## Seminar information archive

Seminar information archive ～08/19｜Today's seminar 08/20 | Future seminars 08/21～

### 2015/10/03

#### Harmonic Analysis Komaba Seminar

13:00-18:00 Room #128 (Graduate School of Math. Sci. Bldg.)

Embedding relations between $L^p$--Sobolev and $\alpha$--modulation spaces

(日本語)

On multilinear Fourier multipliers with minimal Sobolev regularity

(日本語)

**Tomoya Kato**(Nagoya University) 13:30-15:00Embedding relations between $L^p$--Sobolev and $\alpha$--modulation spaces

(日本語)

**Naohito Tomita**(Osaka University) 15:30-17:00On multilinear Fourier multipliers with minimal Sobolev regularity

(日本語)

### 2015/10/02

#### Geometry Colloquium

10:00-11:30 Room #126 (Graduate School of Math. Sci. Bldg.)

Asymptotic stability for K¥"ahler-Ricci solitons (Japanese)

**Takahashi Ryosuke**(Nagoya University, Graduate School of Mathematics)Asymptotic stability for K¥"ahler-Ricci solitons (Japanese)

[ Abstract ]

K¥"ahler-Ricci solitons arise from the geometric analysis, such as Hamilton’s Ricci flow, and have been studied extensively in recent years. It is expected that the existence of a canonical metric is closely related to some GIT stability of manifolds. For instance, Donaldson showed that any cscK polarized manifold with discrete automorphisms admits a sequence of balanced metrics and this sequence converges to the cscK metric. In this talk, we explain that the same result holds for K¥ahler-Ricci solitons. This generalizes a previous work of Berman-Witt Nystr¥"om, and is an analogous result on asymptotic relative Chow stability for extremal metrics obtained by Mabuchi.

K¥"ahler-Ricci solitons arise from the geometric analysis, such as Hamilton’s Ricci flow, and have been studied extensively in recent years. It is expected that the existence of a canonical metric is closely related to some GIT stability of manifolds. For instance, Donaldson showed that any cscK polarized manifold with discrete automorphisms admits a sequence of balanced metrics and this sequence converges to the cscK metric. In this talk, we explain that the same result holds for K¥ahler-Ricci solitons. This generalizes a previous work of Berman-Witt Nystr¥"om, and is an analogous result on asymptotic relative Chow stability for extremal metrics obtained by Mabuchi.

### 2015/09/30

#### Number Theory Seminar

17:00-18:00 Room #056 (Graduate School of Math. Sci. Bldg.)

Stark points and p-adic iterated integrals attached to modular forms of weight one (English)

**Alan Lauder**(University of Oxford)Stark points and p-adic iterated integrals attached to modular forms of weight one (English)

[ Abstract ]

Given an elliptic curve over Q the only well-understood construction of global points is that of "Heegner points", which are defined over ring class fields of imaginary quadratic fields and are non-torsion only in rank one settings. I will present some new constructions and explicit formulae, in situations of rank one and two, of global points over ring class fields of real or imaginary quadratic fields, cyclotomic fields, and extensions of Q with Galois group A_4, S_4 or A_5. Our constructions and formulae are proven in certain cases - when they can be related to Heegner points - and conjectural, but supported by experimental evidence, otherwise. This is joint work with Henri Darmon and Victor Rotger.

Given an elliptic curve over Q the only well-understood construction of global points is that of "Heegner points", which are defined over ring class fields of imaginary quadratic fields and are non-torsion only in rank one settings. I will present some new constructions and explicit formulae, in situations of rank one and two, of global points over ring class fields of real or imaginary quadratic fields, cyclotomic fields, and extensions of Q with Galois group A_4, S_4 or A_5. Our constructions and formulae are proven in certain cases - when they can be related to Heegner points - and conjectural, but supported by experimental evidence, otherwise. This is joint work with Henri Darmon and Victor Rotger.

### 2015/09/29

#### PDE Real Analysis Seminar

10:30-11:30 Room #056 (Graduate School of Math. Sci. Bldg.)

