Seminar information archive

Seminar information archive ~02/22Today's seminar 02/23 | Future seminars 02/24~

2008/02/06

Seminar on Probability and Statistics

13:30-14:40   Room #056 (Graduate School of Math. Sci. Bldg.)
Jean JACOD (Universite Paris 6)
Estimation of the integrated volatility in presence of microstructure noise
[ Abstract ]
The aim is to estimate the integrated volatility of a process observed discretely, in the setting of high frequency data, and when there is a microstructure noise. We use a kind of pre-averaging approach, which is rate-optimal when the noise is i.i.d., and may probably be even variance-optimal for a good choice of the kernel involved. However, the main innovative aspect is that it accommodates other types of noise, and in particular the case where the observations are rounded values of the underlying process plus an additive noise.
[ Reference URL ]
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2007/17.html

Seminar on Probability and Statistics

14:50-16:00   Room #056 (Graduate School of Math. Sci. Bldg.)
Jean JACOD (Universite Paris 6)
Estimating the Degree of Activity of jumps in High Frequency Data
[ Abstract ]
Suppose that a continuous-time process X = (X_t )_{t >= 0} is observed at finitely many times, regularly spaced, on the fixed time interval [0, T ]. We suppose that this process is an It\\^o semimartingale, with a non-vanishing diffusion coefficient, and with jumps. The aim is to estimate the so-called ”Blumenthal-Getoor” index of the (partially observed) path on [0, T ], which is the (random) infimum of all reals r such that the sum \\sum_{s\\le T} |\\Delta X_s|^r is finite (\\Delta X_s denotes the jump size at time s). When X is a L'evy process, this infimum is non-random, and also independent of T , and has been introduced by Blumenthal and Getoor. Under appropriate assumptions, unfortunately rather restrictive, we provide an estimator, which is consistent when the step size between observations goes to 0, and satisfies in addition a Central Limit Theorem. We also show the (surprising) values that this estimator takes, when applied to real financial data.
[ Reference URL ]
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2007/18.html

Seminar on Probability and Statistics

16:20-17:30   Room #056 (Graduate School of Math. Sci. Bldg.)
竹原 浩太 (東京大学大学院経済学研究科)
A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options
[ Abstract ]
In this session we develop a general approximation scheme, henceforth called a hybrid asymptotic expansion scheme for the valuation of multi-factor European path-independent derivatives. Specifically, we apply it to pricing long-term currency options under a market model of interest rates and a general diffusion stochastic volatility model with jumps of spot exchange rates.

Our scheme is very effective for a type of models in which there exist correlations among all the factors whose dynamics are not necessarily affine nor even Markovian so long as the randomness is generated by Brownian motions. It can also handle models that include jump components under an assumption of their independence of the other random variables when the characteristic functions for the jump parts can be analytically obtained.

Moreover, the hybrid scheme develops Fourier transform method with an asymptotic expansion to utilize closed-form characteristic functions obtainable in parts of a model.

Our scheme also introduces a characteristic-function-based Monte Carlo simulation method with the asymptotic expansion as a control variable in order to make full use of analytical approximations by the asymptotic expansion and of closed-form characteristic functions.

Finally, a series of numerical examples shows the validity of our scheme.

(This is a collaborative research with Professor Akihiko Takahashi(Graduate School of Economics, The University of Tokyo).)
[ Reference URL ]
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2007/19.html

Mathematical Finance

18:00-19:30   Room #128 (Graduate School of Math. Sci. Bldg.)
Daniel Bloch ( )
Fast calibration of some Affine and Quadratic models with applications to derivatives on variance swaps

2008/01/31

Operator Algebra Seminars

16:30-18:00   Room #002 (Graduate School of Math. Sci. Bldg.)
見村万佐人 (東大数理)
A generalization of property (T) of SL(n,R)

Lectures

16:30-18:00   Room #118 (Graduate School of Math. Sci. Bldg.)
Luc Illusie (パリ南大学)
On Gabber's refined uniformization theorem and applications
[ Abstract ]
Gabber has announced the following theorem : if X is a noetherian quasi-excellent scheme, Z a nowhere dense closed subset, and l a prime number invertible on X, then, locally for the topology on schemes of finite type over X generated, up to thickenings, by proper surjective maps which are generically finite of degree prime to l and by Nisnevich covers, the pair (X,Z) can be uniformized, i. e. replaced by a pair (Y,D), where Y is regular and D a strict normal crossings divisor. The whole proof is not yet written. I will give an overview. The plan is :
1. Statement and reduction to the complete local case (techniques of approximation)
2. Refined partial algebraization of complete local noetherian rings
3. Reduction to the equivariant log regular case (de Jong's techniques)
4. Making actions very tame, end of proof.
If time permits, I will show how the above theorem provides a short proof of Gabber's finiteness theorem for higher direct images of constructible sheaves of torsion prime to the characteristics by morphisms of finite type between quasi-excellent noetherian schemes.

