Séminaire de Mathématique

The Parisi Formula via Stochastic Analysis​

by Elton Hsu (Northwestern University)

Amphithéâtre Léon Motchane (IHES)

Amphithéâtre Léon Motchane


Le Bois Marie 35, route de Chartres 91440 Bures-sur-Yvette

Probability and analysis informal seminar

The Parisi formula is a fundamental result in spin glass theory. It gives a variational characterization of the asymptotic  limit of the expected free energy. The upper bound is a consequence of an interpolation identity due to F. Guerra and the lower bound is a celebrated result of M. Talagrand. In this talk I will present a new approach to (an enhanced version of) Guerra's identity using stochastic analysis, more specifically Brownian motion and Ito’s calculus. This approach is suggested by the form of the Parisi formula in which the solution of a Hamilton-Jacobi equation is involved. It helps in many ways to illuminate the original method of Guerra and suggests some possible approaches to the significantly deeper lower bound, which has been intensively studied since Talagrand’s work. Among the techniques from stochastic analysis we will use include path space integration by parts for the Wiener measure, Girsanov’s transform (i.e., exponential martingales), and probabilistic representation of solutions to (linear) partial differential equations. The key observation is that the nonlinear Hamilton-Jacobi partial differentiation equation figuring in Parisi’s variation formula becomes linear after differentiating with respect to Guerra’s interpolation parameter, thus bringing the full strength of stochastic analysis based on Ito’s calculus into play. It is hoped that this approach will shed some lights on the much more difficult lower bound in the Parisi formula. 


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Organized by

Thierry Bodineau, Pieter Lammers, Yilin Wang