Nonlocal self-improving properties (English)

**Tuomo Kuusi**(Aalto University)Nonlocal self-improving properties (English)

[ Abstract ]

The classical Gehring lemma for elliptic equations with measurable coefficients states that an energy solution, which is initially assumed to be $W^{1,2}$-Sobolev regular, is actually in a better Sobolev space space $W^{1,q}$ for some $q>2$. This is a consequence of a self-improving property that so-called reverse Hölder inequality implies. In the case of nonlocal equations a self-improving effect appears: Energy solutions are also more differentiable. This is a new, purely nonlocal phenomenon, which is not present in the local case. The proof relies on a nonlocal version of the Gehring lemma involving new exit time and dyadic decomposition arguments. This is a joint work with G. Mingione and Y. Sire.

The classical Gehring lemma for elliptic equations with measurable coefficients states that an energy solution, which is initially assumed to be $W^{1,2}$-Sobolev regular, is actually in a better Sobolev space space $W^{1,q}$ for some $q>2$. This is a consequence of a self-improving property that so-called reverse Hölder inequality implies. In the case of nonlocal equations a self-improving effect appears: Energy solutions are also more differentiable. This is a new, purely nonlocal phenomenon, which is not present in the local case. The proof relies on a nonlocal version of the Gehring lemma involving new exit time and dyadic decomposition arguments. This is a joint work with G. Mingione and Y. Sire.

#### Tuesday Seminar of Analysis

16:50-18:20 Room #126 (Graduate School of Math. Sci. Bldg.)

On the Phragmén-Lindelöf principle for holomorphic functions and factor classes of higher order complex forms in several complex variables

**Otto Liess**(University of Bologna, Italy)On the Phragmén-Lindelöf principle for holomorphic functions and factor classes of higher order complex forms in several complex variables

[ Abstract ]

In this talk we will discuss maximum principles in unbounded domains in one or several complex variables. We will mainly be interested in these principles for plurisubharmonic (in the one-dimensional case, "subharmonic") or holomorphic functions, when the principles are of

Phragmen-Lindel{＼"o}f principle (henceforth called "PL") type. It will turn out that for 2 or more complex variables it will be useful to study our principles together with associated principles for factor classes of complex (0,q) forms with growth type conditions at infinity.

In this abstract we only say something concerning the case of functions. We consider then an open set U in C^n in one or several complex variables. We assume that we are given two real-valued continuous functions f and g on U. We say that PL holds for plurisubharmonic (respectively for holomorphic) functions, if the following implication is true for every plurisubharmonic function $ ＼rho $ (respectively for every $ ＼rho $ of form log |h| with h holomorphic) on U: if we know that $ ＼rho ＼leq f$ on the boundary of U and if $ (＼rho - f)$ is bounded on U, then it must follow that $ ＼rho ＼leq g$ on U. ($＼rho ＼leq f$ on the boundary has the following meaning: for ever z in the boundary of U and for every sequence of points y_j in U which tends to z, we have limsup (＼rho - f)(y_j) leq 0.) A trivial condition under which PL is true, is when there exists a plurisubharmonic function u on U such that

(*) -g(z) ＼leq u(z) ＼leq - f(z) for every z in U.

In fact, if such a function exists, then we can apply the classical maximal principle for unbounded domains to the function $ ＼rho'= ＼rho+u$ to obtain at first $ ＼rho' ＼leq 0$ and then $ ＼rho ＼leq - u ＼leq g$. It is one of the main goals of the talk to explain how far (*) is from being also a necessary condition for PL. Some examples are intended to justify our approach and applications will be given to problems in convex analysis.

In this talk we will discuss maximum principles in unbounded domains in one or several complex variables. We will mainly be interested in these principles for plurisubharmonic (in the one-dimensional case, "subharmonic") or holomorphic functions, when the principles are of

Phragmen-Lindel{＼"o}f principle (henceforth called "PL") type. It will turn out that for 2 or more complex variables it will be useful to study our principles together with associated principles for factor classes of complex (0,q) forms with growth type conditions at infinity.

