Departmental Seminars & Events

We show the super-hedging duality for multi-action options which generalise American options to a larger space of actions (possibly uncountable) than {stop, continue}. We put ourselves in the framework of Bouchard & Nutz model relying on analytic measurable selection theorem. Finally we consider information delay on the action component of the product space. Information delay is expressed as a possibility to look into the future in the dual formulation. This is a joint work with Ivan Guo, Shidan Liu and Zhou Zhou.

The talk is based on joint work with Lasse Grimmelt. We prove a theorem that allows one to count solutions to determinant equations twisted by a periodic weight with high uniformity in the modulus. It is obtained by using spectral methods of $\operatorname{SL}_2(\mathbb{R})$ automorphic forms to study Poincaré series over congruence subgroups while keeping track of interactions between multiple orbits. This approach offers increased flexibility over the widely used sums of Kloosterman sums techniques. We give applications to correlations of the divisor function twisted by periodic functions and the fourth moment of Dirichlet $L$-functions on the critical line.

Periodic point clouds naturally arise when modelling large homogenous structures like crystals. They are naturally attributed with a map to a d-dimensional torus given by the quotient of translational symmetries, however there are many surprisingly subtle problems one encounters when studying their (persistent) homology. It turns out that bisheaves are a useful tool to study periodic data sets, as they unify several different approaches to study such spaces. The theory of bisheaves and persistent local systems was recently introduced by MacPherson and Patel as a method to study data with an attributed map to a manifold through the fibres of this map. The theory allows one to study the data locally, while also naturally being able to appeal to local systems of (co)sheaves to study the global behaviour of this data. It is particularly useful, as it permits a persistence theory which generalises the notion of persistent homology. In this talk I will present recent work on the theory and implementation of bisheaves and local systems to study 1-periodic simplicial complexes. Finally, I will outline current work on generalising this theory to study more general periodic systems for d-periodic simplicial complexes for d>1. 

This talk, based on joint work with Alexander Zlokapa, concerns Bayesian inference with neural networks. 

I will begin by presenting a result giving exact non-asymptotic formulas for Bayesian posteriors in deep linear networks. A key takeaway is the appearance of a novel scaling parameter, given by # data * depth / width, which controls the effective depth of the posterior in the limit of large model and dataset size. 

Additionally, I will explain some quite recent results on the role of this effective depth parameter in Bayesian inference with deep non-linear neural networks that have shaped activations.

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In this talk, we study concentration properties for laws of non-linear Gaussian functionals on metric spaces. Our focus lies on measures with non-Gaussian tail behaviour which are beyond the reach of Talagrand’s classical Transportation-Cost Inequalities (TCIs). Motivated by solutions of Rough Differential Equations and relying on a suitable contraction principle, we prove generalised TCIs for functionals that arise in the theory of regularity structures and, in particular, in the cases of rough volatility and the two-dimensional Parabolic Anderson Model. Our work also extends existing results on TCIs for diffusions driven by Gaussian processes.

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A graph $X$ is defined inductively to be $(a_0, . . . , a_{n−1})$-regular if $X$ is $a_0$-regular and for every vertex $v$ of $X$, the sphere of radius 1 around $v$ is an $(a_1, . . . , a_{n−1})$-regular graph. A family $F$ of graphs is said to be an expander family if there is a uniform lower bound on the Cheeger constant of all the graphs in $F$. 

After briefly (re)introducing Coxeter groups and their geometries, we will describe how they can be used to construct very regular polytopes, which in turn can yield highly regular graphs. We will then use the super-approximation machinery, whenever the Coxeter group is hyperbolic, to obtain the expansion of these families of graphs. As a result, we obtain interesting infinite families of highly regular expander graphs, some of which are related to the exceptional groups. 

The talk is based on work joint with Conder, Lubotzky, and Schillewaert. 

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Oka theory is about the validity of the h-principle in complex analysis and geometry. In this expository lecture, I will trace its main developments, from the classical results of Kiyoshi Oka (1939) and Hans Grauert (1958), through the seminal work of Mikhail Gromov (1989), to the introduction of Oka manifolds (2009) and the present state of knowledge. The lecture does not assume any prior exposure to this theory.

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What do fiber polymers and ice sheets have in common? They both flow with a directionally dependent - anisotropic - viscosity. This behaviour occurs in other geophysical flows, such as the Earth's mantle, where a material's microstructure affects its large-scale flow. In ice, the alignment of crystal orientations can cause the viscosity to vary by an order of magnitude, consequently having a strong impact on the flow of ice sheets and glaciers. However, the effect of anisotropy on large-scale flow is not well understood, due to a lack of understanding of a) the best physical approximations to model crystal orientations, and b) how crystal orientations affect rheology. In this work, we aim to address both these questions by linking rheology to crystal orientation predictions, and testing a range of models against observations from the Greenland ice sheet. The results show assuming all grains experience approximately the same stress provides realistic predictions, and we suggest a set of equations and parameters which can be used in large-scale models of ice sheets. 

