Wednesday, November 6, 2019 - 15:00 in V3-201
All adapted topologies are equal
A talk in the Bielefeld Stochastic Afternoon series by
Julio Backhoff Veraguas from University of Vienna
| Abstract: |
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 (i.e. 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.)
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