losses

Dr Nazem Khan
(Mathematical Institute)
Further Information

Please join us for refreshments outside the lecture room from 15:30.

Abstract
Risk and utility functionals are fundamental building blocks in economics and finance. In this paper we investigate under which conditions a risk or utility functional is sensitive to the accumulation of losses in the sense that any sufficiently large multiple of a position that exposes an agent to future losses has positive risk or negative utility. We call this property sensitivity to large losses and provide necessary and sufficient conditions thereof that are easy to check for a very large class of risk and utility functionals. In particular, our results do not rely on convexity and can therefore also be applied to most examples discussed in the recent literature, including (non-convex) star-shaped risk measures or S-shaped utility functions encountered in prospect theory. As expected, Value at Risk generally fails to be sensitive to large losses. More surprisingly, this is also true of Expected Shortfall. By contrast, expected utility functionals as well as (optimized) certainty equivalents are proved to be sensitive to large losses for many standard choices of concave and nonconcave utility functions, including S-shaped utility functions. We also show that Value at Risk and Expected Shortfall become sensitive to large losses if they are either properly adjusted or if the property is suitably localized.

 
Mon, 28 Oct 2024
15:30
L3

Higher Order Lipschitz Functions in Data Science

Dr Andrew Mcleod
(Mathematical Institute)
Abstract

The notion of Lip(gamma) Functions, for a parameter gamma > 0, introduced by Stein in the 1970s (building on earlier work of Whitney) is a notion of smoothness that is well-defined on arbitrary closed subsets (including, in particular, finite subsets) that is instrumental in the area of Rough Path Theory initiated by Lyons and central in recent works of Fefferman. Lip(gamma) functions provide a higher order notion of Lipschitz regularity that is well-defined on arbitrary closed subsets, and interacts well with the more classical notion of smoothness on open subsets. In this talk we will survey the historical development of Lip(gamma) functions and illustrate some fundamental properties that make them an attractive class of function to work with from a machine learning perspective. In particular, models learnt within the class of Lip(gamma) functions are well-suited for both inference on new unseen input data, and for allowing cost-effective inference via the use of sparse approximations found via interpolation-based reduction techniques. Parts of this talk will be based upon the works https://arxiv.org/abs/2404.06849 and https://arxiv.org/abs/2406.03232.

Mon, 21 Oct 2024
15:30
L3

Large deviations for the Φ^4_3 measure via Stochastic Quantisation

Dr Tom Klose
(Mathematical Institute)
Abstract
The Φ^4_3 measure is one of the easiest non-trivial examples of a Euclidean quantum field theory (EQFT) whose rigorous construction in the 1970's has been one of the celebrated achievements of the Constructive QFT community. In recent years, progress in the field of singular stochastic PDEs, initiated by the theory of regularity structures, has allowed for a new construction of the Φ^4_3 EQFT as the invariant measure of a previously ill-posed Langevin dynamics – a strategy originally proposed by Parisi and Wu ('81) under the name Stochastic Quantisation. In this talk, I will demonstrate that the same idea also allows to transfer the large deviation principle for the Φ^4_3 dynamics, obtained by Hairer and Weber ('15), to the corresponding EQFT. Our strategy is inspired by earlier works of Sowers ('92) and Cerrai and Röckner ('05) for non-singular dynamics and potentially also applies to other EQFT measures. This talk is based on joint work with Avi Mayorcas (University of Bath), see here: arXiv:2402.00975

 
Thu, 21 Nov 2024

12:00 - 13:00
L3

Tension-induced giant actuation in elastic sheets (Marc Sune) Deciphering Alzheimer's Disease: A Modelling Framework for In Silico Drug Trials (Georgia Brennan)

Dr Marc Suñé & Dr Georgia Brennan
(Mathematical Institute)
Abstract

Tension-induced giant actuation in elastic sheets

Dr. Marc Suñé

Buckling is normally associated with a compressive load applied to a slender structure; from railway tracks in extreme heat to microtubules in cytoplasm, axial compression is relieved by out-of-plane buckling. However, recent studies have demonstrated that tension applied to structured thin sheets leads to transverse motion that may be harnessed for novel applications, such as kirigami grippers, multi-stable `groovy-sheets', and elastic ribbed sheets that close into tubes. Qualitatively similar behaviour has also been observed in simulations of thermalized graphene sheets, where clamping along one edge leads to tilting in the transverse direction. I will discuss how this counter-intuitive behaviour is, in fact, generic for thin sheets that have a relatively low stretching modulus compared to the bending modulus, which allows `giant actuation' with moderate strain.

