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講演会
過去の記録 ～04/18｜次回の予定｜今後の予定 04/19～
過去の記録
2010年02月24日(水)
15:00-16:30 数理科学研究科棟(駒場) 370号室
Robert Penner 氏 (Aarhus University / University of Southern California)
Protein Moduli Space
Robert Penner 氏 (Aarhus University / University of Southern California)
Protein Moduli Space
[ 講演概要 ]
Recent joint works with J. E. Andersen and others
provide explicit discrete and continuous models
of protein geometry. These models are inspired
by corresponding constructions in the study of moduli
spaces of flat G-connections on surfaces, in particular,
for G=PSL(2,R) and G=SO(3). These models can be used
for protein classification as well as for folding prediction,
and computer experiments towards these ends will
be discussed.
Recent joint works with J. E. Andersen and others
provide explicit discrete and continuous models
of protein geometry. These models are inspired
by corresponding constructions in the study of moduli
spaces of flat G-connections on surfaces, in particular,
for G=PSL(2,R) and G=SO(3). These models can be used
for protein classification as well as for folding prediction,
and computer experiments towards these ends will
be discussed.
2010年02月23日(火)
14:00-15:00 数理科学研究科棟(駒場) 122号室
Bendong LOU 氏 (同済大学)
Homogenization Limit and Singular Limit of the Allen-Cahn equation
Bendong LOU 氏 (同済大学)
Homogenization Limit and Singular Limit of the Allen-Cahn equation
[ 講演概要 ]
We consider the Allen-Cahn equation in a cylinder with periodic undulating boundaries in the plane. Our problem involves two small parameters $\\delta$ and $\\epsilon$, where $\\delta$ appears in the equation to denote the scale of the singular limit and $\\epsilon$ appears in the boundary conditions to denote the scale of the homogenization limit. We consider the following two limiting processes:
(I): taking homogenization limit first and then taking singular limit;
(II) taking singular limit first and then taking homogenization limit.
We formally show that they both result in the same mean curvature flow equation, but with different boundary conditions.
We consider the Allen-Cahn equation in a cylinder with periodic undulating boundaries in the plane. Our problem involves two small parameters $\\delta$ and $\\epsilon$, where $\\delta$ appears in the equation to denote the scale of the singular limit and $\\epsilon$ appears in the boundary conditions to denote the scale of the homogenization limit. We consider the following two limiting processes:
(I): taking homogenization limit first and then taking singular limit;
(II) taking singular limit first and then taking homogenization limit.
We formally show that they both result in the same mean curvature flow equation, but with different boundary conditions.
2010年01月28日(木)
10:40-12:10 数理科学研究科棟(駒場) 123号室
Olivier Alvarez 氏 (Head of quantitative research, IRFX options Asia, BNP Paribas)
Partial differential equations in Finance I
Olivier Alvarez 氏 (Head of quantitative research, IRFX options Asia, BNP Paribas)
Partial differential equations in Finance I
[ 講演概要 ]
1. Markov processes and Partial differential equations (PDE)
- Markov processes, stochastic differential equations and infinitesimal generator
- The Feynman Kac formula and the backward Kolmogorov equation
- The maximum principle
- Exit time problems and Dirichlet boundary conditions
- Optimal time problems and obstacle problems
2. Application to the pricing of exotic options
- The model equation
- The Black-Scholes equation : absence of arbitrage and dynamical hedging
- Recovering the Black-Scholes formula
- Pricing exotic options : Knock-out / knock-in, american, Asian, lookback
- Overview of affine models and semi-closed formulae
- Heston model : valuing European options
- The Hull White model for IR exotics : valuing zero-coupons, caplets and swaptions.
3. Finite difference methods in Finance
- Basic concepts for numerical schemes : consistency, stability, accuracy and
convergence; the Lax equivalence theorem
- Finite difference methods in dimension 1 : Explicit, implicit, Crank-Nicholson methods for the heat equation : overview, accuracy and convergence
Incorporating first-order derivatives : upwind derivative, stability
- Finite difference methods in dimension 2 : presentation of various schemes :explicit, implicit, alternating direction implicit (ADI), Hopscotch method
- Solving high dimensional linear systems :
LU decomposition, iterative methods
- Finite difference and Monte Carlo methods
4. Optimal control in finance
- Introduction to optimal control
- The dynamic programming principle and the Hamilton-Jacobi-Bellman equation
- The verification theorem and the determination of the optimal control policy
- Utility maximization and Merton's problem
- Pricing with uncertain parameters
- Pricing with transaction costs
- Finite difference methods for optimal control
1. Markov processes and Partial differential equations (PDE)
- Markov processes, stochastic differential equations and infinitesimal generator
- The Feynman Kac formula and the backward Kolmogorov equation
- The maximum principle
- Exit time problems and Dirichlet boundary conditions
- Optimal time problems and obstacle problems
2. Application to the pricing of exotic options
- The model equation
- The Black-Scholes equation : absence of arbitrage and dynamical hedging
- Recovering the Black-Scholes formula
- Pricing exotic options : Knock-out / knock-in, american, Asian, lookback
- Overview of affine models and semi-closed formulae
- Heston model : valuing European options
- The Hull White model for IR exotics : valuing zero-coupons, caplets and swaptions.
