Math-Fi seminar on 30 Mar.

2023.03.29 Wed up
  • Date: 30 Mar. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 11:00 – 12:30
  • Speaker: Xunyu Zhou (Columbia University)
  • Title: Reinforcement Learning in Continuous Time
  • Abstract:
In this talk I will report some of the latest developments in model-free, 
data-driven reinforcement learning in continuous time with possibly continuous state and action spaces, 
including exploratory formulation, policy evaluation, policy gradient and q-learning. 
Time permitting I will also present applications to portfolio selection.

Math-Fi seminar on 23 Mar.

2023.03.22 Wed up
  • Date: 23 Mar. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 15:30 – 19:00
Part 1: 15:30 PM – 17:00 PM 
  • Speaker: Tommaso Mariotti (Scuola Normale Superiore di Pisa)
  • Title: Financial econometrics in high-frequency data
  • Abstract: 
The rise of high-frequency data opened new opportunity, but at the same time poses new challenges in the last decades. Focusing in particular on non-parametric estimation of volatility of stochastic processes, the presence of market microstructure noise is analysed, considering its influence on the consistency of traditional non-parametric estimators such as the realized volatility. Several models for noise are presented, considering their connections with the microstructure models presented in the previous talk. Consistent estimation of volatility in presence of noise is discussed, together with the issue of assessing the presence of noise in financial data. The presence of jumps is discussed analogously, presenting techniques to spot and manage discontinuities in the data while performing volatility estimation.
Part 2: 17:30 – 19:00
  • Speaker: Ngo Hoang Long (Hanoi National University of Education)
  • Title:Simulation of McKean-Vlasov SDE’s
  • Abstract:
In this talk, we introduce a tamed-adaptive approximation scheme for McKean-Vlasov SDEs with super-linear coefficients. 
We consider the rates of convergence of the new scheme in $L^p$-norm on both finite and infinite time intervals. 


2023.03.14 Tue up
日時:2023年3月27日(月) 16:00~17:00
講演者:森淳秀 (大阪歯科大学)
題目:A globalization of the information geometry

開催方法:ハイブリッド開催(ウェストウィング6 階談話会室での対面開催及びZoom ミーティングによる配信)を予定.
Zoom 参加の場合,下記のURL より3 月26 日(日)までにご登録ください.当日お昼ごろまでに,Zoom ミーティングのURL 等をお知らせいたします.

対面参加を希望される方は、3月24日(金)までに多羅間へご連絡ください.COVID-19 の感染防止のため,対面参加者数が多い場合は適宜人数制限を行いますので,ご了承ください.(COVID-19 の感染状況によっては開催形態を変更する可能性があります.)

問い合わせ先:立命館大学理工学部数理科学科 多羅間 大輔

Math-Fi seminar on 7 Mar.

2023.03.06 Mon up
  • Date: 7 Mar. (Tue.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 17:30-19:00
  • Speaker: Hiroshi Kawabi (Keio University)
  • Title: A graph discretized approximation of diffusions with drift and killing on a complete Riemannian manifold
  • Abstract: Please click here

Math-Fi seminar on 2 Mar.

2023.03.01 Wed up
  • Date: 2 Mar. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 14:30 – 18:00

Part 1: 14:30 – 16:00 
  • Speaker: Benjamin Poignard (Osaka University)
  • Title: Sparse M-estimators in semi-parametric copula models
  • Abstract: Please click here
Part 2: 16:30 – 18:00
  • Speaker: Xiaoming Song (Drexel University)
  • Title: Fractional stochastic wave equation driven by a Gaussian noise rough in space
  • Abstract: Please click here

Math-Fi seminar on 28 Feb.

2023.02.27 Mon up
  • Date: 28 Feb. (Tue.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 17:30-19:00
  • Speaker: Kotaro Hata (Hokkaido University)
  • Title: Uniform Weak Convergence to Additive Processes
  • Abstract:
In 1929, Finetti introduced the concept of an infinitely divisible distribution. It’s been developed by many probabilists and now plays an important role in probability theory. In this talk, I will introduce the relationship between infinitely divisible distributions and additive processes and between infinitely divisible distributions and infinitesimal triangular arrays. After that, we will give a necessary and sufficient condition for a sequence of stochastic processes which is generated by an infinitesimal triangular array to weakly converge an additive process uniformly. In the end, I will give some propositions and examples as a special case of main results. This talk is based on a joint work with Hasebe Takahiro.