In this abstract we only say something concerning the case of functions. We consider then an open set U in C^n in one or several complex variables. We assume that we are given two real-valued continuous functions f and g on U. We say that PL holds for plurisubharmonic (respectively for holomorphic) functions, if the following implication is true for every plurisubharmonic function $ ＼rho $ (respectively for every $ ＼rho $ of form log |h| with h holomorphic) on U: if we know that $ ＼rho ＼leq f$ on the boundary of U and if $ (＼rho - f)$ is bounded on U, then it must follow that $ ＼rho ＼leq g$ on U. ($＼rho ＼leq f$ on the boundary has the following meaning: for ever z in the boundary of U and for every sequence of points y_j in U which tends to z, we have limsup (＼rho - f)(y_j) leq 0.) A trivial condition under which PL is true, is when there exists a plurisubharmonic function u on U such that

(*) -g(z) ＼leq u(z) ＼leq - f(z) for every z in U.

In fact, if such a function exists, then we can apply the classical maximal principle for unbounded domains to the function $ ＼rho'= ＼rho+u$ to obtain at first $ ＼rho' ＼leq 0$ and then $ ＼rho ＼leq - u ＼leq g$. It is one of the main goals of the talk to explain how far (*) is from being also a necessary condition for PL. Some examples are intended to justify our approach and applications will be given to problems in convex analysis.

### 2015/09/28

#### Seminar on Geometric Complex Analysis

10:30-12:00 Room #128 (Graduate School of Math. Sci. Bldg.)

Flat structures on moduli spaces of generalized complex surfaces

**Ryushi Goto**(Osaka University)Flat structures on moduli spaces of generalized complex surfaces

[ Abstract ]

The 2 dimensional complex projective space $P^2$ is rigid as a complex manifold, however $P^2$ admits 2 dimensional moduli spaces of generalized complex structures which has a torsion free flat connection on a open strata. We show that logarithmic generalized complex structure with smooth elliptic curve as type changing loci has unobstructed deformations which are parametrized by an open set of the second de Rham cohomology group of the complement of type changing loci. Then we will construct moduli spaces of generalized del Pezzo surfaces. We further investigate deformations of logarithmic generalized complex structures in the cases of type changing loci with singularities. By using types of singularities, we obtain a stratification of moduli spaces of generalized complex structures on complex surfaces and it turns out that each strata corresponding to nodes admits a flat torsion free connection.

The 2 dimensional complex projective space $P^2$ is rigid as a complex manifold, however $P^2$ admits 2 dimensional moduli spaces of generalized complex structures which has a torsion free flat connection on a open strata. We show that logarithmic generalized complex structure with smooth elliptic curve as type changing loci has unobstructed deformations which are parametrized by an open set of the second de Rham cohomology group of the complement of type changing loci. Then we will construct moduli spaces of generalized del Pezzo surfaces. We further investigate deformations of logarithmic generalized complex structures in the cases of type changing loci with singularities. By using types of singularities, we obtain a stratification of moduli spaces of generalized complex structures on complex surfaces and it turns out that each strata corresponding to nodes admits a flat torsion free connection.

#### Tokyo Probability Seminar

16:50-18:20 Room #128 (Graduate School of Math. Sci. Bldg.)

**Keiji Saito**(Faculty of Science and Technology, Keio University)### 2015/09/25

#### Colloquium

16:50-17:50 Room #大講義室 (Graduate School of Math. Sci. Bldg.)

Mean curvature flow with surgery

http://www.mfo.de/about-the-institute/staff/prof.-dr.-gerhard-huisken

**Gerhard Huisken**(The Mathematisches Forschungsinstitut Oberwolfach )Mean curvature flow with surgery

[ Abstract ]

We study the motion of hypersurfaces in a Riemannian manifold

with normal velocity equal to the mean curvature of the

evolving hypersurface. In general this quasilinear, parabolic

evolution system may have complicated singularities in finite time.

However, under natural assumptions such as embeddedness of the surface

and positivity of the mean curvature (case of 2-dimensional surfaces)

all singularities can be classified and developing "necks" can be

removed by a surgery procedure similar to techniques employed

by Hamilton and Perelman in the Ricci-flow of Riemannian metrics.

The lecture describes results and techniques for mean curvature flow

with surgery developed in joint work with C. Sinestrari and S. Brendle.

