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DTSTAMP:20260525T220008Z
SUMMARY:Finance and Stochastics Seminar – Yifan Jiang
DESCRIPTION:Speaker: Yifan Jiang\nTitle: Adapted Wasserstein distances and 
 applications to distributionally robust optimization\nAbstract:\nIn this t
 alk\, I will introduce the adapted Wasserstein (AW) distance — an extens
 ion of the classical Wasserstein distance to stochastic processes. It capt
 ures the filtration generated by the underlying processes and plays a fund
 amental role in the study of stochastic analysis and optimal control probl
 ems. I will present an explicit formula for the 2-AW distance between Gaus
 sian processes and show that the synchronous coupling is optimal between r
 eal-valued fractional SDEs.\n\nWe then turn to applications in distributio
 nally robust optimization (DRO) problems in a dynamic context. This framew
 ork addresses decision-making under model uncertainty by optimizing agains
 t the worst-case scenario\, where the potential model lies in an adapted W
 asserstein ball around a given reference model. I will discuss tractable r
 eformulations of the worst-case performance via duality and sensitivity ap
 proaches. Both discrete- and continuous-time results will be included.
URL:https://www.imperial.ac.uk/events/197613/finance-and-stochastics-semina
 r-30-09-25/
DTSTART;TZID=Europe/London:20250930T140000
DTEND;TZID=Europe/London:20250930T150000
LOCATION:658\, Huxley Building\, South Kensington Campus\, Imperial College
  London\, London\, SW7 2AZ\, United Kingdom
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