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DTSTART:20220327T030000
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DTSTAMP:20260404T110132Z
UID:1651064400@ist.ac.at
DTSTART:20220427T150000
DTEND:20220427T155000
DESCRIPTION:Speaker: Mathias Beiglböck\nhosted by M. Beiglböck\, N. Beres
 tycki\, L. Erdös\, J. Maas\, F. Toninelli\nAbstract: Wasserstein distance
  induces a natural Riemannian structure for the probabilities on the Eucli
 dean space. This insight of classical transport theory is fundamental for 
 tremendous applications in various fields of pure and applied mathematics.
 We believe that an appropriate probabilistic variant\, the adapted Wassers
 tein distance AW\, can play a similar role for the class FP of filtered pr
 ocesses\, i.e. stochastic processes together with a filtration. In contras
 t to other topologies for stochastic processes\, probabilistic operations 
 such as the Doob-decomposition\, optimal stopping and stochastic control a
 re continuous w.r.t. AW. We also show that (FP\,AW) is a geodesic space\, 
 isometric to a classical Wasserstein space\, and that martingales form a c
 losed geodesically convex subspace. (Joint work with Daniel Bartl and Gudm
 und Pammer)
LOCATION:Heinzel Seminar Room (I21.EG.101)\, Office Building West\, ISTA
ORGANIZER:birgit.oosthuizen-noczil@ist.ac.at
SUMMARY:Mathias Beiglböck: The Wasserstein space of stochastic processes 
URL:https://talks-calendar.ista.ac.at/events/3719
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