Probability

N.B. Due to microphone problems, the audio at the beginning of this recording is poor.

It is well known that a random walk in d>2 dimensions where the steps are i.i.d. mean zero and fully supported (not restricted to a hyperplane), is transient. Benjamini, Kozma and Schapira asked if we still must have transience when each step is chosen from either μ1 or μ2 based on the past, where μ1 and μ2 are fully supported mean zero distributions. (e.g. we could use μ1 if the current state has been visited before, and μ2 otherwise). We answer their question, and show the answer can change when we have three measures instead of two. To prove this, we will adapt the classical techniques of Lyapunov functions and excessive measures to this setting. No prior familiarity with these methods will be assumed, and they will be introduced in the talk. Many open problems remain in this area, even in two dimensions. Lecture based on joint work with Serguei Popov (Campinas) and Perla Sousi (Cambridge).

N.B. The audio introduction of this lecture has not been properly captured.

The quantification of uncertainty in large-scale scientific and engineering computations is rapidly emerging as a research area that poses some very challenging fundamental problems which go well beyond sensitivity analysis and associated small fluctuation theories. We want to understand complex systems that operate in regimes where small changes in parameters can lead to very different solutions. How are these regimes characterized? Can the small probabilities of large (possibly catastrophic) changes be calculated? These questions lead us into systemic risk analysis, that is, the calculation of probabilities that a large number of components in a complex, interconnected system will fail simultaneously.

I will give a brief overview of these problems and then discuss in some detail two model problems. One is a mean field model of interacting diffusion and the other a large deviation problem for conservation laws. The first is motivated by financial systems and the second by problems in combustion, but they are considerably simplified so as to carry out a mathematical analysis. The results do, however, give us insight into how to design numerical methods where detailed analysis is impossible.