2023.02.22 Wed up
日時:2022年2月27日(月) 15:00–16:00
会場:ウェストウィング6階談話会室 および Zoomミーティング
講演者:Carlos Meniño氏 (Vigo 大学)
タイトル: An introduction to the theory of (codimension one) foliations
We present a brief survey on fundamental results of the theory of codimension one foliations on closed manifolds: terminology, basic concepts and constructions and relevant theorems (as Reeb stability). We shall focus on some results that only work for codimension one foliations (and some of them only with some regularity assumptions): Dippolito’s decomposition theorem, Hector and Kopell lemmas or Sacksteder and Duminy theorems.”
日時:2022年2月27日(月) 16:30–17:30
会場:ウェストウィング6階談話会室 および Zoomミーティング
講演者:Carlos Meniño氏 (Vigo 大学)
タイトル: Exotic non-leaves: exotic 4-manifolds not diffeomorphic to leaves
Understanding what kind of manifolds can be realized as leaves of some kind of foliation on some kind of manifold is an old question in the theory of foliations, this is the so called ‘realization problem’. We are interested in the following (also old) question: can some exotic R4 be diffeomorphic to a leaf of some codimension one foliation on a closed 5-manifold? In a joint work with P. Schweitzer (PUC Rio) we show that some families of exotic R4 cannot be diffeomorphic to leaves of codimension one foliations of class C2. In class C1 the question is still open but we have shown that some exotic smoothings on R4 punctured along suitable tame closed sets cannot be ralized as leaves of codimension one foliation (in any reasonable regularity).  The non-punctured case is still open but we shall present a good candidate of exotic R4 not diffeomorphic to a leaf in any regularity (this is work in progess).


2023.02.22 Wed up
日時:2022年12月23日(金) 16:30–17:30
講演者:John Parker氏 (Durham )
タイトル: Non-arithmetic lattices
A lattice is a discrete group of isometries of a symmetric space so that the quotient has finite volume. Combining results of Margulis, Gromov, Schoen and Corlette all lattices arise from an arithmetic construction apart from when the space is real or complex hyperbolic space. Lattices that do not arise from this construction are called non-arithmetic. I will give an introduction to this topic and then I will outline my joint project with Martin Deraux and Julien Paupert where we constructed the first examples since 1986 of non-arithmetic lattices for complex hyperbolic 2-space.


2023.01.22 Sun up
日時:2023年1月30日(月) 17:30~19:00
講演者:相川勇輔 (三菱電機株式会社 情報技術総合研究所)


問い合わせ先:立命館大学理工学部数理科学科 多羅間 大輔

Math-Fi seminar on 19 Jan.

2023.01.18 Wed up
  • Date: 19 Jan. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 18:00-19:30
  • Speaker: Tai-Ho Wang (Baruch College)
  • Title: Entropy regularized robust optimal order execution
  • Abstract:
Order execution, a mission that algorithmic trading departments and execution brokerage agencies embark on regularly, is cast as an entropy-regularized robust optimal control problem. During the course of executing a large order of significant amount, the agent faces with not only the risk of price impact that his own execution would incur towards the transaction price but also the liquidity and uncertainty of the market. The agent’s goal is to maximize an objective functional associated with his profit-and-loss of trading and simultaneously minimize the exeuction risk. It is documented that “a liquid market is one which is almost infinitely tight, which is not infinitely deep, and which is resilient enough so that prices eventually tend to their underlying value”. As such, we model the market’s liquidity and uncertainty by the principle of least relative entropy associated with the market volume. The problem of order execution is thus turned into a relative entropy-regularized (Bayesian) stochastic differential game. Standard argument of dynamic programming applies in this setting which yields that the value function of the differential game satisfies a “Bayesian” Hamilton-Jacobi-Isaacs (HJI) equation. Under the assumptions of linear-quadratic model with Gaussian prior, the Bayesian HJI equation reduces to a system of Riccati and linear differential equations. Further imposing constancy of the corresponding coefficients, the system of differential equations can be solved in closed form, resulting in analytical expressions for optimal strategy and trajectory as well as the posterior distribution of market volume. 
In conclusion, numerical examples, comparisons and discussions of the optimal strategy to conventional trading strategies are demonstrated.