17:00
Large fields, Galois groups, and NIP fields
Abstract
Renormalisation group on Lorentzian manifolds using (p)AQFT
Abstract
I will start the talk by discussing renormlisation group in perturbative algebraic quantum field theory (pAQFT) and its non-perturbative incarnation acting on the Buchholz-Fredenhagen dynamical C*-algebra. I will also explain how pAQFT can be used to derive functional renormlisation group (FRG) equations that generalize Wetterich equations to globally hyperbolic Lorentzian manifolds and arbitrary states (beyond the usual FRG in the vacuum).
Mathematics behind perturbative quantisation of gauge theories on curved spacetimes
Abstract
Formation of clusters and coarsening in weakly interacting diffusions
Abstract
We study the clustering behavior of weakly interacting diffusions under the influence of sufficiently localized attractive interaction potentials on the one-dimensional torus. We describe how this clustering behavior is closely related to the presence of discontinuous phase transitions in the mean-field PDE. For local attractive interactions, we employ a new variant of the strict Riesz rearrangement inequality to prove that all global minimizers of the free energy are either uniform or single-cluster states, in the sense that they are symmetrically decreasing. We analyze different timescales for the particle system and the mean-field (McKean-Vlasov) PDE, arguing that while the particle system can exhibit coarsening by both coalescence and diffusive mass exchange between clusters, the clusters in the mean-field PDE are unable to move and coarsening occurs via the mass exchange of clusters. By introducing a new model for this mass exchange, we argue that the PDE exhibits dynamical metastability. We conclude by presenting careful numerical experiments that demonstrate the validity of our model.
Fractional Black-Scholes model and Girsanov transform for sub-diffusions
Abstract
We propose a novel Black-Scholes model under which the stock price processes are modeled by stochastic differential equations driven by sub-diffusions. The new framework can capture the less financial activity phenomenon during the bear markets while having the classical Black-Scholes model as its special case. The sub-diffusive spot market is arbitrage-free but is in general incomplete. We investigate the pricing for European-style contingent claims under this new model. For this, we study the Girsanov transform for sub-diffusions and use it to find risk-neutral probability measures for the new Black-Scholes model. Finally, we derive the explicit formula for the price of European call options and show that it can be determined by a partial differential equation (PDE) involving a fractional derivative in time, which we coin a time-fractional Black-Scholes PDE.