Thu, 17 Oct 2024

12:00 - 13:00
L3

Microswimmer motility and natural robustness in pattern formation: the emergence and explanation of non-standard multiscale phenomena

Mohit Dalwadi
(Mathematical Institute)
Abstract
In this talk I use applied mathematics to understand emergent multiscale phenomena arising in two fundamental problems in fluids and biology.
 
In the first part, I discuss an overarching question in developmental biology: how is it that cells are able to decode spatio-temporally varying signals into functionally robust patterns in the presence of confounding effects caused by unpredictable or heterogeneous environments? This is linked to the general idea first explored by Alan Turing in the 1950s. I present a general theory of pattern formation in the presence of spatio-temporal input variations, and use multiscale mathematics to show how biological systems can generate non-standard dynamic robustness for 'free' over physiologically relevant timescales. This work also has applications in pattern formation more generally.
 
In the second part, I investigate how the rapid motion of 3D microswimmers affects their emergent trajectories in shear flow. This is an active version of the classic fluid mechanics result of Jeffery's orbits for inert spheroids, first explored by George Jeffery in the 1920s. I show that the rapid short-scale motion exhibited by many microswimmers can have a significant effect on longer-scale trajectories, despite the common neglect of this motion in some mathematical models, and how to systematically incorporate this effect into modified versions of Jeffery's original equations.
Thu, 09 May 2024
16:00
L4

Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals

Owen Futter
(Mathematical Institute)
Further Information

Please join us for reshments outside the lecture room from 1530.

Abstract

In this seminar we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies in the joint signal-asset dynamics, naturally extending traditional factor models, while keeping the resulting formulas lightweight, tractable and easily interpretable. Specifically, we achieve this by representing a trading strategy as a linear functional applied to the signature of a path (which we refer to as “Signature Trading” or “Sig-Trading”). This allows the modeller to efficiently encode the evolution of past time-series observations into the optimisation problem. In particular, we derive a concise formulation of the dynamic mean-variance criterion alongside an explicit solution in our setting, which naturally incorporates a drawdown control in the optimal strategy over a finite time horizon. Secondly, we draw parallels between classical portfolio stategies and Sig-Trading strategies and explain how the latter leads to a pathwise extension of the classical setting via the “Signature Efficient Frontier”. Finally, we give explicit examples when trading under an exogenous signal as well as examples for momentum and pair-trading strategies, demonstrated both on synthetic and market data. Our framework combines the best of both worlds between classical theory (whose appeal lies in clear and concise formulae) and between modern, flexible data-driven methods (usually represented by ML approaches) that can handle more realistic datasets. The advantage of the added flexibility of the latter is that one can bypass common issues such as the accumulation of heteroskedastic and asymmetric residuals during the optimisation phase. Overall, Sig-Trading combines the flexibility of data-driven methods without compromising on the clarity of the classical theory and our presented results provide a compelling toolbox that yields superior results for a large class of trading strategies.

This is based on works with Blanka Horvath and Magnus Wiese.

Thu, 29 Feb 2024
16:00
L3

Martingale Benamou-Brenier: arthimetic and geometric Bass martingales

Professor Jan Obloj
(Mathematical Institute)
Further Information

Please join us for refreshments outside L3 from 1530.

Abstract

Optimal transport (OT) proves to be a powerful tool for non-parametric calibration: it allows us to take a favourite (non-calibrated) model and project it onto the space of all calibrated (martingale) models. The dual side of the problem leads to an HJB equation and a numerical algorithm to solve the projection. However, in general, this process is costly and leads to spiky vol surfaces. We are interested in special cases where the projection can be obtained semi-analytically. This leads us to the martingale equivalent of the seminal fluid-dynamics interpretation of the optimal transport (OT) problem developed by Benamou and Brenier. Specifically, given marginals, we look for the martingale which is the closest to a given archetypical model. If our archetype is the arithmetic Brownian motion, this gives the stretched Brownian motion (or the Bass martingale), studied previously by Backhoff-Veraguas, Beiglbock, Huesmann and Kallblad (and many others). Here we consider the financially more pertinent case of Black-Scholes (geometric BM) reference and show it can also be solved explicitly. In both cases, fast numerical algorithms are available.

Based on joint works with Julio Backhoff, Benjamin Joseph and Gregoire Leoper.  

This talk reports a work in progress. It will be done on a board.

Tue, 20 Feb 2024
11:00
Lecture room 5

The flow equation approach to singular SPDEs.

Massimiliano Gubinelli
(Mathematical Institute)
Abstract

I will give an overview of a recent method introduced by P. Duch to solve some subcritical singular SPDEs, in particular the stochastic quantisation equation for scalar fields. 

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