Finance and Stochastics szeminárium – Beatrice Acciaio

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Speaker: Beatrice Acciaio Title: Sensitivity of Distributionally Robust Optimization in the Adapted Bures–Wasserstein Space Abstract: The adapted Wasserstein distance provides a natural framework for comparing stochastic processes while accounting for their temporal structure and the flow of information, especially for the purpose of dynamic stochastic optimization in a context of model uncertainty. When restricted to Gaussian processes, it gives rise to the adapted Bures–Wasserstein space, an analogue of the classical Bures–Wasserstein geometry in optimal transport. In this talk, I will pres…