L3

We introduce a method for estimating the roughness of a function based on a discrete sample, using the concept of normalized p-th variation along a sequence of partitions. We discuss the consistency of this estimator in a pathwise setting under high-frequency asymptotics. We investigate its finite sample performance for measuring the roughness of sample paths of stochastic processes using detailed numerical experiments based on sample paths of Fractional Brownian motion and other fractional processes.
We then apply this method to estimate the roughness of realized volatility signals based on high-frequency observations.
Through a detailed numerical experiment based on a stochastic volatility model, we show that even when instantaneous volatility has diffusive dynamics with the same roughness as Brownian motion, the realized volatility exhibits rougher behaviour corresponding to a Hurst exponent significantly smaller than 0.5. Similar behaviour is observed in financial data, which suggests that the origin of the roughness observed in realized volatility time-series lies in the `microstructure noise' rather than the volatility process itself.

Many PDE models encode fundamental physical, geometric and topological structures. These structures may be lost in discretisations, and preserving them on the discrete level is crucial for the stability and efficiency of numerical methods. The finite element exterior calculus (FEEC) is a framework for constructing and analysing structure-preserving numerical methods for PDEs with ideas from topology, homological algebra and the Hodge theory. 

In this seminar, we present the theory and applications of FEEC. This includes analytic results (Hodge decomposition, regular potentials, compactness etc.), Hodge-Laplacian problems and their structure-preserving finite element discretisation, and applications in electromagnetism, fluid and solid mechanics. Knowledge on geometry and topology is not required as prerequisites.

References:

1. Arnold, D.N.: Finite Element Exterior Calculus. SIAM (2018) 

2. Arnold, D.N., Falk, R.S., Winther, R.: Finite element exterior calculus, homological techniques, and applications. Acta Numerica 15, 1 (2006) 

3. Arnold, D.N., Falk, R.S., Winther, R.: Finite element exterior calculus: from Hodge theory to numerical stability. Bulletin of the American Mathematical Society 47(2), 281–354 (2010) 

4. Arnold, D.N., Hu, K.: Complexes from complexes. Foundations of Computational Mathematics (2021)

Many PDE models encode fundamental physical, geometric and topological structures. These structures may be lost in discretisations, and preserving them on the discrete level is crucial for the stability and efficiency of numerical methods. The finite element exterior calculus (FEEC) is a framework for constructing and analysing structure-preserving numerical methods for PDEs with ideas from topology, homological algebra and the Hodge theory. 

In this seminar, we present the theory and applications of FEEC. This includes analytic results (Hodge decomposition, regular potentials, compactness etc.), Hodge-Laplacian problems and their structure-preserving finite element discretisation, and applications in electromagnetism, fluid and solid mechanics. Knowledge on geometry and topology is not required as prerequisites.

References:

1. Arnold, D.N.: Finite Element Exterior Calculus. SIAM (2018) 

2. Arnold, D.N., Falk, R.S., Winther, R.: Finite element exterior calculus, homological techniques, and applications. Acta Numerica 15, 1 (2006) 

3. Arnold, D.N., Falk, R.S., Winther, R.: Finite element exterior calculus: from Hodge theory to numerical stability. Bulletin of the American Mathematical Society 47(2), 281–354 (2010) 

4. Arnold, D.N., Hu, K.: Complexes from complexes. Foundations of Computational Mathematics (2021)

Let $G$ be a finitely presented residually finite group. We are interested in the growth of size of the torsion of $H^{ab}$ as a function of $|G:H|$ where $H$ ranges over normal subgroups of finite index in $G$. It is easy to see that this grows at most exponentially in terms of $|G:H|$. Of particular interest is the case when $G$ is an arithmetic hyperbolic 3-manifold group and $H$ ranges over its congruence subgroups. Proving exponential lower bounds on the torsion appears to be difficult and in this talk I will focus on the situation of finitely presented pro-$p$ groups.

In contrast with abstract groups I will show that in finitely presented pro-$p$ groups torsion in the abelianizations can grow arbitrarily fast. The examples are rather 'large' pro-$p$ groups, in particular they are virtually Golod-Shafarevich. When we restrict to $p$-adic analytic groups the torsion growth is at most polynomial.

