David Sprott Distinguished Lecture by Hans Föllmer

Thursday, September 26, 2019 4:15 pm - 4:15 pm EDT (GMT -04:00)
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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. 

Location Information
Location Address: STC - Science Teaching Complex
200 University Ave West
0050
Waterloo, ON, CA  N2L 3G1
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Additional Information
Host: Statistics and Actuarial Science Event website: Hans Föllmer's David Sprott Distinguished Lecture Cost: Complimentary