Probability Seminar Probability Seminar


Probability Seminar - Spring 2016


Probability group



Thursdays 3:30-4:30 PM in Ungar 406.



Thursday 5/5, room 406 at 3:30.
Speaker: Nina Amini (http://www.l2s.centralesupelec.fr/perso/nina.amini),
Title: Quantum feedback control and filtering problem.

Abstract: The ability to control quantum systems is becoming an essential step towards emerging technologies such as quantum computation, quantum cryptography and high precision metrology. In this talk, we consider a controlled quantum system whose finite dimensional state is governed by a discrete-time nonlinear Markov process. By assuming the quantum non-demolition (QND) measurements in open-loop, we construct a strict control Lyapunov function which is based on the open-loop stationary states. We propose a measurement-based feedback scheme which ensures the almost sure convergence towards a target state. Moreover, I discuss the estimation and filtering problem for continuous-time quantum systems which are described by continuous-time stochastic master equations.

April 21, 3:00 PM in Ungar 406
*** Note the time is 30 minutes earlier than usual due to the Graduate Students Gathering
*** Speaker: J. David Van Dyken Department of Biology University of Miami
"Statistics of nonlinear biochemical reaction networks in living cells"

Chemical reactions within cells involve sequences of random events among small numbers of interacting molecules. As a consequence, biochemical reaction networks are extremely noisy. These reactions are also non-linear, making analytical treatment of these systems difficult. I will present a method for approximating the statistics of molecular species in arbitrarily connected networks of non-linear biochemical reactions in small volumes, which I validate with stochastic simulations. I demonstrate that noise slow flux through biochemical networks with nonlinear reaction kinetics, with implications for the evolution of robustness in living cells.

***Note the different time and day: Wednesday 3/23, room 406 at 3:30.
Philip Ernst, Title: On The Volatile Correlation of Two Independent Wiener Processes

Abstract: In this paper, we resolve a longstanding open statistical problem. The problem is to analytically determine the second moment of the empirical correlation coefficient \beqn \theta := \frac{\int_0^1W_1(t)W_2(t) dt - \int_0^1W_1(t) dt \int_0^1 W_2(t) dt}{\sqrt{\int_0^1 W^2_1(t) dt - \parens{\int_0^1W_1(t) dt}^2} \sqrt{\int_0^1 W^2_2(t) dt - \parens{\int_0^1W_2(t) dt}^2}} \eeqn of two {\em independent} Wiener processes, $W_1,W_2$. Using tools from Fredholm integral equation theory, we successfully calculate the second moment of $\theta$ to be .240522. This gives a value for the standard deviation of $\theta$ of nearly .5. As such, we are the first to offer formal proof that two Brownian motions may be independent and yet can also be highly correlated with significant probability. This spurious correlation, unrelated to a third variable, is induced because each Wiener process is ``self-correlated'' in time. This is because a Wiener process is an integral of pure noise and thus its values at different time points are correlated. In addition to providing an explicit formula for the second moment of $\theta$, we offer implicit formulas for higher moments of $\theta$.

3/17, Stanislav Volkov, Title: Asymptotic behaviour of some locally-interacting processes

Abstract: We study locally-interacting birth-and-death processes on nodes of a finite connected graph; the model which is motivated by modelling interactions between populations, adsorption-desorption processes, and is related to interacting particle systems, Gibbs models, and interactive urn models. Alongside with general results, we obtain a more detailed description of the asymptotic behaviour in the case of certain special graphs. Based on a joint work with Vadim Scherbakov (Royal Holloway, University of London).

2/4, Mehdi Shadmehr, Department of Economics, University of Miami Title: Contribution Restrictions in a Global Game

Abstract: We investigate a manager's decision to restrict the contribution of an agent with private information. We explore the link between this problem and contribution restrictions in global games with a continuum of agents and continuous actions.

1/28, William Sudderth, School of Statistics University of Minnesota Title: "How to control a process to a goal"

Abstract: How should a gambler place bets in order to maximize the probability of reaching a goal. If the goal can be reached for sure,what strategy will minimize the expected time to get there? Problems in discrete and continuous time will be considered as well as games in which the gambler has an opponent.







Probability Seminar - Fall 2015


Probability group



Tuesdays 4:00PM in Ungar 406



12/8, Carlos Bajo, UM: Survey on the fixation time and stability of a Mutagenic Chain Reaction (MCR).

