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.
Waterloo Mathematics and Engineering alumni living or working in the Seattle area are invited to meet and catch up with fellow alumni for a Thursday night mixer at the Brave Horse Tavern. Reminisce about the University of Waterloo, network with classmates and hear the latest news from your alma mater over cocktails and appetizers.