Wasserstein calculus and related topics

1st Moscow-UK workshop on stochastic analysis

ICMS, Bayes Centre, 47 Potterrow, Edinburgh EH8 9BT

19 – 23 November 2018

Organisers

Mireille Bossy, INRIA, Sophia Antipolis
Valentin Konakov, Higher School of Economics, Moscow
David Siska, University of Edinburgh
Lukasz Szpruch, University of Edinburgh

This workshop will review and consolidate knowledge on the emerging field of stochastic calculus on Wasserstein space and asses its current impact on several branches of mathematics. The workshop will bring together:

  • key developers of calculus on Wasserstein/measure spaces
  • researchers on mean-field games
  • mathematicians working on kinetic theory and optimal transport
  • applied mathematicians working on a mean-field approach to power grid applications and crowd behaviour.

The consolidation of knowledge and exchange of ideas in the emerging field of Wasserstein calculus with its links to optimal transport, nonlinear PDEs, particle representations and mean-field games. The workshop will also develop research strategies emphasising applications in energy markets, crowd dynamics and cybersecurity.

Invited speakers

Pierre Cardaliaguet Université Paris-Dauphine
Nicolas Champagnat Université de Lorraine
Dan Crisan, Imperial College London   
Paul Eric Chaudru de Raynal Université Savoie Mont Blanc
Alexander Davie, University of Edinburgh
Franco Flandoli Scuola Normale Superiore di Pisa
Alexander Gushchin, HSE Moscow
Elena Issoglio, Univeristy of Leeds
Jean-Francois Jabir, HSE, Moscow  
Benjamin Jourdain, CERMICS   
Mark Kelbert, HSE Moscow
Anna Kozhina, HSE Moscow
Mauro Mariani, HSE Moscow
Mario Maurelli, University of York
Michael Röckner, University of Bielefeld
Denis Talay, INRIA, Sophia Antipolis


Arrangements

The workshop will begin at 14.00 on Monday 19 November and end at lunchtime on Friday 23 November. Participants should bear this in mind when they make their travel arrangements.

Programme

The abstracts can be found here

This programme is provisional and may be subject to change.

Monday 19 November 2018

13:15 - 13:50

Registration

13:50-14:00

Welcome Talk

14:00-15:00

Pierre Cardaliaguet (Université Paris-Dauphine)
The master equation for mean field games with a major agent

15:00-16:00

Paul-Eric Chaudru de Raynal (Université Savoie Mont Blanc) Mean reflected stochastic differential equations

16:00-16:30

Tea/Coffee break

16:30-17:00

Alvin Tse (University of Edinburgh)

17:00-18:00

Welcome drinks reception

 

Tuesday 20 November 2018

09:00-10:00

Valentin Konakov (Higher School of Economics, Moscow) A local limit theorem for a Robbins-Monroe procedure

10:00-11:00

Alexander Davie (University of Edinburgh) Multivariate central limit bounds in Vaserstein metrics.

11:00-11:30

Tea/Coffee break

11:30-12:30

Jean-Francois Jabir (Higher School of Economics, Moscow) Propagation of chaos and weak constraint problems issued from Lagrangian stochastic models for turbulent flows

12:30-14:00

Lunch

14:00-15:00

Benjamin Jourdain (Ecole des Ponts ParisTech, CERMICS) Lifted and geometric differentiability of the squared quadratic Wasserstein distance

15:00-16:00

Michela Ottobre (Heriot-Watt University) On a class of SDEs with multiple invariant measures

16:00-16:30

Tea/Coffee break

16:30-17:00

Xiling Zhang (University of Edinburgh) A central-limit approximation for the small jumps of multi-dimensional Lévy processes

19:00

Workshop dinner Blonde Restaurant, St Leonards Street

 

Wednesday 21 November 2018

09:00-10:00

Denis Talay (INRIA) TBC

10:10-11:00

Nicolas Champagnat (Université de Lorraine) Lyapunov criteria for the convergence of conditional distributions of absorbed Markov processes

11:00-11:30

Tea/Coffee break

11:30-12:30

Elena Issoglio, (University of Leeds) A non-linear parabolic PDE with a distributional coefficient and its applications to stochastic analysis

12:30-14:00

Lunch

14:00-15:00

Alexander Gushchin (Steklov Mathematical Institute) The joint distributions of an increasing process and its compensator

15:00-15:30

William Hammersley (University of Edinburgh) TBC

 

Thursday 22 November 2018

# THERE WILL BE A FIRE ALARM TEST AT 11:30 TODAY. PLEASE REMAIN SEATED. THERE IS NO NEED TO EVACUATE.

09:00-10:00

Franco Flandoli (Scuola Normale Superiore of Pisa)
 Particle system approximation of Vlasov-Navier-Stokes equations

10:00-11:00

Mario Maurelli (University of York and University of Edinburgh) 2D Euler equations with transport noise: bounded and measure-valued vorticity

11:00-11:30

Tea/Coffee break

11:30-12:30

Mark Kelbert (Higher School of Economics, Moscow)
 Context Dependent Information Measures: basic properties and applications

12:30-14:00

Lunch

14:00-14:30

Anna Kozhina (Higher School of Economics, Moscow) Parametrix method for SDEs. Weak error estimation

14:30-15:00

William Salkeld (University of Edinburgh) TBC

15:00-15:30

Megan Griffin-Pickering (University of Cambridge) TBC

15:30-16:00

Student talk TBC

16:00-16:30

Tea/Coffee break

 

Friday 23 November 2018

09:00-10:00

Michael Röckner (Universität Bielefeld) Nonlinear Fokker-Planck-Kolomogorov equations and stochastic distribution dependent SDE

10:10-11:00

Mauro Mariani  (Higher School of Economics, Moscow) On the variational convergence of a class of discounted control problems

11:00-11:30

Tea/Coffee break

11:30-12.30

Dan Crisan (Imperial College London) Smoothing properties of McKean-Vlasov stochastic differential equations

12.30

Workshop closes