Entropy, energy, and optimal couplings on Wiener space | Vidéo | Carmin.tv

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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.

Information about the video

Date of recording 12/09/2022
Date of publication 27/09/2022
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers, Graduate Students
Director(s) Jean Petit
Format MP4

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

Domain(s)

Probability

MSC codes

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