3. Finite difference methods in Finance
- Basic concepts for numerical schemes : consistency, stability, accuracy and
convergence; the Lax equivalence theorem
- Finite difference methods in dimension 1 : Explicit, implicit, Crank-Nicholson methods for the heat equation : overview, accuracy and convergence
Incorporating first-order derivatives : upwind derivative, stability
- Finite difference methods in dimension 2 : presentation of various schemes :explicit, implicit, alternating direction implicit (ADI), Hopscotch method
- Solving high dimensional linear systems :
LU decomposition, iterative methods
- Finite difference and Monte Carlo methods
4. Optimal control in finance
- Introduction to optimal control
- The dynamic programming principle and the Hamilton-Jacobi-Bellman equation
- The verification theorem and the determination of the optimal control policy
- Utility maximization and Merton's problem
- Pricing with uncertain parameters
- Pricing with transaction costs
- Finite difference methods for optimal control
2010年01月28日(木)
13:00-14:10 数理科学研究科棟(駒場) 122号室
Olivier Alvarez 氏 (Head of quantitative research, IRFX options Asia, BNP Paribas)
Partial differential equations in Finance II
Olivier Alvarez 氏 (Head of quantitative research, IRFX options Asia, BNP Paribas)
Partial differential equations in Finance II
[ 講演概要 ]
1. Markov processes and Partial differential equations (PDE)
- Markov processes, stochastic differential equations and infinitesimal generator
- The Feynman Kac formula and the backward Kolmogorov equation
- The maximum principle
- Exit time problems and Dirichlet boundary conditions
- Optimal time problems and obstacle problems
2. Application to the pricing of exotic options
- The model equation
- The Black-Scholes equation : absence of arbitrage and dynamical hedging
- Recovering the Black-Scholes formula
- Pricing exotic options : Knock-out / knock-in, american, Asian, lookback
- Overview of affine models and semi-closed formulae
- Heston model : valuing European options
- The Hull White model for IR exotics : valuing zero-coupons, caplets and swaptions.
3. Finite difference methods in Finance
- Basic concepts for numerical schemes : consistency, stability, accuracy and
convergence; the Lax equivalence theorem
- Finite difference methods in dimension 1 : Explicit, implicit, Crank-Nicholson methods for the heat equation : overview, accuracy and convergence
Incorporating first-order derivatives : upwind derivative, stability
- Finite difference methods in dimension 2 : presentation of various schemes :explicit, implicit, alternating direction implicit (ADI), Hopscotch method
- Solving high dimensional linear systems :
LU decomposition, iterative methods
- Finite difference and Monte Carlo methods
4. Optimal control in finance
- Introduction to optimal control
- The dynamic programming principle and the Hamilton-Jacobi-Bellman equation
- The verification theorem and the determination of the optimal control policy
- Utility maximization and Merton's problem
- Pricing with uncertain parameters
- Pricing with transaction costs
- Finite difference methods for optimal control
1. Markov processes and Partial differential equations (PDE)
- Markov processes, stochastic differential equations and infinitesimal generator
- The Feynman Kac formula and the backward Kolmogorov equation
- The maximum principle
- Exit time problems and Dirichlet boundary conditions
- Optimal time problems and obstacle problems
2. Application to the pricing of exotic options
- The model equation
- The Black-Scholes equation : absence of arbitrage and dynamical hedging
- Recovering the Black-Scholes formula
- Pricing exotic options : Knock-out / knock-in, american, Asian, lookback
- Overview of affine models and semi-closed formulae
- Heston model : valuing European options
- The Hull White model for IR exotics : valuing zero-coupons, caplets and swaptions.
