The Geometry of Model Uncertainty
Time
Thursday, 23. May 2019
17:00 - 18:30
Location
F 426
Organizer
Speaker:
Mathias Beiglböck (Universität Wien)
This event is part of an event series „Kolloquium“.
Abstract: The goal of this talk is to give a gentle introduction to the problem of model uncertainty and recent connections to other mathematical areas. Starting with the "Black Monday" 1987 (if not earlier) and down to the present day, the over-confi dence in mathematical models and the failure to account for model uncertainty have frequently been blamed for their infamous role in financial crises. Remarkably, it remains an open challenge to quantify the eff ects of model uncertainty in a coherent way. From a mathematical perspective, this is a delicate issue which touches on deep classical problems of stochastic analysis. Recent work has established new links to the fi eld of optimal mass transport. This yields a powerful geometric approach to model uncertainty and a number of related problems in the theory of stochastic processes.