Abstract:

12/1 - Lin Xi, UM: Progress report on the fluctuation limit for an AIMD model

Abstract:

11/18 - Abdelaziz Alali, UM (Electrical Engineering):
Reducing the error-propagation Effect Associated with Stacking Classifiers

***Note the different day and time

Abstract: Abstract

11/6 - Yishu Song, UM: Hydrodynamic limit for a supercritical branching process
***This talk was given in the Applied Mathematics Seminar

Abstract: In 1993, Bak and Sneppen proposed a model aiming to describe an ecosystem of interacting species that evolve by mutation and natural selection. Thereafter various mathematical attempts have been made to study the model in its equilibrium. In this talk we'll investigate a variant of the Bak-Sneppen model and its hydrodynamic limit. The solution solves a heat equation with mass creation at a source inside the domain, normalized to have mass one. We discuss its representation as the average of the empirical measure of an auxiliary branching system with mass growing exponentially fast and the relationship between the stationary measure and quasi-stationarity for the auxiliary semigroup. .

11/3 - Hamed Amini, UM (Mathematics): Shortest-weight Paths in Random Graphs.

Abstract: We study the impact of random exponential edge weights on the distances in a random graph and, in particular, on its diameter. Our main result consists of a precise asymptotic expression for the maximal weight of the shortest weight paths between all vertices (the weighted diameter) of sparse random graphs, when the edge weights are iid exponential random variables. This is based on a joint work with Marc Lelarge.

10/27 Ilie Grigorescu, UM: Quasi-stationarity and the Fleming-Viot Particle System.

Abstract: We discuss a general class of stochastic processes obtained from a given Markov process whose behavior is modified upon contact with a catalyst, from the perspective of a particle system that undergoes branching with conservation of mass (Fleming-Viot mechanism). We explain the relation of the process and its scaling limit to the existence of quasi-stationary distributions and their simulation. Non-explosion and large deviations for the soft catalyst case will be discussed if time permits. Joint work with Min Kang.

10/20 No seminar.


10/13 Andreea Minca, Cornell University: A game theoretic approach to modeling debt capacity

Abstract: We propose a dynamic model that explains the build-up of short term debt when the creditors are strategic and have different beliefs about the prospects of the borrowers' fundamentals. We define a dynamic game among creditors, whose outcome is the short term debt. As common in the literature, this game features multiple Nash equilibria. We give a refinement of the Nash equilibrium concept that leads to a unique equilibrium. For the resulting debt-to-asset process of the borrower we define a notion of stability and find the debt ceiling which marks the point when the borrower becomes illiquid. We show existence of early warning signals of bank runs: a bank run begins when the debt-to-asset process leaves the stability region and becomes a mean-fleeing sub-martingale with tendency to reach the debt ceiling. Our results are robust across a wide variety of specifications for the distribution of the capital across creditors' beliefs. (joint with J Wissel)

10/6 Ilie Grigorescu - Branching particle systems and the Super-Brownian motion.

Abstract: We show how Super-Brownian motion is obtained from a particle system under fast scaling of the branching mechanism.

9/29 Ilie Grigorescu, UM: Part 2 of previous week's talk.

Abstract: Tightness for continuous time processes and convergence in distribution with applications.

9/23 Ilie Grigorescu, UM: Introduction to scaling limits in probability theory

Abstract:
We review examples of limit theorems where scaling plays an important role. The invariance principle, urn models, Feller and Wright - Fisher diffusions and the associated martingale problems are discussed. Part 1.



Probability Seminar - Fall 2014




9/4 Ilie Grigorescu - Review. Diffusions, relations to PDE.

9/11 Ilie Grigorescu - Killed processes.

9/18 Cancelled. Ilie Grigorescu - Colloquium talk at Nova Southeaster University.

9/25 Yishu Song - On a Brunet-Derrida particle system.

10/2 Ilie Grigorescu - Brownian motion and the Dirichlet problem.

10/9 Min Kang, NCSU

10/23 Lin Xi

10/30 Stas Volkov

11/6 William Sudderth University of Minnesota
Some Remarks on Finitely-additive Probability

11/ 13 Byron Kruczek - The Perron-Frobenius Theorem and A Few of Its Many Applications, Part 1 of 2

11/13 please note there is another talk by Professor John Stillwell
What Does "Depth" Mean in Math? History, Foundations, and Logic,
Thursday, November 6, 2014, 5:00pm Witten Learning Center 160

11/ 20 Byron Kruczek - The Perron-Frobenius Theorem and A Few of Its Many Applications, Part 2 of 2