Classical approaches to optimal portfolio selection problems are based 
on probabilistic models for the asset returns or prices. However, by 
now it is well observed that the performance of optimal portfolios are 
highly sensitive to model misspecifications. To account for various 
type of model risk, robust and model-free approaches have gained more 
and more importance in portfolio theory. Based on a rough path 
foundation, we develop a model-free approach to stochastic portfolio 
theory and Cover's universal portfolio. The use of rough path theory 
allows treating significantly more general portfolios in a model-free 
setting, compared to previous model-free approaches. Without the 
assumption of any underlying probabilistic model, we present pathwise 
Master formulae analogously to the classical ones in stochastic 
portfolio theory, describing the growth of wealth processes generated 
by pathwise portfolios relative to the wealth process of the market 
portfolio, and we show that the appropriately scaled asymptotic growth 
rate of Cover's universal portfolio is equal to the one of the best 
retrospectively chosen portfolio. The talk is based on joint work with 
Andrew Allan, Christa Cuchiero and Chong Liu.

 

 In this talk, we will present the tools of regularity structures to deal with singular stochastic PDEs that involve non-translation invariant differential operators. We describe in particular the renormalized equation for a very large class of spacetime dependent renormalization schemes. Our approach bypasses the previous approaches in the translation-invariant setting. This is joint work with Ismael Bailleul.

Given a point and a loop in the plane, one can define a relative integer which counts how many times the curve winds around the point. We will discuss how this winding function, defined for almost every points in the plane, allows to define some integrals along the loop. Then, we will investigate some properties of it when the loop is Brownian.
In particular, we will explain how to recover data such as the Lévy area of the curve and its occupation measure, based on the values of the winding of uniformly distributed points on the plane.

I will present recent results on the statistical behaviour of a large number of weakly interacting diffusion processes evolving under the influence of a periodic interaction potential. We study the combined mean field and diffusive (homogenisation) limits. In particular, we show that these two limits do not commute if the mean field system constrained on the torus undergoes a phase transition, i.e., if it admits more than one steady state. A typical example of such a system on the torus is given by mean field plane rotator (XY, Heisenberg, O(2)) model. As a by-product of our main results, we also analyse the energetic consequences of the central limit theorem for fluctuations around the mean field limit and derive optimal rates of convergence in relative entropy of the Gibbs measure to the (unique) limit of the mean field energy below the critical temperature. This is joint work with Matias Delgadino (U Texas Austin) and Rishabh Gvalani (MPI Leipzig).

Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting underlying financial constraints and while being practically implementable. We derive a state space for prices which are free from static (or model-independent) arbitrage and study the inference problem where a model is learnt from discrete time series data of stock and option prices. We use neural networks as function approximators for the drift and diffusion of the modelled SDE system, and impose constraints on the neural nets such that no-arbitrage conditions are preserved. In particular, we give methods to calibrate neural SDE models which are guaranteed to satisfy a set of linear inequalities. We validate our approach with numerical experiments using data generated from a Heston stochastic local volatility model, and will discuss some initial results using real data.

Based on joint work with Christoph Reisinger and Sheng Wang

 In this talk, we show some recent results related to the study of mechanical instabilities in slender structures. First, we propose a model of metamaterial sheets inspired by the pellicle of Euglenids, unicellular organisms capable of swimming due to their ability of changing their shape. These structures are composed of interlocking elastic rods which can freely slide along their edges. We characterize the kinematics and the mechanics of these structures using the special Cosserat theory of rods and by assuming axisymmetric deformations of the tubular assembly. We also characterize the mechanics of a single elastic beam constrained to smoothly slide along a rigid support, where the distance between the rod midline and the constraint is fixed and finite. In the presence of a straight support, the rod can deform into shapes exhibiting helices and perversions, namely transition zones connecting together two helices with opposite chirality.

Finally, we develop a mathematical model of damaged axons based on the theory of continuum mechanics and nonlinear elasticity. In several pathological conditions, such as coronavirus infections, multiple sclerosis, Alzheimer's and Parkinson's diseases, the physiological shape of axons is altered and a periodic sequence of bulges appears. The axon is described as a cylinder composed of an inner passive part, called axoplasm, and an outer active cortex, composed mainly of F-actin and able to contract thanks to myosin-II motors. Through a linear stability analysis, we show that, as the shear modulus of the axoplasm diminishes due to the disruption of the cytoskeleton, the active contraction of the cortex makes the cylindrical configuration unstable to axisymmetric perturbations, leading to a beading pattern.