Mon, 16 May 2022

15:30 - 16:30
L2

Mean field games with common noise and arbitrary utilities

THALEIA ZARIPHOPOULOU
(Univerity of Texas at Austin)
Abstract

I will introduce a class of mean-field games under forward performance and for general risk preferences. Players interact through competition in fund management, driven by relative performance concerns in an asset diversification setting. This results in a common-noise mean field game. I will present the value and the optimal policies of such games, as well as some concrete examples. I will also discuss the partial information case, i.e.. when the risk premium is not directly observed. 

Thu, 12 May 2022

14:00 - 15:00
L3

Direct solvers for elliptic PDEs

Gunnar Martinsson
(Univerity of Texas at Austin)
Abstract

That the linear systems arising upon the discretization of elliptic PDEs can be solved efficiently is well-known, and iterative solvers that often attain linear complexity (multigrid, Krylov methods, etc) have proven very successful. Interestingly, it has recently been demonstrated that it is often possible to directly compute an approximate inverse to the coefficient matrix in linear (or close to linear) time. The talk will argue that such direct solvers have several compelling qualities, including improved stability and robustness, the ability to solve certain problems that have remained intractable to iterative methods, and dramatic improvements in speed in certain environments.

After a general introduction to the field, particular attention will be paid to a set of recently developed randomized algorithms that construct data sparse representations of large dense matrices that arise in scientific computations. These algorithms are entirely black box, and interact with the linear operator to be compressed only via the matrix-vector multiplication.

Thu, 15 Jun 2017
16:00
C5

A discussion of Lurie's proof of the cobordism hypothesis

Adrian Clough
(Univerity of Texas at Austin)
Abstract

Despite its fame there appears to be little literature outlining Lurie's proof sketched in his expository article "On the classification of topological field theories." I shall embark on the quixotic quest to explain how the cobordism hypothesis is formalised and give an overview of Lurie's proof in one hour. I will not be able to go into any of the motivation, but I promise to try to make the talk as accessible as possible. 

Fri, 11 May 2012

12:30 - 15:00
Oxford-Man Institute

Commodity Storage Valuation

Prof Kumar Muthuraman
(Univerity of Texas at Austin)
Abstract

We present a general valuation framework for commodity storage facilities, for non-perishable commodities. Modeling commodity prices with a mean reverting process we provide analytical expressions for the value obtainable from the storage for any admissible injection/withdrawal policy. Then we present an iterative numerical algorithm to find the optimal injection and withdrawal policies, along with the necessary theoretical guarantees for convergence. Together, the analytical expressions and the numerical algorithm present an extremely efficient way of solving not only commodity storage problems but in general the problem of optimally controlling a mean reverting processes with transaction costs.

Subscribe to Univerity of Texas at Austin