[ Reference URL ]We study the motion of hypersurfaces in a Riemannian manifold

with normal velocity equal to the mean curvature of the

evolving hypersurface. In general this quasilinear, parabolic

evolution system may have complicated singularities in finite time.

However, under natural assumptions such as embeddedness of the surface

and positivity of the mean curvature (case of 2-dimensional surfaces)

all singularities can be classified and developing "necks" can be

removed by a surgery procedure similar to techniques employed

by Hamilton and Perelman in the Ricci-flow of Riemannian metrics.

The lecture describes results and techniques for mean curvature flow

with surgery developed in joint work with C. Sinestrari and S. Brendle.

http://www.mfo.de/about-the-institute/staff/prof.-dr.-gerhard-huisken

#### Classical Analysis

16:00-17:00 Room #126 (Graduate School of Math. Sci. Bldg.)

Confluence of general Schlesinger systems from the viewpoint of Twistor theory (JAPANESE)

**Damiran Tseveennamjil**(Mongolian University of Life Sciences)Confluence of general Schlesinger systems from the viewpoint of Twistor theory (JAPANESE)

### 2015/09/17

#### Seminar on Probability and Statistics

15:00-16:10 Room #052 (Graduate School of Math. Sci. Bldg.)

The use of S4 classes and methods in the Yuima R package

**Stefano Iacus**(University of Milan)The use of S4 classes and methods in the Yuima R package

[ Abstract ]

In this talk we present the basic concept of S4 classes and methods approach for object oriented programming in R. As a working example, we introduce the structure of the Yuima package for simulation and inference of stochastic differential equations. We will describe the basic classes and objects as well as some recent extensions which allows for Carma and Co-Garch processes handling in Yuima.

In this talk we present the basic concept of S4 classes and methods approach for object oriented programming in R. As a working example, we introduce the structure of the Yuima package for simulation and inference of stochastic differential equations. We will describe the basic classes and objects as well as some recent extensions which allows for Carma and Co-Garch processes handling in Yuima.

#### Infinite Analysis Seminar Tokyo

14:00-15:30 Room #002 (Graduate School of Math. Sci. Bldg.)

Classifying simple modules at admissible levels through

symmetric polynomials (ENGLISH)

**Simon Wood**(The Australian National University)Classifying simple modules at admissible levels through

symmetric polynomials (ENGLISH)

[ Abstract ]

From infinite dimensional Lie algebras such as the Virasoro

algebra or affine Lie (super)algebras one can construct universal

vertex operator algebras. These vertex operator algebras are simple at

generic central charges or levels and only contain proper ideals at so

called admissible levels. The simple quotient vertex operator algebras

at these admissible levels are called minimal model algebras. In this

talk I will present free field realisations of the universal vertex

operator algebras and show how they allow one to elegantly classify

the simple modules over the simple quotient vertex operator algebras

by using a deep connection to symmetric polynomials.

From infinite dimensional Lie algebras such as the Virasoro

algebra or affine Lie (super)algebras one can construct universal

vertex operator algebras. These vertex operator algebras are simple at

generic central charges or levels and only contain proper ideals at so

called admissible levels. The simple quotient vertex operator algebras

at these admissible levels are called minimal model algebras. In this

talk I will present free field realisations of the universal vertex

operator algebras and show how they allow one to elegantly classify

the simple modules over the simple quotient vertex operator algebras

by using a deep connection to symmetric polynomials.

### 2015/09/11

#### FMSP Lectures

17:00-18:30 Room #126 (Graduate School of Math. Sci. Bldg.)

Operads and their applications to Mathematical Physics (ENGLISH)

[ Reference URL ]

http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_Voronov.pdf

**Alexander Voronov**(Univ. of Minnesota)Operads and their applications to Mathematical Physics (ENGLISH)

[ Reference URL ]

http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_Voronov.pdf

### 2015/09/10

#### FMSP Lectures

17:00-18:30 Room #126 (Graduate School of Math. Sci. Bldg.)

