Thu, 11 Oct 2018

16:00 - 17:30
L4

Model-free version of the BDG inequality and its applications

Rafal Lochowski
(Warsaw School of Economics)
Abstract

In my talk I will briefly introduce model-free approach to mathematical finance, which uses Vovk's outer measure. Then, using pathwise BDG inequality obtained by Beigbloeck and Siorpaes and modification of Vovk's measure, I will present and prove a model-free version of this inequality for continuous price paths. Finally, I will discuss possible applications, like the existence and uniqueness of solutions of SDEs driven by continuous, model-free price paths. The talk will be based on the joint work with Farai Mhlanga and Lesiba Galane (University of Limpopo, South Africa)

Thu, 29 Nov 2018

13:00 - 14:00
L4

OPTIMAL CONTROL UNDER CONTROLLED-LOSS CONSTRAINTS VIA REACHABILITY APPROACH AND COMPACTIFICATION

Geraldine Bouveret
(Smith School of Enterprise and the Environment)
Abstract

We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for additional strong assumptions on the dynamics of the processes involved and the set of constraints. To treat this problem in absence of those assumptions, we first convert it into a state-constrained stochastic target problem and then apply a level-set approach to describe the reachable set. With this approach, the state constraints can be managed through an exact penalization technique. However, a new set of state and control variables enters the definition of this stochastic target problem. In particular, those controls are unbounded. A “compactification” of the problem is then performed. (joint work with Athena Picarelli)
 

Thu, 08 Nov 2018

13:00 - 14:00
L4

Talks by graduate students

Donovan Platt and Yufei Zhang (DPhil students)
(Oxford University)
Abstract

Donovan Platt
-------------
Economic Agent-Based Model Calibration

Interest in agent-based models of financial markets and the wider economy has increased consistently over the last few decades, in no small part due to their ability to reproduce a number of empirically-observed stylised facts that are not easily recovered by more traditional modelling approaches. Nevertheless, the agent-based modelling paradigm faces mounting criticism, focused particularly on the rigour of current validation and calibration practices, most of which remain qualitative and stylised fact-driven. While the literature on quantitative and data-driven approaches has seen significant expansion in recent years, most studies have focused on the introduction of new calibration methods that are neither benchmarked against existing alternatives nor rigorously tested in terms of the quality of the estimates they produce. We therefore compare a number of prominent ABM calibration methods, both established and novel, through a series of computational experiments in an attempt to determine the respective strengths and weaknesses of each approach and the overall quality of the resultant parameter estimates. We find that Bayesian estimation, though less popular in the literature, consistently outperforms frequentist, objective function-based approaches and results in reasonable parameter estimates in many contexts. Despite this, we also find that agent-based model calibration techniques require further development in order to definitively calibrate large-scale models.

Yufei Zhang
-----------
A penalty scheme and policy iteration for stochastic hybrid control problems with nonlinear expectations

We propose a penalty method for mixed optimal stopping and control problems where the objective is evaluated
by a nonlinear expectation. The solution and free boundary of an associated HJB variational inequality are constructed from a sequence
of penalized equations, for which the penalization error is estimated. The penalized equation is then discretized by a class of semi-implicit
monotone approximations. We further propose an efficient iterative algorithm with local superlinear convergence for solving the discrete
equation. Numerical experiments are presented for an optimal investment problem under ambiguity to demonstrate the effectiveness of
the new schemes.  Finally, we extend the penalty schemes to solve stochastic hybrid control problems involving impulse controls.

Thu, 18 Oct 2018

13:00 - 14:00
L4

Dynamic clearing and contagion in an Eisenberg-Noe framework

Zachary Feinstein
(Washington University in St. Louis)
Abstract

We will consider an extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics in both discrete and continuous time. Mathematical results on existence and uniqueness of firm wealths under discrete and continuous-time will be provided. The financial implications of time dynamics will be considered, with focus on how the dynamic clearing solutions differ from those of the static Eisenberg-Noe model.
 

Fri, 26 Apr 2019

11:45 - 13:15
L4

InFoMM CDT Group Meeting

Valentin Sulzer, Federico Danieli, Jonathan Peters, James Morrill
(Mathematical Institute)
Mon, 15 Oct 2018

16:00 - 17:00
L4

Nonlinear aggregation-diffusion equations in the diffusion-dominated and fair competitions regimes

Jose A. Carrillo
(Imperial College)
Abstract

We analyse under which conditions equilibration between two competing effects, repulsion modelled by nonlinear diffusion and attraction modelled by nonlocal interaction, occurs. I will discuss several regimes that appear in aggregation diffusion problems with homogeneous kernels. I will first concentrate in the fair competition case distinguishing among porous medium like cases and fast diffusion like ones. I will discuss the main qualitative properties in terms of stationary states and minimizers of the free energies. In particular, all the porous medium cases are critical while the fast diffusion are not. In the second part, I will discuss the diffusion dominated case in which this balance leads to continuous compactly supported radially decreasing equilibrium configurations for all masses. All stationary states with suitable regularity are shown to be radially symmetric by means of continuous Steiner symmetrisation techniques. Calculus of variations tools allow us to show the existence of global minimizers among these equilibria. Finally, in the particular case of Newtonian interaction in two dimensions they lead to uniqueness of equilibria for any given mass up to translation and to the convergence of solutions of the associated nonlinear aggregation-diffusion equations towards this unique equilibrium profile up to translations as time tends to infinity. This talk is based on works in collaboration with S. Hittmeir, B. Volzone and Y. Yao and with V. Calvez and F. Hoffmann.

