数理ファイナンスセミナー

Math-Fi seminar on 25 May (Co-organized as a Quantum Walk Seminar)

2023.05.11 Thu up
  • Date: 25 May (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 16:30 – 19:30

  • Speaker1: 宮崎慈生（立命館大学）
  • Title: エンタングルメントの情報理論
  • Abstract:
量子ネットワークを用いた情報処理において、エンタングルメントは重要な役割を果たすリソースで ある。
今回は 2 体量子系のエンタングルメントの情報論的性質について紹介したい。
エンタングル状態はテンソル積複素ヒルベルト空間上で定義される量子状態である。
この状態は 各部分系の積に分解することができない。分解不可能性を確認する一つの手段は、2 体系間 の相関を調べることである。
今回はエンタングル状態の相関が持つ Bell 非局所性について解説 する。
Bell 非局所性は分離不可能性と同時に物理量の文脈依存性も示唆する。
分解不可能性は量子状態以外に対しても考えられる概念である。
状態のエンタングルメントの 理解に基づき、ユニタリ変換と反ユニタリ変換の分解についても紹介する。
 

  • Speaker2: 黄海仲星（大阪大学）
  • Title: 量子ウォークの局在化と漸近挙動の解析
  • Abstract:
量子ウォークは、量子情報や物性物理学をはじめとする多くの研究分野で注目されており、
その中で「線形的拡散」と「局在化」が重要な性質として知られている。
本講演では、まず量子ウォークとそれに関連する諸分野とのつながりを紹介し、その後、局在化の数学的解析に焦点を当てる。
局在化は、時間発展作用素の固有値解析を行うことで発生条件や漸近挙動を調べることができることが分かっている。
本研究では、転送行列を用いた固有値解析法を紹介し、一次元上の周期、多状態、開放系など
様々な量子ウォークモデルに対して適応することで得られた結果を紹介する。
 
 

Math-Fi seminar on 27 Apr.

2023.04.24 Mon up
  • Date: 27 Apr. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 16:30 – 18:00
  • Speaker: Katsunori Fujie (Hokkaido University)
  • Title: Combinatorial approach to finite free probability
  • Abstract: 
Abstract: Since the 2010s, when Marcus, Spielman, and Srivastava solved the Kadison–Singer conjecture and found a connection between its solution and free probability theory, this research area has been called finite free probability.
Much progress has been made recently, and of particular interest are finite free cumulants by Octavio and Perales, where free cumulants are the basic tool used as a discretization for the characteristic function in the context of free probability.
Just recently, the speaker, Octavio Arizmendi (CIMAT) and Yuki Ueda (Hokkaido Education University) have proved a few limit theorems in finite free probability by a unified approach using finite free cumulants in arXiv:2303.01790.
The purpose of this talk is to introduce our approach.
After a brief description of the field, we will explain the combinatorial formulas that are key to the solution.
Then, as an application, we will present the limit theorems in finite free probability and their correspondence with free probability theory.

Math-Fi seminar on 20 Apr. (Co-organized as a Quantum Walk Seminar)

2023.04.17 Mon up
  • Date: 20 Apr. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 18:30 – 19:00
  • Speaker: 森岡 悠（愛媛大学）
  • Title: 量子ウォークの固有値に対する摂動問題としての共鳴極
 
 

Math-Fi seminar on 20 Apr.

2023.04.17 Mon up
  • Date: 20 Apr. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 16:30 – 18:00
  • Speaker: Thomas Cavalazzi (Université de Rennes 1)
  • Title: Quantitative weak propagation of chaos for McKean-Vlasov SDEs driven by $\alpha$-stable  processes
  • Abstract: 
In this talk, we will deal with McKean-Vlasov Stochastic Differential Equations (SDEs) driven by $\alpha$-stable processes, with $\alpha \in (1,2)$. We make Hölder-type assumptions on the coefficients, with respect to both space and measure variables. 
We will study the associated semi-group, acting on functions defined on the space of probability measures, through the related backward Kolmogorov Partial Differential Equation (PDE), which describes its dynamics. 
We will focus in particular on its regularizing properties. 
The study relies on differential calculus for functions defined on the space of measures, and on Itô’s formula along flows of marginal distributions of jump processes defined with Poisson random integrals. 
We will finally use the preceding tools to prove quantitative weak propagation of chaos for the mean-field interacting particle system associated with the McKean-Vlasov SDE.
 

Math-Fi seminar on 6 Apr.

2023.04.04 Tue up
  • Date: 6 Apr. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 16:30 – 18:00
  • Speaker: Tommaso Mariotti (Scuola Normale Superiore di Pisa)
  • Title: Coding examples with Python

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. 
 

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.

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