Français
Entropy, energy, and optimal couplings on Wiener space
Multi angle
Authors : Föllmer, Hans (Author of the conference)
CIRM (Publisher )
60B11 - Probability theory on linear topological spaces, See Also { 28C20}
60E15 - Inequalities in probability theory; stochastic orderings
60H07 - Stochastic calculus of variations and the Malliavin calculus
CIRM (Publisher )
Loading the player...
|
Abstract :
We discuss couplings on Wiener space that are optimal with respect to different cost functionals and derive corresponding versions of Talagrand's transport inequality.
MSC Codes : 60B11 - Probability theory on linear topological spaces, See Also { 28C20}
60E15 - Inequalities in probability theory; stochastic orderings
60H07 - Stochastic calculus of variations and the Malliavin calculus
|
Information on the Video
Film maker : Petit, JeanLanguage : English Available date : 27/09/2022 Conference Date : 12/09/2022 Subseries : Research talks arXiv category : Probability Mathematical Area(s) : Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 01:00:25 Targeted Audience : Researchers ; Graduate Students ; Doctoral Students, Post-Doctoral Students Download : https://videos.cirm-math.fr/2022-09-12_Follmer.mp4 
|
Information on the Event
Event Title : Advances in Stochastic Control and Optimal Stopping with Applications in Economics and Finance / Avancées en contrôle stochastique et arrêt optimal avec applications à l'économie et à la financeEvent Organizers : Buckdahn, Rainer ; Ferrari, Giorgio ; Grigorova, Miryana ; Quenez, Marie-Claire ; Riedel, Frank Dates : 12/09/2022 - 16/09/2022 Event Year : 2022 Event URL : https://conferences.cirm-math.fr/2600.html
Citation Data
DOI : 10.24350/CIRM.V.19959803Cite this video as: Föllmer, Hans (2022). Entropy, energy, and optimal couplings on Wiener space. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19959803 URI : http://dx.doi.org/10.24350/CIRM.V.19959803 |
See Also
- [Multi angle] European and american options in a non-linear incomplete market with default / Author of the conference Quenez, Marie-Claire.
- [Multi angle] Optimal reinsurance via BSDEs in a partially observable contagion model / Author of the conference Ceci, Claudia.
- [Multi angle] Some recent progress for continuous-time reinforcement learning and regret analysis / Author of the conference Guo, Xin.
- [Multi angle] Dependent stopping times / Author of the conference Protter, Philip.
Bibliography
Imagette Video