Operads and their applications to Mathematical Physics (ENGLISH)

[ Reference URL ]

http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_Voronov.pdf

**Alexander Voronov**(Univ. of Minnesota)Operads and their applications to Mathematical Physics (ENGLISH)

[ Reference URL ]

http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_Voronov.pdf

#### FMSP Lectures

15:30-16:30 Room #056 (Graduate School of Math. Sci. Bldg.)

Lifting of maps between surfaces (ENGLISH)

http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_ZhiChen.pdf

**Zhi Chen**(Hefei University of Technology)Lifting of maps between surfaces (ENGLISH)

[ Abstract ]

The Thom conjecture says the algebraic curves have minimal genus among those surfaces Imbedded in CP^2 having fixed degree. This conjecture was solved by Kronheimer and Mrowka by using Seiberg-Witten invariants. In this talk we try to understand the content of this conjecture. We will construct these imbedded surface with minimal genus explicitly, and present some kind of generalization of this conjecture.

[ Reference URL ]The Thom conjecture says the algebraic curves have minimal genus among those surfaces Imbedded in CP^2 having fixed degree. This conjecture was solved by Kronheimer and Mrowka by using Seiberg-Witten invariants. In this talk we try to understand the content of this conjecture. We will construct these imbedded surface with minimal genus explicitly, and present some kind of generalization of this conjecture.

http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_ZhiChen.pdf

### 2015/09/09

#### Number Theory Seminar

17:00-18:00 Room #056 (Graduate School of Math. Sci. Bldg.)

The hyperbolic Ax-Lindemann conjecture (English)

**Emmanuel Ullmo**(IHES)The hyperbolic Ax-Lindemann conjecture (English)

[ Abstract ]

The hyperbolic Ax Lindemann conjecture is a functional transcendental statement which describes the Zariski closure of "algebraic flows" on Shimura varieties. We will describe the proof of this conjecture and its consequences for the André-Oort conjecture. This is a joint work with Bruno Klingler and Andrei Yafaev.

The hyperbolic Ax Lindemann conjecture is a functional transcendental statement which describes the Zariski closure of "algebraic flows" on Shimura varieties. We will describe the proof of this conjecture and its consequences for the André-Oort conjecture. This is a joint work with Bruno Klingler and Andrei Yafaev.

### 2015/09/08

#### Seminar on Mathematics for various disciplines

10:30-11:30 Room #056 (Graduate School of Math. Sci. Bldg.)

Duality based approaches to total variation-like flows with applications to image processing (English)

**Monika Muszkieta**(Wroclaw University of Technology)Duality based approaches to total variation-like flows with applications to image processing (English)

[ Abstract ]

During the last years, total variation models have became very popular in image processing and analysis. They have been used to solve such problems as image restoration, image deblurring or image inpainting. Their interesting and successful applications became the motivation for many authors to rigorous analysis of properties of solutions to the corresponding total variation flows. The main difficulty in numerical approximation of solutions to these flows is caused by the lack of differentiability of the total variation term, and the commonly used approach to overcome this difficulty consists in considering of the dual formulation. In the talk, we consider two total variation flow models. The first one is the anisotropic total variation flow on $L^2$ with additional regularization, and the second one, is the total variation flow on $H^{-s}$. We introduce duality based numerical schemes for approximate solutions to corresponding equations and present some applications to image processing.

This talk is based on joint work with Y. Giga, P. Mucha and P. Rybka.

During the last years, total variation models have became very popular in image processing and analysis. They have been used to solve such problems as image restoration, image deblurring or image inpainting. Their interesting and successful applications became the motivation for many authors to rigorous analysis of properties of solutions to the corresponding total variation flows. The main difficulty in numerical approximation of solutions to these flows is caused by the lack of differentiability of the total variation term, and the commonly used approach to overcome this difficulty consists in considering of the dual formulation. In the talk, we consider two total variation flow models. The first one is the anisotropic total variation flow on $L^2$ with additional regularization, and the second one, is the total variation flow on $H^{-s}$. We introduce duality based numerical schemes for approximate solutions to corresponding equations and present some applications to image processing.

This talk is based on joint work with Y. Giga, P. Mucha and P. Rybka.

