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 finance

Collection 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 finance

Organizer(s) Buckdahn, Rainer ; Ferrari, Giorgio ; Grigorova, Miryana ; Quenez, Marie-Claire ; Riedel, Frank
Date(s) 12/09/2022 - 16/09/2022
linked URL https://conferences.cirm-math.fr/2600.html
00:00:00 / 00:00:00
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Entropy, energy, and optimal couplings on Wiener space

By Hans Föllmer

We discuss couplings on Wiener space that are optimal with respect to different cost functionals and derive corresponding versions of Talagrand's transport inequality.

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Citation data

  • DOI 10.24350/CIRM.V.19959803
  • Cite this video Föllmer, Hans (12/09/2022). Entropy, energy, and optimal couplings on Wiener space. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19959803
  • URL https://dx.doi.org/10.24350/CIRM.V.19959803

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