Georgia Institute of Technology School of Mathematics | Georgia Institute of Technology | Atlanta, GA

We analyze a class of semiparametric ARCH models that nests the simple GARCH(1,1) model but has flexible news impact function. A simple estimation method is proposed based on profiled polynomial spline smoothing. Under regular conditions, the proposed estimator of the dynamic coeffcient is shown to be root-n consistent and asymptotically normal. A fast and efficient algorithm based on fast fourier transform (FFT) has been developed to analyze volatility functions with infinitely many lagged variables within seconds. We compare the performance of our method with the commonly used GARCH(1, 1) model, the GJR model and the method in Linton and Mammen (2005) through simulated data and various interesting time series. For the S&P 500 index returns, we find further statistical evidence of the nonlinear and asymmetric news impact functions.

The Dirichlet space is the set of analytic functions on the disc that have a square integrable derivative. In this talk we will discuss necessary and sufficient conditions in order to have a bilinear form on the Dirichlet space be bounded. This condition will be expressed in terms of a Carleson measure condition for the Dirichlet space. One can view this result as the Dirichlet space analogue of Nehari's Theorem for the classical Hardy space on the disc. This talk is based on joint work with N. Arcozzi, R. Rochberg, and E. Sawyer

Fluid membranes are area-preserving interfaces that resist bending. They are models of cell membranes, intracellular organelles, and viral particles. We are interested in developing simulation tools for dilute suspensions of deformable vesicles. These tools should be computationally efficient, that is, they should scale well as the number of vesicles increases. For very low Reynolds numbers, as it is often the case in mesoscopic length scales, the Stokes approximation can be used for the background fluid. We use a boundary integral formulation for the fluid that results in a set of nonlinear integro-differential equations for the vesicle dynamics. The motion of the vesicles is determined by balancing the nonlocal hydrodynamic forces with the elastic forces due to bending and tension. Numerical simulations of such vesicle motions are quite challenging. On one hand, explicit time-stepping schemes suffer from a severe stability constraint due to the stiffness related to high-order spatial derivatives and a milder constraint due to a transport-like stability condition. On the other hand, an implicit scheme can be expensive because it requires the solution of a set of nonlinear equations at each time step. We present two semi-implicit schemes that circumvent the severe stability constraints on the time step and whose computational cost per time step is comparable to that of an explicit scheme. We discretize the equations by using a spectral method in space, and a multistep third-order accurate scheme in time. We use the fast multipole method to efficiently compute vesicle-vesicle interaction forces in a suspension with a large number of vesicles. We report results from numerical experiments that demonstrate the convergence and algorithmic complexity properties of our scheme. Joint work with: Shravan K. Veerapaneni, Denis Gueyffier, and Denis Zorin.

In many physical situations we are interested in topological lower bounds for L^2-energy of volume preserving vector fields. Such situations include for instance evolution of a magnetic field in ideal magnetohydrodynamics. Classical energy bounds involve topological invariants like helicity which measure linkage of orbits in the flow. In this talk I will present a new lower bound in terms of the third order helicity, which is an invariant measuring a third order linkage of orbits. I will also discuss how the third order helicity can be derived from the Milnor's \mu-bar invariant for 3-component links.