In this talk, we discuss continuous in time dynamics for the problem of approaching the set of zeros of a single-valued monotone and continuous operator V . Such problems are motivated by minimax convexconcave and, in particular, by convex optimization problems with linear constraints. The central role is played by a second-order dynamical system that combines a vanishing damping term with the time derivative of V along the trajectory, which can be seen as an analogous of the Hessian-driven damping in case the operator is originating from a potential. We show that these methods exhibit fast convergence rates for kV (z(t))k as t ! +1, where z( ) denotes the generated trajectory, and for the restricted gap function, and that z( ) converges to a zero of the operator V . For the corresponding implicit and explicit discrete time models with Nesterov’s momentum, we prove that they share the asymptotic features of the continuous dynamics.

Extensions to variational inequalities and fixed-point problems are also addressed. The theoretical results are illustrated by numerical experiments on bilinear games and the training of generative adversarial networks.

In this seminar we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies in the joint signal-asset dynamics, naturally extending traditional factor models, while keeping the resulting formulas lightweight, tractable and easily interpretable. Specifically, we achieve this by representing a trading strategy as a linear functional applied to the signature of a path (which we refer to as “Signature Trading” or “Sig-Trading”). This allows the modeller to efficiently encode the evolution of past time-series observations into the optimisation problem. In particular, we derive a concise formulation of the dynamic mean-variance criterion alongside an explicit solution in our setting, which naturally incorporates a drawdown control in the optimal strategy over a finite time horizon. Secondly, we draw parallels between classical portfolio stategies and Sig-Trading strategies and explain how the latter leads to a pathwise extension of the classical setting via the “Signature Efficient Frontier”. Finally, we give explicit examples when trading under an exogenous signal as well as examples for momentum and pair-trading strategies, demonstrated both on synthetic and market data. Our framework combines the best of both worlds between classical theory (whose appeal lies in clear and concise formulae) and between modern, flexible data-driven methods (usually represented by ML approaches) that can handle more realistic datasets. The advantage of the added flexibility of the latter is that one can bypass common issues such as the accumulation of heteroskedastic and asymmetric residuals during the optimisation phase. Overall, Sig-Trading combines the flexibility of data-driven methods without compromising on the clarity of the classical theory and our presented results provide a compelling toolbox that yields superior results for a large class of trading strategies.

This is based on works with Blanka Horvath and Magnus Wiese.

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The role of tissue stiffness in controlling cell behaviours ranging from proliferation to signalling and activation is by now well accepted. A key focus of experimental studies into mechanotransduction are focal adhesions, localised patches of strong adhesion, where cell signalling has been established to occur. However, these adhesion sites themselves alter the mechanical equilibrium of the system determining the force balance and work done. To explore this I have developed an active matter continuum description of cellular contractility and will discuss recent results on the specific role of spatial positioning of adhesions in mechanotransduction. I show using energy arguments why the experimentally observed arrangements of focal adhesions develop and the implications this has for stiffness sensing and cellular contractility control. I will also show how adhesions play distinct roles in single cells and tissue layers respectively drawing on recent experimental work with Dr JR Davis (Manchester University) and Dr Nic Tapon (Crick Institute) with applications to epithelial layers and organoids.

What makes a good talk? This year, graduate students and postdocs will give a series talks on how to give talks! There may even be a small prize for the audience’s favourite.

If you’d like to have a go at informing, entertaining, or just have an axe to grind about a particularly bad talk you had to sit through, we’d love to hear from you (you can email Ric Wade or ask any of the organizers).
 

Data that have an intrinsic network structure can be found in various contexts, including social networks, biological systems (e.g., protein-protein interactions, neuronal networks), information networks (computer networks, wireless sensor networks),  economic networks, etc. As the amount of graphical data that is generated is increasingly large, compressing such data for storage, transmission, or efficient processing has become a topic of interest. In this talk, I will give an information theoretic perspective on graph compression. 

The focus will be on compression limits and their scaling with the size of the graph. For lossless compression, the Shannon entropy gives the fundamental lower limit on the expected length of any compressed representation. I will discuss the entropy of some common random graph models, with a particular emphasis on our results on the random geometric graph model. 