3. Finite difference methods in Finance
- Basic concepts for numerical schemes : consistency, stability, accuracy and
convergence; the Lax equivalence theorem
- Finite difference methods in dimension 1 : Explicit, implicit, Crank-Nicholson methods for the heat equation : overview, accuracy and convergence
Incorporating first-order derivatives : upwind derivative, stability
- Finite difference methods in dimension 2 : presentation of various schemes :explicit, implicit, alternating direction implicit (ADI), Hopscotch method
- Solving high dimensional linear systems :
LU decomposition, iterative methods
- Finite difference and Monte Carlo methods
4. Optimal control in finance
- Introduction to optimal control
- The dynamic programming principle and the Hamilton-Jacobi-Bellman equation
- The verification theorem and the determination of the optimal control policy
- Utility maximization and Merton's problem
- Pricing with uncertain parameters
- Pricing with transaction costs
- Finite difference methods for optimal control
2010年01月26日(火)
16:30-18:00 数理科学研究科棟(駒場) 118号室
伊東一文 氏 (大学院数理科学研究科)
Fractional Evolution Equations and Applications 5
伊東一文 氏 (大学院数理科学研究科)
Fractional Evolution Equations and Applications 5
[ 講演概要 ]
In recent years increasing interests and considerable
researches have been given to the fractional differential equations both
in time and space variables.
These are due to the applications of the fractional calculus
to problems in a wide areas of physics and engineering science and a rapid
development of the corresponding theory. A motivating example includes
the so-called continuous time random walk process
and the Levy process model for the mathematical finance.
In this lecture we develop solution techniques based on the linear and
nonlinear semigroup theory and apply it to solve the associated inverse
and optimal control problems. The property and stability of the solutions
as well as numerical integration methods
are discussed. The lecture also covers the basis and application of the
so-called Crandall-Ligget theory and the locally quasi-dissipative
operator method developed by Kobayashi-Kobayashi-Oharu.
In recent years increasing interests and considerable
researches have been given to the fractional differential equations both
in time and space variables.
These are due to the applications of the fractional calculus
to problems in a wide areas of physics and engineering science and a rapid
development of the corresponding theory. A motivating example includes
the so-called continuous time random walk process
and the Levy process model for the mathematical finance.
In this lecture we develop solution techniques based on the linear and
nonlinear semigroup theory and apply it to solve the associated inverse
and optimal control problems. The property and stability of the solutions
as well as numerical integration methods
are discussed. The lecture also covers the basis and application of the
so-called Crandall-Ligget theory and the locally quasi-dissipative
operator method developed by Kobayashi-Kobayashi-Oharu.
2010年01月25日(月)
16:30-18:00 数理科学研究科棟(駒場) 056号室
伊東一文 氏 (大学院数理科学研究科)
Fractional Evolution Equations and Applications 4
伊東一文 氏 (大学院数理科学研究科)
Fractional Evolution Equations and Applications 4
[ 講演概要 ]
In recent years increasing interests and considerable
researches have been given to the fractional differential equations both
in time and space variables.
These are due to the applications of the fractional calculus
to problems in a wide areas of physics and engineering science and a rapid
development of the corresponding theory. A motivating example includes
the so-called continuous time random walk process
and the Levy process model for the mathematical finance.
In this lecture we develop solution techniques based on the linear and
nonlinear semigroup theory and apply it to solve the associated inverse
and optimal control problems. The property and stability of the solutions
as well as numerical integration methods
are discussed. The lecture also covers the basis and application of the
so-called Crandall-Ligget theory and the locally quasi-dissipative
operator method developed by Kobayashi-Kobayashi-Oharu.
In recent years increasing interests and considerable
researches have been given to the fractional differential equations both
in time and space variables.
These are due to the applications of the fractional calculus
to problems in a wide areas of physics and engineering science and a rapid
development of the corresponding theory. A motivating example includes
the so-called continuous time random walk process
and the Levy process model for the mathematical finance.
In this lecture we develop solution techniques based on the linear and
nonlinear semigroup theory and apply it to solve the associated inverse
and optimal control problems. The property and stability of the solutions
as well as numerical integration methods
are discussed. The lecture also covers the basis and application of the
so-called Crandall-Ligget theory and the locally quasi-dissipative
operator method developed by Kobayashi-Kobayashi-Oharu.
2010年01月22日(金)
16:30-18:00 数理科学研究科棟(駒場) 118号室
伊東一文 氏 (大学院数理科学研究科)
Fractional Evolution Equations and Applications 3
伊東一文 氏 (大学院数理科学研究科)
Fractional Evolution Equations and Applications 3
[ 講演概要 ]
In recent years increasing interests and considerable
researches have been given to the fractional differential equations both
in time and space variables.