#### Tuesday Seminar of Analysis

16:50-18:20 Room #126 (Graduate School of Math. Sci. Bldg.)

Global-in-time Strichartz estimates for Schr\"odinger equations with long-range repulsive potentials (Japanese)

**Haruya Mizutani**(School of Science, Osaka University)Global-in-time Strichartz estimates for Schr\"odinger equations with long-range repulsive potentials (Japanese)

[ Abstract ]

We will discuss a resent result on global-in-time Strichartz estimates for Schr\"odinger equations with slowly decreasing repulsive potentials. If the potential is of very short-range type, there is a simple method due to Rodnianski-Schlag or Burq et al, which seems to be difficult to apply for the present case. The proof instead follows a similar line as in speaker’s resent joint work with J.-M. Bouclet. In particular, we employ both Morawetz type estimates and the methods of micro local analysis such as the Isozaki-Kitada parametrix, even in the low frequency regime.

We will discuss a resent result on global-in-time Strichartz estimates for Schr\"odinger equations with slowly decreasing repulsive potentials. If the potential is of very short-range type, there is a simple method due to Rodnianski-Schlag or Burq et al, which seems to be difficult to apply for the present case. The proof instead follows a similar line as in speaker’s resent joint work with J.-M. Bouclet. In particular, we employ both Morawetz type estimates and the methods of micro local analysis such as the Isozaki-Kitada parametrix, even in the low frequency regime.

### 2015/09/02

#### FMSP Lectures

17:00-18:30 Room #126 (Graduate School of Math. Sci. Bldg.)

Operads and their applications to Mathematical Physics (ENGLISH)

[ Reference URL ]

http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_Voronov.pdf

**Alexander Voronov**(Univ. of Minnesota)Operads and their applications to Mathematical Physics (ENGLISH)

[ Reference URL ]

http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_Voronov.pdf

### 2015/08/31

#### thesis presentations

16:30-17:45 Room #128 (Graduate School of Math. Sci. Bldg.)

Approximate Controllability, Non-homogeneous Boundary Value Problems and Inverse Source Problems for Fractional Diffusion Equations（非整数階拡散方程式に対する近似可制御性、非斉次境界値問題およびソース項決定逆問題） (JAPANESE)

**藤城 謙一**(東京大学大学院数理科学研究科)Approximate Controllability, Non-homogeneous Boundary Value Problems and Inverse Source Problems for Fractional Diffusion Equations（非整数階拡散方程式に対する近似可制御性、非斉次境界値問題およびソース項決定逆問題） (JAPANESE)

### 2015/08/28

#### Colloquium

16:50-17:50 Room #002 (Graduate School of Math. Sci. Bldg.)

On the development of Riemann surfaces and moduli (ENGLISH)

**Athanase Papadopoulos**(Institut de Recherche Mathématique Avancée, Université de Strasbourg et CNRS)On the development of Riemann surfaces and moduli (ENGLISH)

[ Abstract ]

I will describe a selection of major fundamental ideas in the theory

of Riemann surfaces and moduli, starting from the work of Riemann, and

ending with recent works.

I will describe a selection of major fundamental ideas in the theory

of Riemann surfaces and moduli, starting from the work of Riemann, and

ending with recent works.

### 2015/08/07

#### Seminar on Probability and Statistics

14:40-15:50 Room #052 (Graduate School of Math. Sci. Bldg.)

Effectiveness of time-varying minimum value at risk and expected shortfall hedging

**UBUKATA, Masato**(Kushiro Public University of Economics)Effectiveness of time-varying minimum value at risk and expected shortfall hedging

[ Abstract ]

This paper assesses the incremental value of time-varying minimum value at risk (VaR) and expected shortfall (ES) hedging strategies over unconditional hedging strategy. The conditional futures hedge ratios are calculated through estimation of multivariate volatility models under a skewed and leptokurtic distribution and Monte Carlo simulation for conditional skewness and kurtosis of hedged portfolio returns. We examine DCC-GJR models with or without encompassing realized covariance measure (RCM) from high-frequency data under a multivariate skewed Student's t-distribution. In the out-of-sample analysis with a daily rebalancing approach, the empirical results show that the conditional minimum VaR and ES hedging strategies outperform the unconditional hedging strategy. We find that the use of RCM improves the futures hedging performance for a short hedge, although the degree of improvement is small relative to that when switching from unconditional to conditional.

