Derivatives, Diffusion and Duality

Speaker: 

Dr. Peter Carr

Institution: 

Morgan Stanley

Time: 

Friday, October 10, 2014 - 5:30pm to 6:30pm

Host: 

Location: 

NS 2, 1201

Consider a simple market containing just a riskless asset under zero interest rates and a risky stock paying no dividends. Assuming no arbitrage, it is well known that there exists a risk neutral measure Q under which the stock price S is a martingale and the value of any self-financing non-anticipating trading strategy is a martingale transform of it. In contrast, the dollar borrowings (aka leverage) and shareholdings (aka delta) need not be Q-martingales. We consider the consequences of restricting attention to the special case when S is a time homogeneous diffusion under Q, when asset holdings are Markovian in S and t, and when the value of the strategy is a convex differentiable function of S. In this setting, we use convex duality to show that when time is reversed, the position delta becomes a Q martingale, while the leverage becomes a Q martingale transform of it. In contrast, prices and values lose their martingale property under this time reversal.  We present some applications of these dualities.

Average of the First Invariant Factor of the Reductions of Abelian Varieties of CM Type

Speaker: 

Sungjin Kim

Institution: 

UCLA

Time: 

Tuesday, October 14, 2014 - 4:00pm to 5:00pm

Location: 

RH340P

For a field of definition $k$ of an abelian variety $\Av$ and prime ideal $\ip$ of $k$ which is of a good reduction for $\Av$, the structure of $\Av(\F_{\ip})$ as abelian group is:

    \Av(\F_{\ip})\simeq \Z/d_1(\ip)\Z\oplus\cdots\oplus\Z/d_g(\ip)\Z\oplus\Z/e_1(\ip)\Z\oplus\cdots\oplus\Z/e_g(\ip)\Z,

    where $d_i(\ip)|d_{i+1}(\ip)$, $d_g(\ip)|e_1(\ip)$, and $e_i(\ip)|e_{i+1}(\ip)$ for $1\leq i<g$.

    We are interested in finding an asymptotic formula for the number of prime ideals $\ip$ with $N\ip<x$, $\Av$ has a good reduction at $\ip$, $d_1(\ip)=1$. We succeed in this under the assumption of the Generalized Riemann Hypothesis (GRH). Unconditionally, we achieve a short range asymptotic for abelian varieties of CM type, and the full cyclicity theorem for elliptic curves over a number field containing CM field.

On the non-triviality of the p-adic Abel-Jacobi image of generalised Heegner cycles

Speaker: 

Ashay Burungale

Institution: 

UCLA

Time: 

Tuesday, October 14, 2014 - 3:00pm to 4:00pm

Location: 

RH340P

Generalised Heegner cycles are associated to a pair of an elliptic Hecke eigenform and a Hecke character over an imaginary quadratic extension K. Let p be an odd prime split in K. We describe the non-triviality of the p-adic Abel-Jacobi image of generalised Heegner cycles modulo p over anticyclotomic extensions of K.

Explicit reciprocity law for generalised Heegner cycles

Speaker: 

Francesc Castella

Institution: 

UCLA

Time: 

Tuesday, October 14, 2014 - 2:00pm to 3:00pm

Location: 

RH340P

We will describe an explicit reciprocity law for generalised Heegner cycles, relating the images of certain twists of these classes under the Bloch-Kato dual exponential map to certain Rankin-Selberg L-values, and explain the applications of this formula to the proof of certain rank 0 cases of the Bloch-Kato conjecture. This is a joint work with M.-L. Hsieh.

Inside Out: An Introduction to Inverse Boundary Problems

Speaker: 

Katya Krupchyk

Institution: 

UC Irvine

Time: 

Friday, October 24, 2014 - 4:00pm

Location: 

MSTB 120

In 1980, A. P. Calderon published a short seminal paper entitled "On an inverse boundary value problem", which has become the starting point in the mathematical analysis of the following inverse problem: Can one determine the electrical conductivity of a medium by making current and voltage measurements at the boundary of the medium? To this day, this problem serves as a fundamental source of motivation and inspiration for many developments in the field of inverse boundary problems. In this talk we shall give an introduction to the field of inverse boundary problems, survey some of the most important developments, and state some open problems. 

Discrete logarithms in small characteristic

Speaker: 

Daqing Wan

Institution: 

UCI

Time: 

Tuesday, October 7, 2014 - 2:00pm

Location: 

RH340P

In this talk, I will explain the mathematical ideas and questions arising from the recent breakthrough BGJT algorithm for discrete logarithms over finite fields of small characteristic.  This is joint work with Q. Cheng and J. Zhuang (ANTS 2014).

 

Bounded orbits of mixing flows on homogeneous spaces

Speaker: 

Ryan Broderick

Institution: 

UC Irvine

Time: 

Tuesday, October 21, 2014 - 1:00pm to 2:00pm

Location: 

RH 440R

Given a Lie group G and a lattice \Gamma in G, we consider a flow on G/\Gamma induced by the action of a one-parameter subgroup of G. If this flow is mixing then a generic orbit is dense, but nevertheless one can discuss the dimension of the set of exceptions. We discuss work of S. G. Dani, in which such estimates are made in certain cases and a connection to diophantine approximation is established, and also generalizations due to D. Kleinbock and G. Margulis. In particular, we outline a dynamical proof, due to Kleinbock, that the set of badly approximable systems of affine forms has full Hausdorff dimension.

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