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Entropy, energy, and optimal couplings on Wiener space

By Hans Föllmer

Appears in 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

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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  • 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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