David Sprott Distinguished Lecture by Hans FöllmerExport this event to calendar

Thursday, September 26, 2019 — 4:15 PM EDT

Hans Follmer

Optimal Transport, Entropy, and Risk Measures on Wiener space

We discuss the interplay between entropy, large deviations, and optimal couplings on Wiener space.

In particular we prove a new rescaled version of Talagrand’s transport inequality. As an application, we consider rescaled versions of the entropic risk measure which are sensitive to risks in the fine structure of Brownian paths. 

Cost 
Complimentary
Location 
STC - Science Teaching Complex
0050
200 University Ave West

Waterloo, ON N2L 3G1
Canada

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