Then, I will talk about the problem of compressing a graph with side information, i.e., when an additional correlated graph is available at the decoder. Turning to lossy compression, where one accepts a certain amount of distortion between the original and reconstructed graphs, I will present theoretical limits to lossy compression that we obtained for the Erdős–Rényi and stochastic block models by using rate-distortion theory.

We consider the general framework of distributionally robust optimization under a martingale restriction. We provide explicit expressions for model risk sensitivities in this context by considering deviations in the Wasserstein distance and the corresponding adapted one. We also extend the dual formulation to this context.

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Course Overview
The course gives an introduction to a topic of current interest in Lorentzian geometic analysis and mathematical General Relativity: an approach to nonregular spacetimes based on a “metric” point of view.
 

Learning Outcomes
Becoming acquainted with Lorentzian length spaces, sectional and Ricci curvature bounds for non-regular Lorentzian spaces and the appropriate techniques.
 

Course Synopsis
Lecture 1a: Review of Lorentzian geometry, spaces of constant curvature, causality theory, singularity theorems.
Lecture 1b: Introduction to Lorentzian length spaces, timelike sectional curvature bounds.

Lecture 2a: Optimal transport, timelike Ricci curvature bounds
Lecture 2b: Sobolev calculus for time functions. Literature: [O’N83, KS18, CM20].
 

Reading group: Depending on student’s interest one could discuss the papers [GKS19, AGKS21, ABS22].

References
[ABS22] L. Aké Hau, S. Burgos, and D. A. Solis. Causal completions as Lorentzian pre-length spaces. General Relativity and Gravitation, 54(9), 2022. doi:10.1007/s10714-022-02980-x.
[AGKS21] S. B. Alexander, M. Graf, M. Kunzinger, and C. Sämann. Generalized cones as Lorentzian length spaces: Causality, curvature, and singularity theorems. Comm. Anal. Geom., to appear, 2021. doi:10.48550/arXiv.1909.09575. arXiv:1909.09575 [math.MG].
[CM20] F. Cavalletti and A. Mondino. Optimal transport in Lorentzian synthetic spaces, synthetic timelike Ricci curvature lower bounds and applications. Cambridge Journal of Mathematics, to appear, arXiv:2004.08934 [math.MG], 2020. doi:10.48550/arXiv.2004.08934.
[GKS19] J. D. E. Grant, M. Kunzinger, and C. Sämann. Inextendibility of spacetimes and Lorentzian length spaces. Ann. Global Anal. Geom., 55(1):133–147, 2019. doi:10.1007/s10455-018-9637-x.
[KS18] M. Kunzinger and C. Sämann. Lorentzian length spaces. Ann. Glob. Anal. Geom., 54(3):399–447, 2018. doi:10.1007/s10455-018-9633-1.
[O’N83] B. O’Neill. Semi-Riemannian geometry with applications to relativity, volume 103 of Pure and Applied Mathematics. Academic Press, Inc. [Harcourt Brace Jovanovich, Publishers], New York, 1983.

Should you be interested in taking part in the course, please send an email to @email  by 10 May 2024. 

In this talk, we present a graph discretized approximation scheme for diffusions with drift and killing on a complete Riemannian manifold M. More precisely, for a given Schrödinger operator with drift on M having the form A = — Δ — b + V , we introduce a family of discrete time random walks in the  ow generated by the drift b with killing on a sequence of proximity graphs, which are constructed by partitions cutting M into small pieces. As a main result, we prove that the drifted Schrodinger semigroup {e^—tA}_t≥0 is approximated by discrete semigroups generated by the family of random walks with a suitable scale change. This result gives a  nite dimensional summation approximation of a Feynman-Kac type functional integral over M. Furthermore, when M is compact, we also obtain a quantitative error estimate of the convergence.
This talk is based on a joint work with Satoshi Ishiwata (Yamagata University), and the full paper can be found on https://doi.org/10.1007/s00208-024-02809-9.

A cluster graph is a disjoint union of complete graphs. We consider the random $G(n,p)$ graph on $n$ vertices with connection probability $p$, conditioned on the rare event of being a cluster graph. There are three main motivations for our study.

1. For $p = 1/2$, each random cluster graph occurs with the same probability, resulting in the uniform distribution over set partitions. Interpreting such a partition as a graph adds additional structural information.
2. To study how the law of a well-studied object like $G(n,p)$ changes when conditioned on a rare event; an evidence of this fact is that the conditioned random graph overcomes a phase transition at $p=1/2$ (not present in the dense $G(n,p)$ model).
3. The original motivation was an application to community detection. Taking a random cluster graph as a model for a prior distribution of a partition into communities leads to significantly better community-detection performance.

This is joint work with Martijn Gösgens, Lukas Lüchtrath, Elena Magnanini and Élie de Panafieu.

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