2008/01/30

Number Theory Seminar

16:30-17:30   Room #117 (Graduate School of Math. Sci. Bldg.)
Luc Illusie (Universite Paris-Sud 11)
Odds and ends on finite group actions and traces
[ Abstract ]
Suppose a finite group G acts on a scheme X separated and of finite type over a field k. This raises several questions about the traces of elements s of G (or more generally products sg, for g in the Galois group of k) on cohomology groups of various types associated with X/k (with compact support or no support, Betti if k = C, l-adic, rigid). Some were considered and solved long ago, others only recently. I will in particular discuss an equivariant generalization of a theorem of Laumon on Euler-Poincar¥'e characteristics.

PDE Real Analysis Seminar

10:30-11:30   Room #056 (Graduate School of Math. Sci. Bldg.)
Oleg Yu. Emanouilov (Colorado State University)
Carleman estimates for parabolic equations, a Stokes system and the Navier-Stokes equations and applications to the control problem
[ Abstract ]
We prove a new Carleman estimate for general linear second order parabolic equation with nonhomogeneous boundary conditions. On basis of this estimate we obtain an improved Carleman estimate for the Stokes system and a system of parabolic equations with a parameter which can be viewed as an approximation of the Stokes system. We will discuss the applications to the control problem for these systems.

2008/01/29

Algebraic Geometry Seminar

10:00-12:00   Room #128 (Graduate School of Math. Sci. Bldg.)
Dmitry KALEDIN (Steklov研究所, 東大数理)
Homological methods in non-commutative geometry, part 11 (last lecture)
[ Reference URL ]
http://imperium.lenin.ru/~kaledin/math/tokyo/

Tuesday Seminar on Topology

16:30-18:30   Room #056 (Graduate School of Math. Sci. Bldg.)
松田 能文 (東京大学大学院数理科学研究科) 16:30-17:30
The rotation number function on groups of circle diffeomorphisms
[ Abstract ]
ポアンカレは、円周の向きを保つ同相写像に対して、回転数の有理性と有限軌道の存在が
同値であることを示した。この講演では、この事実が円周の向きを保つ同相写像のなすあ
る種の群に対して一般化できることを説明する。特に、円周の向きを保つ実解析的微分同
相のなす非離散的な群に対して、回転数関数による像の有限性と有限軌道の存在が同値で
あることを示す。
木村 康人 (東京大学大学院数理科学研究科) 17:30-18:30
A Diagrammatic Construction of Third Homology Classes of Knot Quandles
[ Abstract ]
There exists a family of third (quandle / rack) homology classes,
called the shadow (fundamental / diagram) classes,
of the knot quandle, which are obtained from
the shadow colourings of knot diagrams.
We will show the construction of these homology classes,
and also show their relation to the shadow quandle cocycle
invariants of knots and that to other third homology classes.

2008/01/28

Seminar on Geometric Complex Analysis

10:30-12:00   Room #128 (Graduate School of Math. Sci. Bldg.)
都丸 正 (群馬大学)
閉リーマン面の$\mathbf{C}^{*}$-作用付き退化族と$\mathbf{C}^{*}$-作用付き複素2次元特異点

2008/01/25

Colloquium

17:00-18:00   Room #123 (Graduate School of Math. Sci. Bldg.)
齊藤宣一 (東京大学数理科学)
Keller-Segel系に対する保存的上流有限要素法
[ Abstract ]
非線形放物型偏微分方程式系に対して、有限要素法による数値解法を考え、スキーム構成の勘所と誤差解析の最近の動向についてお話したい。具体的な例としては、細胞性粘菌の凝集現象を記述するモデルとして広く知られるKeller-Segel(KS)系とその保存的上流有限要素法を取り上げる。このスキームは、KS系の解の基本性質である正値性保存と質量保存を厳密に再現し、解が凝集による集中化を起こしても安定に計算が遂行できる。さらに、離散 $L^p$ 空間における離散的解析半群の理論を応用して、陽的な誤差評価が導出される。

