Entropic Regularization of Optimal Transport and Applications (Online)

The Banff International Research Station will host the "Entropic Regularization of Optimal Transport and Applications" workshop in Banff from June 20 to June 25, 2021.

Searching for the most likely evolution

The theory of large deviations provides with a way to compute asymptotically the probability that an interacting particle system moves from a given configuration to another one over a fixed time interval. The problem of finding the most likely …

Stochastic Optimal Transport, Control Theory, and PDEs

The optimal transport problem provides a fundamental and quantitative way to measure the distance between probability distributions. Recently, it has been successfully used to analyze the evolutionary dynamics in physics and biology. Motivated by …

PIHOT Kickoff Event

The kickoff event for PIHOT (the Pacific Interdisciplinary hub on Optimal Transport) will take place on Jan 29-30th, 2021. Please see below for a tentative schedule and connection instructions.

Introduction to Stochastic Portfolio Theory

I present the ideas of Stochastic Portfolio Theory in a simple one dimensional trading context. Additive functional portfolio generation and multiplicative functional generation using a potential are contrasted. The Master Equation introduced by …