L6

The aim of this lecture is to give a general introduction to

the interacting particle system and applications in finance, especially

in the pricing of American options. We survey the main techniques and

results on Snell envelope, and provide a general framework to analyse

these numerical methods. New algorithms are introduced and analysed

theoretically and numerically.

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We consider the pricing of American put options in a model-independent setting: that is, we do not assume that asset prices behave according to a given model, but aim to draw conclusions that hold in any model. We incorporate market information by supposing that the prices of European options are known. In this setting, we are able to provide conditions on the American Put prices which are necessary for the absence of arbitrage. Moreover, if we further assume that there are finitely many European and American options traded, then we are able to show that these conditions are also sufficient. To show sufficiency, we construct a model under which both American and European options are correctly priced at all strikes simultaneously. In particular, we need to carefully consider the optimal stopping strategy in the construction of our process. (Joint with Christoph Hoeggerl).

In this talk we are concerned with the stability of steady transonic shocks in supersonic flow around a wedge. 2-D and M-D potential stability will be presented.

This talk is based on the joint works with Prof. G.-Q. Chen, and Prof. S.X. Chen.

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We will present three different recent applications of cell motion in biology: (i) Movement of epithelial sheets and rosette formation, (ii) neural crest cell migrations, (iii) acid-mediated cancer cell invasion. While the talk will focus primarily on the biological application, it will be shown that all of these processes can be represented by reaction-diffusion equations with nonlinear diffusion term.

We prove existence of solution for evolutionary variational and quasivariational inequalities defined by a first order quasilinear operator and a variable convex set, characterized by a constraint on the absolute value of the gradient (which, in the quasi-variational case, depends on the solution itself). The only required assumption on the nonlinearity of this constraint is its continuity and positivity. The method relies on an appropriate parabolic regularization and suitable a priori estimates.

Uniqueness of solution is proved for the variational inequality. We also obtain existence of stationary solutions, by studying the asymptotic behaviour in time. We shall illustrate a simple “sand pile” example in the variational case for the transport operator were the problem is equivalent to a two-obstacles problem and the solution stabilizes in finite time. Further remarks about these properties of the solution will be presented.This is a joint work with Lisa Santos.

If times allows, using similar techniques, I shall also present the existence, uniqueness and continuous dependence of solutions of a new class of evolution variational inequalities for incompressible thick fluids. These non-Newtonian fluids with a maximum admissible shear rate may be considered as a limit class of shear-thickening or dilatant fluids, in particular, as the power limit of Ostwald-deWaele fluids.

Dislocations are line defects in crystals, and were first posited as the carriers of plastic flow in crystals in the 1934 papers of Orowan, Polanyi and Taylor. Their hypothesis has since been experimentally verified, but many details of their behaviour remain unknown. In this talk, I present joint work with Christoph Ortner on an infinite lattice model in which screw dislocations are free to be created and annihilated. We show that configurations containing single geometrically necessary dislocations exist as global minimisers of a variational problem, and hence are globally stable equilibria amongst all finite energy perturbations.

The use of tensed language and the metaphor of set "formation" found in informal descriptions of the iterative conception of set are seldom taken at all seriously. This talk offers an axiomatisation of the iterative conception in a bimodal language and presents some reasons to thus take the tense more seriously than usual (although not literally).