Julio Backhoff, Univ. Twente: All adapted topologies are equal (Oberseminar Mathematische Stochastik)
Wednesday, 20.11.2019 17:00 im Raum SRZ 117
Several researchers have introduced topological structures on the set of
laws of stochastic processes. A unifying goal of these authors is to
strengthen the usual weak topology in order to adequately capture the
temporal structure of stochastic processes (ie. filtrations). We find
that all of these seemingly independent approaches define the same
topology in finite discrete time. Moreover, we explain how optimal
transport theory can be used to obtain a compatible metric that is both
tractable and highly relevant for a number of practical questions.
(Based on joint works with D. Bartl, M. Beiglboek, M. Eder.)
Angelegt am Tuesday, 08.10.2019 10:28 von Anita Kollwitz
Geändert am Monday, 18.11.2019 10:40 von Anita Kollwitz
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