2008/01/24

Applied Analysis

16:00-17:30   Room #126 (Graduate School of Math. Sci. Bldg.)
Radu IGNAT (パリ南大学(オルセー))
A compactness result in micromagnetics
[ Abstract ]
We study a model for the magnetization in thin ferromagnetic films. It comes as a variational problem, depending on two parameters, for maps with values into the unit sphere. There is a physical prediction for the optimal configuration of the magnetization called the Landau state. Our goal is to prove compactness of the Landau state. This is a joint work with Felix Otto.

2008/01/23

Number Theory Seminar

16:30-17:30   Room #117 (Graduate School of Math. Sci. Bldg.)
Weizhe Zheng (Universite Paris-Sud 11)
Integrality, Rationality, and Independence of l in l-adic Cohomology over Local Fields
[ Abstract ]
I will discuss two problems on traces in l-adic cohomology over local fields with finite residue field. In the first part, I will describe the behavior of integral complexes of l-adic sheaves under Grothendieck's six operations and the nearby cycle functor. In the second part, I will talk about rationality and independence of l. More precisely, I will introduce a notion of compatibility for systems of l-adic complexes and explain the proof of its stability by the above operations, in a slightly more general context (equivariant under finite groups). The main tool in this talk is a theorem of de Jong on
alterations.

Mathematical Finance

17:30-19:00   Room #128 (Graduate School of Math. Sci. Bldg.)
二宮 真理子 (東京大)
確率微分方程式に対するRunge-Kutta法を用いた新たな弱近似手法

2008/01/22

Tuesday Seminar of Analysis

16:30-18:00   Room #128 (Graduate School of Math. Sci. Bldg.)
Serge Richard (Univ. Lyon 1)
Magnetic Schroedinger operators and twisted crossed product
[ Abstract ]
During this seminar, we shall study spectral properties of generalized
magnetic Schroedinger operators H(B,V) with anisotropic magnetic field B
and scalar potential V. The essential spectrum of such operators is
expressed as a union of spectra of some asymptotic operators supported by
the quasi-orbits of a suitable dynamical system. A localization property
of the functional calculus of H(B,V) will also be presented. It directly
implies a non-propagation result for the unitary group generated by this
operator. The proofs rely on the use of twisted crossed product
C*-algebras. Twisted dynamical systems and their corresponding algebras
will be introduced and the natural link with magnetic Schroedinger
operators will be clearly established.

Lie Groups and Representation Theory

16:30-18:00   Room #126 (Graduate School of Math. Sci. Bldg.)
大島 利雄 (東京大学)
Connecion problems for Fuchsian differential equations free from accessory parameters
[ Abstract ]
The classification of Fuchsian equations without accessory parameters was formulated as Deligne-Simpson problem, which was solved by Katz and they are studied by Haraoka and Yokoyama.
If the number of singular points of such equations is three, they have no geometric moduli.
We give a unified connection formula for such differential equations as a conjecture and show that it is true for the equations whose local monodromy at a singular point has distinct eigenvalues.
Other Fuchsian differential equations with accessory parameters and hypergeometric functions with multi-variables are also discussed.
[ Reference URL ]
http://akagi.ms.u-tokyo.ac.jp/seminar.html

Algebraic Geometry Seminar

10:00-12:00   Room #128 (Graduate School of Math. Sci. Bldg.)
Dmitry KALEDIN (Steklov研究所, 東大数理)
Homological methods in non-commutative geometry, part 10
[ Reference URL ]
http://imperium.lenin.ru/~kaledin/math/tokyo/

Lectures

16:30-18:00   Room #118 (Graduate School of Math. Sci. Bldg.)
Luc Illusie (パリ南大学)
On Gabber's refined uniformization theorem and applications
[ Abstract ]
Gabber has announced the following theorem : if X is a noetherian quasi-excellent scheme, Z a nowhere dense closed subset, and l a prime number invertible on X, then, locally for the topology on schemes of finite type over X generated, up to thickenings, by proper surjective maps which are generically finite of degree prime to l and by Nisnevich covers, the pair (X,Z) can be uniformized, i. e. replaced by a pair (Y,D), where Y is regular and D a strict normal crossings divisor. The whole proof is not yet written. I will give an overview. The plan is :
1. Statement and reduction to the complete local case (techniques of approximation)
2. Refined partial algebraization of complete local noetherian rings
3. Reduction to the equivariant log regular case (de Jong's techniques)
4. Making actions very tame, end of proof.
If time permits, I will show how the above theorem provides a short proof of Gabber's finiteness theorem for higher direct images of constructible sheaves of torsion prime to the characteristics by morphisms of finite type between quasi-excellent noetherian schemes.

