Stochastics Seminar - Yerkin Kitapbayev

Oct. 25, 2018

American option pricing under stochastic volatility models via Picard iterations This talk discusses the valuation of American options for a general one- factor stochastic volatility model. Using the local time-space calculus on surfaces we derive an early exercise premium representation for the option price, parametrized by the optimal exercise surface...

Complex/Dynamical Systems Seminar - Gregor Robinson

Oct. 25, 2018

Scaling SIR to geophysical fluids This research is rooted in a desire to apply provably consistent Bayesian methods to select models for nonlinear multiscale dynamics that must be observed in high resolution. As a motivating example, we describe a geophysical mystery (the Madden-Julian Oscillation, MJO) for which it is reasonable...

Math Bio Seminar - Sabina Altus

Oct. 23, 2018

Multidimensional Age-Structured Modeling Carbon fixation by cyanobacteria accounts for nearly 40% of the global total. A carbon concentrating mechanism facilitates this process by gathering the cell’s available carbon supply around the key enzymes, carbonic anhydrase and RuBisCO, which are encapsulated into icosahedral nanostructures called carboxysomes. Carboxysome efficiency is thus a...

Nonlinear Waves Seminar - Lev Ostrovsky

Oct. 23, 2018

Nonlinear waves in rotating fluids In this presentation the non-trivial dynamics of nonlinear dispersive waves affected by the Coriolis force is discussed. Applications include surface and internal waves in the ocean, magnetic sound in plasma, and other phenomena. The corresponding model equation (rKdV equation) derived by the author has the...

APPM Colloquium - Max Gunzburger

Oct. 19, 2018

A Localized Reduced-Order Modeling Approach for PDEs with Bifurcating Solutions Reduced-order modeling (ROM) commonly refers to the construction, based on a few solutions (referred to as snapshots) of an expensive discretized partial differential equation (PDE), and the subsequent application of low-dimensional discretizations of partial differential equations (PDEs) that can be...

Stochastics Seminar - Ruimeng Hu

Oct. 18, 2018

Optimal Portfolio under Fractional Stochastic Environments Rough stochastic volatility models have attracted a lot of attention recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of the optimal value function for the nonlinear asset allocation...

Complex/Dynamical Systems Seminar - Gary Nave

Oct. 18, 2018

Inspired by the gliding behavior of the paradise tree snake, Chrysopelea paradisi , I will discuss a simplified model for passive aerodynamic flight which gives an intuitive and dynamically rich 2 degree-of-freedom system. Within this model, all trajectories collapse onto a 1-dimensional manifold in velocity space: the terminal velocity manifold...

Stats, Optimization, and Machine Learning Seminar - Jeffrey Hokanson

Oct. 16, 2018

Exploiting Low-Dimensional Structure in Optimization Under Uncertainty In computational science, optimization under uncertainty (OUU) provides a new methodology for building designs reliable under a variety of conditions with improved efficiency over a traditional, safety factor based approach. However, the resulting optimization problems can be challenging. For example, chance constraints bounding...

Nonlinear Waves Seminar - Scott Strong

Oct. 16, 2018

Geometric Quantum Hydrodynamics and the Evolution of Vortex Lines he simplest manifestation of a circulatory field occurs when a vortex line breaks the simple connectivity of an otherwise irrotational fluid. Arnold's program tells us that the evolution of such a vortex is Hamiltonian with respect to the arclength. The simplest...

APPM Colloquium - Bengt Fornberg

Oct. 12, 2018

Improving the accuracy of the trapezoidal rule The trapezoidal rule uses function values at equispaced nodes. It is very accurate for integrals over periodic intervals, but is usually quite inaccurate in non-periodic cases. Commonly used improvements, such as Simpson’s rule and the Newton-Cotes formulas, are not much (if at all)...

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