L1

We consider the dynamic casino gambling model initially proposed by Barberis (2012) and study the optimal stopping strategy of a pre-committing gambler with cumulative prospect theory (CPT) preferences. We illustrate how the strategies computed in Barberis (2012) can be strictly improved by reviewing the entire betting history or by tossing random coins, and explain that such improvement is possible because CPT preferences are not quasi-convex. Finally, we develop a systematic and analytical approach to finding the optimal strategy of the gambler. This is a joint work with Prof. Xue Dong He (Columbia University), Prof. Jan Obloj, and Prof. Xun Yu Zhou.

New simple methods of simulating multivariate diffusion bridges, approximately and exactly, are presented. Diffusion bridge simulation plays a fundamental role in simulation-based likelihood inference for stochastic differential equations. By a novel application of classical coupling methods, the new approach generalizes the one-dimensional bridge-simulation method proposed by Bladt and Sørensen (2014) to the multivariate setting. A method of simulating approximate, but often very accurate, diffusion bridges is proposed. These approximate bridges are used as proposal for easily implementable MCMC algorithms that produce exact diffusion bridges. The new method is more generally applicable than previous methods because it does not require the existence of a Lamperti transformation, which rarely exists for multivariate diffusions. Another advantage is that the new method works well for diffusion bridges in long intervals because the computational complexity of the method is linear in the length of the interval. The usefulness of the new method is illustrated by an application to Bayesian estimation for the multivariate hyperbolic diffusion model.

The lecture is based on joint work presented in Bladt, Finch and Sørensen (2014).References:

Bladt, M. and Sørensen, M. (2014): Simple simulation of diffusion bridges with application to likelihood inference for diffusions. Bernoulli, 20, 645-675.

Bladt, M., Finch, S. and Sørensen, M. (2014): Simulation of multivariate diffusion bridges. arXiv:1405.7728, pp. 1-30.

“Narrative and Proof”, is an interdisciplinary discussion where one of the UK's leading scientists, Marcus du Sautoy, will argue that mathematical proofs are not just number-based, but also rely on narrative. He will be joined by author Ben Okri, mathematician Roger Penrose, and literature expert Laura Marcus, to consider how narrative shapes the sciences as well as the arts.

The discussion will be chaired by Elleke Boehmer, Professor of World Literature in English, University of Oxford, and will be followed by audience questions and a drinks reception.

The event will take place from 5 to 6:30 pm on Tuesday 20 January 2015 at the Mathematical Institute, Radcliffe Observatory Quarter, Woodstock Road, Oxford. The event is free and open to all, but registration is recommended. 

Please click here to register.

This event is co-hosted by the Mathematical Institute and The Oxford Research Centre in the Humanities (TORCH), and celebrates the launch of TORCH’s Annual Headline Series 2014-15, Humanities and Science.
 

Oxford Mathematics Public Lectures

Inaugural Titchmarsh Lecture

10.03.15

Cédric Villani

Birth of an Idea: A Mathematical Adventure 

What goes on inside the mind of a mathematician? Where does inspiration come from? Cédric Villani will describe how he encountered obstacles and setbacks, losses of faith and even brushes with madness as he wrestled with the theorem that culminated in him winning the most prestigious prize in mathematics, the Fields Medal. Cédric will sign copies of his book after the lecture.

5pm

Lecture Theatre 1, Mathematical Institute, Andrew Wiles Building, Radcliffe Observatory Quarter, Woodstock Road, OX2 6GG

Please email @email to register

Cedric Villani is a Professor at the University of Lyon and Director of the Institut Henri Poincaré

Optimization methods for large-scale machine learning must confront a number of challenges that are unique to this discipline. In addition to being scalable, parallelizable and capable of handling nonlinearity (even non-convexity), they must also be good learning algorithms. These challenges have spurred a great amount of research that I will review, paying particular attention to variance reduction methods. I will propose a new algorithm of this kind and illustrate its performance on text and image classification problems.

Based upon our joint work with M. Marcolli, I will introduce some algebraic geometric models in cosmology related to the "boundaries" of space-time: Big Bang, Mixmaster Universe, and Roger Penrose's crossovers between aeons. We suggest to model the kinematics of Big Bang using the algebraic geometric (or analytic) blow up of a point $x$. This creates a boundary  which consists of the projective space of tangent directions to $x$ and possibly of the light cone of $x$. We argue that time on the boundary undergoes the Wick rotation and becomes purely imaginary. The Mixmaster (Bianchi IX) model of the early history of the universe is neatly explained in this picture by postulating that the reverse Wick rotation follows a hyperbolic geodesic connecting imaginary time axis to the real one. Roger Penrose's idea to see the Big Bang as a sign of crossover from "the end of the previous aeon" of the expanding and cooling Universe to the "beginning of the next aeon" is interpreted as an identification of a natural boundary of Minkowski space at infinity with the Bing Bang boundary.

We are pleased to announce that Andrew Wiles will present the inaugural Oxford Mathematics Christmas Public Lecture. Please register by emailing @email

Some physical and mathematical theories have the unfortunate feature that if one takes them at face value, many quantities of interest appear to be infinite! Various techniques, usually going under the common name of “renormalisation” have been developed over the years to address this, allowing mathematicians and physicists to tame these infinities. We will tip our toes into some of the mathematical aspects of these techniques and we will see how they have recently been used to make precise analytical statements about the solutions of some equations whose meaning was not even clear until recently.

The celebrated strong cosmic censorship conjecture in general relativity in particular suggests that the Cauchy horizon in the interior of the Kerr black hole is unstable and small perturbations would give rise to singularities. We present a recent result proving that the Cauchy horizon is stable in the sense that spacetime arising from data close to that of Kerr has a continuous metric up to the Cauchy horizon. We discuss its implications on the nature of the potential singularity in the interior of the black hole. This is joint work with Mihalis Dafermos.