Thu, 25 Oct 2018

14:00 - 15:00
L4

Augmented Arnoldi-Tikhonov Methods for Ill-posed Problems

Prof Kirk Soodhalter
(Trinity College Dublin)
Abstract

$$
\def\curl#1{\left\{#1\right\}}
\def\vek#1{\mathbf{#1}}
$$
lll-posed problems arise often in the context of scientific applications in which one cannot directly observe the object or quantity of interest. However, indirect observations or measurements can be made, and the observable data $y$ can be represented as the wanted observation $x$ being acted upon by an operator $\mathcal{A}$. Thus we want to solve the operator equation \begin{equation}\label{eqn.Txy} \mathcal{A} x = y, \end{equation} (1) often formulated in some Hilbert space $H$ with $\mathcal{A}:H\rightarrow H$ and $x,y\in H$. The difficulty then is that these problems are generally ill-posed, and thus $x$ does not depend continuously on the on the right-hand side. As $y$ is often derived from measurements, one has instead a perturbed $y^{\delta}$ such that ${y - y^{\delta}}_{H}<\delta$. Thus due to the ill-posedness, solving (1) with $y^{\delta}$ is not guaranteed to produce a meaningful solution. One such class of techniques to treat such problems are the Tikhonov-regularization methods. One seeks in reconstructing the solution to balance fidelity to the data against size of some functional evaluation of the reconstructed image (e.g., the norm of the reconstruction) to mitigate the effects of the ill-posedness. For some $\lambda>0$, we solve \begin{equation}\label{eqn.tikh} x_{\lambda} = \textrm{argmin}_{\widetilde{x}\in H}\left\lbrace{\left\|{b - A\widetilde{x}} \right\|_{H}^{2} + \lambda \left\|{\widetilde{x}}\right\|_{H}^{2}} \right\rbrace. \end{equation} In this talk, we discuss some new strategies for treating discretized versions of this problem. Here, we consider a discreditized, finite dimensional version of (1), \begin{equation}\label{eqn.Axb} Ax =  b \mbox{ with }  A\in \mathbb{R}^{n\times n}\mbox{ and } b\in\mathbb{R}^{n}, \end{equation} which inherits a discrete version of ill conditioning from [1]. We propose methods built on top of the Arnoldi-Tikhonov method of Lewis and Reichel, whereby one builds the Krylov subspace \begin{equation}
\mathcal{K}_{j}(\vek A,\vek w) = {\rm span\,}\curl{\vek w,\vek A\vek w,\vek A^{2}\vek w,\ldots,\vek A^{j-1}\vek w}\mbox{ where } \vek w\in\curl{\vek b,\vek A\vek b}
\end{equation}
and solves the discretized Tikhonov minimization problem projected onto that subspace. We propose to extend this strategy to setting of augmented Krylov subspace methods. Thus, we project onto a sum of subspaces of the form $\mathcal{U} + \mathcal{K}_{j}$ where $\mathcal{U}$ is a fixed subspace and $\mathcal{K}_{j}$ is a Krylov subspace. It turns out there are multiple ways to do this leading to different algorithms. We will explain how these different methods arise mathematically and demonstrate their effectiveness on a few example problems. Along the way, some new mathematical properties of the Arnoldi-Tikhonov method are also proven.

Thu, 18 Oct 2018

14:00 - 15:00
L4

Finite Size Effects — Random Matrices, Quantum Chaos, and Riemann Zeros

Prof Folkmar Bornemann
(TU Munich)
Abstract

Since the legendary 1972 encounter of H. Montgomery and F. Dyson at tea time in Princeton, a statistical correspondence of the non-trivial zeros of the Riemann Zeta function with eigenvalues of high-dimensional random matrices has emerged. Surrounded by many deep conjectures, there is a striking analogyto the energy levels of a quantum billiard system with chaotic dynamics. Thanks 
to extensive calculation of Riemann zeros by A. Odlyzko, overwhelming numerical evidence has been found for the quantum analogy. The statistical accuracy provided by an enormous dataset of more than one billion zeros reveals distinctive finite size effects. Using the physical analogy, a precise prediction of these effects was recently accomplished through the numerical evaluation of operator determinants and their perturbation series (joint work with P. Forrester and A. Mays, Melbourne).
 

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