These are due to the applications of the fractional calculus
to problems in a wide areas of physics and engineering science and a rapid
development of the corresponding theory. A motivating example includes
the so-called continuous time random walk process
and the Levy process model for the mathematical finance.
In this lecture we develop solution techniques based on the linear and
nonlinear semigroup theory and apply it to solve the associated inverse
and optimal control problems. The property and stability of the solutions
as well as numerical integration methods
are discussed. The lecture also covers the basis and application of the
so-called Crandall-Ligget theory and the locally quasi-dissipative
operator method developed by Kobayashi-Kobayashi-Oharu.
Nonlinear evolution equations, Crandall-Ligget theory,
Locally quasi-dissipative operators approach
In recent years increasing interests and considerable
researches have been given to the fractional differential equations both
in time and space variables.
These are due to the applications of the fractional calculus
to problems in a wide areas of physics and engineering science and a rapid
development of the corresponding theory. A motivating example includes
the so-called continuous time random walk process
and the Levy process model for the mathematical finance.
In this lecture we develop solution techniques based on the linear and
nonlinear semigroup theory and apply it to solve the associated inverse
and optimal control problems. The property and stability of the solutions
as well as numerical integration methods
are discussed. The lecture also covers the basis and application of the
so-called Crandall-Ligget theory and the locally quasi-dissipative
operator method developed by Kobayashi-Kobayashi-Oharu.
Nonlinear evolution equations, Crandall-Ligget theory,
Locally quasi-dissipative operators approach
2010年01月20日(水)
16:30-18:00 数理科学研究科棟(駒場) 118号室
伊東一文 氏 (大学院数理科学研究科)
Fractional Evolution Equations and Applications 2
伊東一文 氏 (大学院数理科学研究科)
Fractional Evolution Equations and Applications 2
[ 講演概要 ]
In recent years increasing interests and considerable
researches have been given to the fractional differential equations both
in time and space variables.
These are due to the applications of the fractional calculus
to problems in a wide areas of physics and engineering science and a rapid
development of the corresponding theory. A motivating example includes
the so-called continuous time random walk process
and the Levy process model for the mathematical finance.
In this lecture we develop solution techniques based on the linear and
nonlinear semigroup theory and apply it to solve the associated inverse
and optimal control problems. The property and stability of the solutions
as well as numerical integration methods
are discussed. The lecture also covers the basis and application of the
so-called Crandall-Ligget theory and the locally quasi-dissipative
operator method developed by Kobayashi-Kobayashi-Oharu.
Existence and Uniqueness by C_0 semigroup theory, dissipative linear
operator
and Hille-Yoshida, Trotter-Kato theory.
In recent years increasing interests and considerable
researches have been given to the fractional differential equations both
in time and space variables.
These are due to the applications of the fractional calculus
to problems in a wide areas of physics and engineering science and a rapid
development of the corresponding theory. A motivating example includes
the so-called continuous time random walk process
and the Levy process model for the mathematical finance.
In this lecture we develop solution techniques based on the linear and
nonlinear semigroup theory and apply it to solve the associated inverse
and optimal control problems. The property and stability of the solutions
as well as numerical integration methods
are discussed. The lecture also covers the basis and application of the
so-called Crandall-Ligget theory and the locally quasi-dissipative
operator method developed by Kobayashi-Kobayashi-Oharu.
Existence and Uniqueness by C_0 semigroup theory, dissipative linear
operator
and Hille-Yoshida, Trotter-Kato theory.
2010年01月19日(火)
16:30-18:00 数理科学研究科棟(駒場) 118号室
伊東一文 氏 (大学院数理科学研究科)
Fractional Evolution Equations and Applications 1
伊東一文 氏 (大学院数理科学研究科)
Fractional Evolution Equations and Applications 1
[ 講演概要 ]
In recent years increasing interests and considerable
researches have been given to the fractional differential equations both
in time and space variables.
These are due to the applications of the fractional calculus
to problems in a wide areas of physics and engineering science and a rapid
development of the corresponding theory. A motivating example includes
the so-called continuous time random walk process
and the Levy process model for the mathematical finance.
In this lecture we develop solution techniques based on the linear and
nonlinear semigroup theory and apply it to solve the associated inverse
and optimal control problems. The property and stability of the solutions
as well as numerical integration methods
are discussed. The lecture also covers the basis and application of the
so-called Crandall-Ligget theory and the locally quasi-dissipative
operator method developed by Kobayashi-Kobayashi-Oharu.
