SMRI Seminar: Wiesel -- SMRI Seminar: Johannes Wiesel

Speaker: Johannes Wiesel Title: Estimating processes using optimal transport Abstract:
The Wasserstein distance $\mathcal{W}_p$ is an important instance of an optimal
transport cost.  Its numerous mathematical properties have been well studied in recent
years.  The adapted Wasserstein distance $\mathcal{AW}_p$ extends this theory to laws of
discrete time stochastic processes in their natural filtrations, making it particularly
well suited for analyzing time-dependent stochastic optimization problems.  Recently,
$\mathcal{W}_p$ has found a lot of interesting applications in statistics and machine
learning.  In this talk I will explain how some of these results can be extended to
stochastic processes and $\mathcal{AW}_p$.  In particular I will focus a new measure of
dependence between two random objects, which I call the Wasserstein correlation.