2008/01/21

Seminar on Geometric Complex Analysis

10:30-12:00   Room #128 (Graduate School of Math. Sci. Bldg.)
篠原知子 (都立産業技術高専)
周期的不定点に存在する不変曲線族の構成

Lectures

16:00-17:30   Room #126 (Graduate School of Math. Sci. Bldg.)
Torbjorn Lundh (Chalmers & Göteborg University)
Potential theory of funnels and wounds
[ Abstract ]
We will talk about a result concerning Green functions, namely the so called 3G-inequality, which I studied together with H. Aikawa. The focus of the talk will be on the description of the way to that result, where we among other tools used numerical methods to get a better intuitive understanding the situation. We will also discuss a possible potential theoretic view-point of an ancient wound healing question.

2008/01/17

Operator Algebra Seminars

16:30-18:00   Room #056 (Graduate School of Math. Sci. Bldg.)
山下真 (東大数理)
Cup product on the Periodic Cyclic Cohomology

Lie Groups and Representation Theory

17:00-18:00   Room #123 (Graduate School of Math. Sci. Bldg.)
手塚勝貴 (東大数理)
Proper actions of SL(2,R) on irreducible complex symmetric spaces
[ Abstract ]
We determine the irreducible complex symmetric spaces on which SL(2,R) acts properly. We use the T. Kobayashi's criterion for the proper actions. Also we use the symmetry or unsymmetry of the weighted Dynkin diagram of the theory of nilpotent orbits.
[ Reference URL ]
http://www.ms.u-tokyo.ac.jp/~toshi/seminar/ut-seminar.html

Lectures

16:30-18:00   Room #118 (Graduate School of Math. Sci. Bldg.)
Luc Illusie (パリ南大学)
On Gabber's refined uniformization theorem and applications
[ Abstract ]
Gabber has announced the following theorem : if X is a noetherian quasi-excellent scheme, Z a nowhere dense closed subset, and l a prime number invertible on X, then, locally for the topology on schemes of finite type over X generated, up to thickenings, by proper surjective maps which are generically finite of degree prime to l and by Nisnevich covers, the pair (X,Z) can be uniformized, i. e. replaced by a pair (Y,D), where Y is regular and D a strict normal crossings divisor. The whole proof is not yet written. I will give an overview. The plan is :
1. Statement and reduction to the complete local case (techniques of approximation)
2. Refined partial algebraization of complete local noetherian rings
3. Reduction to the equivariant log regular case (de Jong's techniques)
4. Making actions very tame, end of proof.
If time permits, I will show how the above theorem provides a short proof of Gabber's finiteness theorem for higher direct images of constructible sheaves of torsion prime to the characteristics by morphisms of finite type between quasi-excellent noetherian schemes.

2008/01/16

Seminar on Probability and Statistics

16:20-17:30   Room #122 (Graduate School of Math. Sci. Bldg.)
清水 泰隆 (大阪大学大学院 基礎工学研究科)
Implementation of a jump-detection method and applications to real markets
[ Abstract ]
株価の確率モデルとして,ジャンプ型拡散過程は収益率分布の裾の厚さを表現しうる モデルとして有用な候補の一つである.その際,離散データによる統計推測は,Mancini('03), Shimizu and Yoshida('06)らによるジャンプ検出フィルターを用いることで可能になる. Shimizu('07)は有限個の離散データからのフィルターの決定法を提案し,実データへの応用を 可能にした.本報告では,これらの手法を計算機に実装する際の問題点とその解決法について 議論した後,日経平均や為替の日次データにMerton('76), Kou('02)など,いくつかのジャンプ型 モデルを仮定して,ジャンプの検出とモデルフィッティングを試みる.
[ Reference URL ]
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2007/15.html

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