This paper assesses the incremental value of time-varying minimum value at risk (VaR) and expected shortfall (ES) hedging strategies over unconditional hedging strategy. The conditional futures hedge ratios are calculated through estimation of multivariate volatility models under a skewed and leptokurtic distribution and Monte Carlo simulation for conditional skewness and kurtosis of hedged portfolio returns. We examine DCC-GJR models with or without encompassing realized covariance measure (RCM) from high-frequency data under a multivariate skewed Student's t-distribution. In the out-of-sample analysis with a daily rebalancing approach, the empirical results show that the conditional minimum VaR and ES hedging strategies outperform the unconditional hedging strategy. We find that the use of RCM improves the futures hedging performance for a short hedge, although the degree of improvement is small relative to that when switching from unconditional to conditional.

#### Seminar on Probability and Statistics

13:20-14:30 Room #052 (Graduate School of Math. Sci. Bldg.)

ESTIMATION OF INTEGRATED QUADRATIC COVARIATION BETWEEN TWO ASSETS WITH ENDOGENOUS SAMPLING TIMES

**Yoann Potiron**(University of Chicago)ESTIMATION OF INTEGRATED QUADRATIC COVARIATION BETWEEN TWO ASSETS WITH ENDOGENOUS SAMPLING TIMES

[ Abstract ]

When estimating integrated covariation between two assets based on high-frequency data,simple assumptions are usually imposed on the relationship between the price processes and the observation times. In this paper, we introduce an endogenous 2-dimensional model and show that it is more general than the existing endogenous models of the literature. In addition, we establish a central limit theorem for the Hayashi-Yoshida estimator in this general endogenous model in the case where prices follow pure-diffusion processes.

When estimating integrated covariation between two assets based on high-frequency data,simple assumptions are usually imposed on the relationship between the price processes and the observation times. In this paper, we introduce an endogenous 2-dimensional model and show that it is more general than the existing endogenous models of the literature. In addition, we establish a central limit theorem for the Hayashi-Yoshida estimator in this general endogenous model in the case where prices follow pure-diffusion processes.

### 2015/07/30

#### thesis presentations

10:30-11:45 Room #128 (Graduate School of Math. Sci. Bldg.)

Theory and application of a meta lambda calculus with cross-level computation （レベル横断的計算機構を持つメタラムダ計算の理論と応用） (JAPANESE)

**飛澤 和則**(東京大学大学院数理科学研究科)Theory and application of a meta lambda calculus with cross-level computation （レベル横断的計算機構を持つメタラムダ計算の理論と応用） (JAPANESE)

### 2015/07/29

#### thesis presentations

16:00-17:15 Room #128 (Graduate School of Math. Sci. Bldg.)

Accelerating convergence and tractability of multivariate numerical integration when the L1-norms of the higher order derivatives of the integrand grow at most exponentially（被積分関数の高階偏微分のL1ノルムの増大度が高々指数的である場合の多次元数値積分の加速的な収束と計算容易性） (JAPANESE)

**鈴木 航介**(東京大学大学院数里科学研究科)Accelerating convergence and tractability of multivariate numerical integration when the L1-norms of the higher order derivatives of the integrand grow at most exponentially（被積分関数の高階偏微分のL1ノルムの増大度が高々指数的である場合の多次元数値積分の加速的な収束と計算容易性） (JAPANESE)

#### thesis presentations

17:30-18:45 Room #128 (Graduate School of Math. Sci. Bldg.)

Research on Walsh figure of merit for higher order convergent Quasi-Monte Carlo integration（高次収束準モンテカルロ積分のためのWalsh figure of meritの研究） (JAPANESE)

**芳木 武仁**(東京大学大学院数理科学研究科)Research on Walsh figure of merit for higher order convergent Quasi-Monte Carlo integration（高次収束準モンテカルロ積分のためのWalsh figure of meritの研究） (JAPANESE)

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