Noticias en español
Liouville dynamical percolation & The signature method
Seminario doble conjunto Modelamiento Estocástico / Núcleo Milenio MESCYD Primera Sesión: 3pm Avelio Sepúlveda (U. Lyon 1) Liouville dynamical percolation A dynamical percolation is a process on black and white colourings of the vertices of a graph, in which each vertex has an independent Poissonian clock, and each time a clock rings the colour of its correspondent vertex is resampled. In this talk, we will study a dynamical percolation in the triangular grid, using clocks whose rate is defined in terms of a Liouville measure of parameter $\gamma$. In particular, we will show that this...
Read MoreEstimación de variación total y volatilidad en modelos unificados de GARCH-Ito con saltos.
Estimación de variación total y volatilidad en modelos unificados de GARCH-Ito con saltos. Resumen: Los modelos discretos de GARCH y continuos de Drift-Difusión son ampliamente utilizados en campos como finanzas y neurociencia. El modelo GARCH-Ito, introducido recientemente por Wang y Kim, superpone un modelo GARCH en tiempos discretos en el modelo de Ito para la volatilidad instantánea. En este trabajo, se propone una metodología conjunta para la estimación de la variación cuadratica para trayectorias con discontinuidades, utilizando criterios basados en Wavelets de Dauchiebis para...
Read MoreSeminario Conjunto: Aprendizaje de Máquinas y Modelamiento Estocástico. Mini Workshop: Computational Optimal Transport
Lugar: Sala (B04, piso -1, Beauchef 851) Fecha: Lunes 26, noviembre, 2018. Hora: 1500 – 1700hrs Presentadora: Dr. Elsa Cazelles Título: Statistical properties of barycenters in the Wasserstein space Hora: 1500hrs Abstract: In this work, we discuss the analysis of data in the form of probability measures on R^d. The aim is to provide a better understanding of the usual statistical tools on this space endowed with the Wasserstein distance. The first order statistical analysis is a natural notion to consider, consisting of the study of the Fréchet mean (or barycenter). In particular, we...
Read MoreCanonical Supermartingle Couplings
ABSTRACT: Two probability distributions in second stochastic order can be coupled by a supermartingale, and in fact by many. Is there a canonical choice? We construct and investigate two couplings which arise as optimizers for constrained Monge-Kantorovich optimal transport problems where only supermartingales are allowed as transports. Much like the Hoeffding-Frechet coupling of classical transport and its symmetric counterpart, the Antitone coupling, these can be characterized by order-theoretic minimality properties, as simultaneous optimal transports for certain classes of reward...
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