Oxford-Man Institute

 Abstract:  In this talk we will introduce a new particle approximation scheme to solve the stochastic filtering problem. This new scheme makes use of the Kusuoka-Lyons-Victoir (KLV) method to approximate the dynamics of the signal. In order to control the computational cost, a partial sampling procedure based on the tree based branching algorithm (TBBA) is performed. The novelty of the method lies in the fact that the weights used in the TBBA are computed combining the cubature weights and the filtering weights. In this way, we can avoid the sample degeneracy problem inherent to particle filters. We will also present some simulations showing the performance of the method.

It is a general belief that the heat kernels on fractals should exhibit highly oscillatory behaviors as opposed to the classical case of Riemannian manifolds.

For example, on a class of finitely ramified fractals, called (affine) nested fractals, a canonical ``Brownian motion" has been constructed and its transition density (heat kernel) $p_{t}(x,y)$ satisfies $c_{1} \leq t^{d_{s}/2} p_{t}(x,x) \leq c_{2}$ for $t \leq 1$ for any point $x$ of the fractal; here $d_{s}$ is the so-called spectral dimension. Then it is natural to ask whether the limit of this quantity as $t$ goes to 0 exists or not, and it has been conjectured NOT to exist by many people.

In this talk, I will present partial affirmative answers to this conjecture. First, for a general (affine) nested fractal, the non-existence of the limit is shown to be true for a ``generic" (in particular, almost every) point. Secondly, the same is shown to be valid for ANY point of the fractal in the particular cases of the $d$-dimensional standard Sierpinski gasket with $d\geq 2$ and of the $N$-polygasket with $N\geq 3$ odd, e.g. the pentagasket ($N=5$) and the heptagasket ($N=7$).

Abstract : The question adressed in this talk is the following one : how are the extreme eigenvalues of a matrix X moved by a small rank perturbation P of X ?
We shall consider this question in its generic apporach, i.e. when the matrices X and P are chosen at random independently and in isotropic ways.
We shall give a general answer, uncovering a remarkable phase transition phenomenon: the limit of the extreme eigenvalues of the perturbed matrix differs from the original matrix if and only if the eigenvalues of the perturbing matrix are above a certain critical threshold. We also examine the consequences of this eigenvalue phase transition on the associated eigenvectors and generalize our results to examine the case of multiplicative perturbations or of additive perturbations for the singular values of rectangular matrices.

Abstract: We will discuss systems of diffusion processes on the real line, in which the dynamics of every single process is determined by its rank in the entire particle system. Such systems arise in mathematical finance and statistical physics, and are related to heavy-traffic approximations of queueing networks. Motivated by the applications, we address questions about invariant distributions, convergence to equilibrium and concentration of measure for certain statistics, as well as hydrodynamic limits and large deviations for these particle systems. Parts of the talk are joint works with Amir Dembo, Tomoyuki Ichiba, Ioannis Karatzas, Soumik Pal and Ofer Zeitouni

Abstract: We will discuss systems of diffusion processes on the real line, in which the dynamics of every single process is determined by its rank in the entire particle system. Such systems arise in mathematical finance and statistical physics, and are related to heavy-traffic approximations of queueing networks. Motivated by the applications, we address questions about invariant distributions, convergence to equilibrium and concentration of measure for certain statistics, as well as hydrodynamic limits and large deviations for these particle systems. Parts of the talk are joint works with Amir Dembo, Tomoyuki Ichiba, Ioannis Karatzas, Soumik Pal and Ofer Zeitouni

In these two talks we will look at a recent paper by David Anderson and Des Higham: http://arxiv.org/pdf/1107.2181 This paper takes the Multilevel Monte Carlo method which I developed in 2006 for Brownian SDEs, and comes up with an elegant way of applying it to stochastic biochemical reaction networks.

In these two talks we will look at a recent paper by David Anderson and Des Higham: http://arxiv.org/pdf/1107.2181 This paper takes the Multilevel Monte Carlo method which I developed in 2006 for Brownian SDEs, and comes up with an elegant way of applying it to stochastic biochemical reaction networks.

In this meeting

NB: EXTRA SEMINAR THIS WEEK

Executives compensated with stock options generally receive grants periodically and so on

any given date, may have a portfolio of options of differing strikes and maturities on their

company’s stock. Non-transferability and trading restrictions in the company stock result in the executive facing unhedgeable risk. We employ exponential utility indifference pricing to analyse the optimal exercise thresholds for each option, option values and cost of the options to shareholders. Portfolio interaction effects mean that each of these differ, depending on the composition of the remainder of the portfolio. In particular, the cost to shareholders of an option portfolio is lowered relative to its cost computed on a per-option basis. The model can explain a number of empirical observations - which options are attractive to exercise first, how exercise changes following a new grant, and early exercise.

Joint work with Jia Sun and Elizabeth Whalley (WBS).

The Market Selection Hypothesis is a principle which (informally) proposes that `less knowledgeable' agents are eventually eliminated from the market. This elimination may take the form of starvation (the proportion of output consumed drops to zero), or may take the form of going broke (the proportion of asset held drops to zero), and these are not the same thing. Starvation may result from several causes, diverse beliefs being only one.We firstly identify and exclude these other possible causes, and then

prove that starvation is equivalent to inferior belief, under suitable technical conditions. On the other hand, going broke cannot be characterized solely in terms of beliefs, as we show. We next present a remarkable example with two agents with different beliefs, in which one agent starves yet amasses all the capital, and the other goes broke yet consumes all the output -- the hungry miser and the happy bankrupt.

This example also serves to show that although an agent may starve, he may have long-term impact on the prices. This relates to the notion of price impact introduced by Kogan et al (2009), which we correct in the final section, and then use to characterize situations where asymptotically equivalent

pricing holds.