Motivation: Continuous time random walk (CTRW) process
Fractional differential equations in time and Mittag-Leffler functions
In recent years increasing interests and considerable
researches have been given to the fractional differential equations both
in time and space variables.
These are due to the applications of the fractional calculus
to problems in a wide areas of physics and engineering science and a rapid
development of the corresponding theory. A motivating example includes
the so-called continuous time random walk process
and the Levy process model for the mathematical finance.
In this lecture we develop solution techniques based on the linear and
nonlinear semigroup theory and apply it to solve the associated inverse
and optimal control problems. The property and stability of the solutions
as well as numerical integration methods
are discussed. The lecture also covers the basis and application of the
so-called Crandall-Ligget theory and the locally quasi-dissipative
operator method developed by Kobayashi-Kobayashi-Oharu.
Motivation: Continuous time random walk (CTRW) process
Fractional differential equations in time and Mittag-Leffler functions
2010年01月13日(水)
16:45-17:45 数理科学研究科棟(駒場) 128号室
Felix Rubin 氏 (Zurich 大学)
Scaled limit for the largest eigenvalue from the generalized Cauchy ensemble
Felix Rubin 氏 (Zurich 大学)
Scaled limit for the largest eigenvalue from the generalized Cauchy ensemble
2010年01月13日(水)
15:30-16:30 数理科学研究科棟(駒場) 128号室
Michael Allman 氏 (Warwick 大学)
Breaking the chain: slow versus fast pulling
Michael Allman 氏 (Warwick 大学)
Breaking the chain: slow versus fast pulling
2009年12月25日(金)
17:00-18:00 数理科学研究科棟(駒場) 370号室
Academician T. Sh. Kalmenov 氏 (Research Centre of Physics and Mathematics Almaty, Kazakhstan)
A criterion for the strong solvability of the mixed Cauchy problem for the Laplace equation
Academician T. Sh. Kalmenov 氏 (Research Centre of Physics and Mathematics Almaty, Kazakhstan)
A criterion for the strong solvability of the mixed Cauchy problem for the Laplace equation
2009年12月10日(木)
10:40-12:10 数理科学研究科棟(駒場) 128号室
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (9)
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (9)
2009年12月09日(水)
14:40-16:10 数理科学研究科棟(駒場) 128号室
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (8)
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (8)
2009年12月08日(火)
14:40-16:10 数理科学研究科棟(駒場) 128号室
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (7)
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (7)
2009年11月19日(木)
15:00-16:00 数理科学研究科棟(駒場) 123号室
阿部知行 氏 (東京大学大学院数理科学研究科)
数論的D加群の特性サイクルと分岐理論
阿部知行 氏 (東京大学大学院数理科学研究科)
数論的D加群の特性サイクルと分岐理論
2009年11月18日(水)
15:30-17:00 数理科学研究科棟(駒場) 128号室
Herbert Spohn 氏 (ミュンヘン工科大学・九州大学)
The stochastic Burgers equation and its discretization
Herbert Spohn 氏 (ミュンヘン工科大学・九州大学)
The stochastic Burgers equation and its discretization
2009年11月12日(木)
10:40-12:10 数理科学研究科棟(駒場) 128号室
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (6)
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (6)
2009年11月11日(水)
14:40-16:10 数理科学研究科棟(駒場) 128号室
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (5)
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (5)
2009年11月10日(火)
14:40-16:10 数理科学研究科棟(駒場) 128号室
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (4)
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (4)
2009年10月29日(木)
16:30-17:30 数理科学研究科棟(駒場) 270号室
Michael I. Tribelsky 氏 (MIREA (Technical University), Moscow, Russia)
Spectral properties of Nikolaevskiy chaos
Michael I. Tribelsky 氏 (MIREA (Technical University), Moscow, Russia)
Spectral properties of Nikolaevskiy chaos
2009年10月28日(水)
16:30-17:30 数理科学研究科棟(駒場) 370号室
Michael Ruzhansky 氏 (Imperial College, London)
Dispersive and Strichartz estimates for hyperbolic equations of general form
Michael Ruzhansky 氏 (Imperial College, London)
Dispersive and Strichartz estimates for hyperbolic equations of general form
2009年10月22日(木)
10:40-12:10 数理科学研究科棟(駒場) 128号室
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (3)
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (3)
2009年10月21日(水)
14:40-16:10 数理科学研究科棟(駒場) 128号室
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (2)
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (2)
2009年10月20日(火)
14:40-16:10 数理科学研究科棟(駒場) 128号室
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (1)
竹崎正道 氏 (UCLA)
冨田竹崎理論とその応用 (1)
