Fri, 28 Feb 2025
15:00
L4

Optimal partial transport and non-negatively curved Alexandrov spaces

Mauricio Che
(University of Vienna)

Note: we would recommend to join the meeting using the Teams client for best user experience.

Abstract

In this talk, I will discuss Figalli and Gigli’s formulation of optimal transport between non-negative Radon measures in the setting of metric pairs. This framework allows for the comparison of measures with different total masses by introducing an auxiliary set that compensates for mass discrepancies. Within this setting, classical characterisations of optimal transport plans extend naturally, and the resulting spaces of measures are shown to be complete, separable, geodesic, and non-branching, provided the underlying space possesses these properties. Moreover, we prove that the spaces of measures 
equipped with the $L^2$-optimal partial transport metric inherit non-negative curvature in the sense of Alexandrov. Finally, generalised spaces of persistence diagrams embed naturally into these spaces of measures, leading to a unified perspective from which several known geometric properties of generalised persistence diagram spaces follow. These results build on recent work by Divol and Lacombe and generalise classical results in optimal transport.

Mon, 27 Jan 2025
15:30
L3

Adapted optimal transport for stochastic processes

Dr Daniel Bartl
(University of Vienna)
Abstract
In this talk, I will discuss adapted transport theory and the adapted Wasserstein distance, which extend classical transport theory from probability measures to stochastic processes by incorporating the temporal flow of information. This adaptation addresses key limitations of classical transport when dealing with time-dependent data. 
I will highlight how, unlike other topologies for stochastic processes, the adapted Wasserstein distance ensures continuity for fundamental probabilistic operations, including the Doob decomposition, optimal stopping, and stochastic control. Additionally, I will explore how adapted transport preserves many desirable properties of classical transport theory, making it a powerful tool for analyzing stochastic systems.
Thu, 21 Nov 2024
12:00
C6

Failure of the Measure Contraction Property on the Martinet Flat Structure

Samuel Borza
(University of Vienna)
Abstract

The Martinet flat structure is one of the simplest sub-Riemannian manifolds that has many non-Riemannian features: it is not equiregular, it has abnormal geodesics, and the Carnot-Carathéodory sphere is not sub-analytic. I will review how the geometry of the Martinet flat structure is tied to the equations of the pendulum. Surprisingly, the Measure Contraction Property (a weak synthetic formulation of Ricci curvature bounds in non-smooth spaces) fails, and we will try to understand why. If time permits, I will also discuss how this can be generalised to some Carnot groups that have abnormal extremals. This is a joint work in progress with Luca Rizzi.

Thu, 15 Feb 2024

16:00 - 17:00
Virtual

From Lévy's stochastic area formula to universality of affine and polynomial processes via signature SDEs

Christa Cuchiero
(University of Vienna)
Further Information
Abstract

A plethora of stochastic models used in particular in mathematical finance, but also population genetics and physics, stems from the class of affine and polynomial processes. The history of these processes is on the one hand closely connected with the important concept of tractability, that is a substantial reduction of computational efforts due to special structural features, and on the other hand with a unifying framework for a large number of probabilistic models. One early instance in the literature where this unifying affine and polynomial point of view can be applied is Lévy's stochastic area formula. Starting from this example,  we present a guided tour through the main properties and recent results, which lead to signature stochastic differential equations (SDEs). They constitute a large class of stochastic processes, here driven by Brownian motions, whose characteristics are entire or real-analytic functions of their own signature, i.e. of iterated integrals of the process with itself, and allow therefore for a generic path dependence. We show that their prolongation with the corresponding signature is an affine and polynomial process taking values in subsets of group-like elements of the extended tensor algebra. Signature SDEs are thus a class of stochastic processes, which is universal within Itô processes with path-dependent characteristics and which allows - due to the affine theory - for a relatively explicit characterization of the Fourier-Laplace transform and hence the full law on path space.

Thu, 09 May 2024

14:00 - 15:00
Lecture Room 4

Fast optimistic methods for monotone equations and convex optimization problems

Radu Bot
(University of Vienna)
Further Information

 

Please note; the seminar is taking place in Lecture Room 4 on this occasion 

Abstract

In this talk, we discuss continuous in time dynamics for the problem of approaching the set of zeros of a single-valued monotone and continuous operator V . Such problems are motivated by minimax convexconcave and, in particular, by convex optimization problems with linear constraints. The central role is played by a second-order dynamical system that combines a vanishing damping term with the time derivative of V along the trajectory, which can be seen as an analogous of the Hessian-driven damping in case the operator is originating from a potential. We show that these methods exhibit fast convergence rates for kV (z(t))k as t ! +1, where z( ) denotes the generated trajectory, and for the restricted gap function, and that z( ) converges to a zero of the operator V . For the corresponding implicit and explicit discrete time models with Nesterov’s momentum, we prove that they share the asymptotic features of the continuous dynamics.

Extensions to variational inequalities and fixed-point problems are also addressed. The theoretical results are illustrated by numerical experiments on bilinear games and the training of generative adversarial networks.

Mon, 27 Nov 2023

16:30 - 17:30
L3

Schoen's conjecture for limits of isoperimetric surfaces

Thomas Körber
(University of Vienna)
Abstract

R. Schoen has conjectured that an asymptotically flat Riemannian n-manifold (M,g) with non-negative scalar curvature is isometric to Euclidean space if it admits a non-compact area-minimizing hypersurface. This has been confirmed by O. Chodosh and M. Eichmair in the case where n=3. In this talk, I will present recent work with M. Eichmair where we confirm this conjecture in the case where 3<n<8 and the area-minimizing hypersurface arises as the limit of large isoperimetric hypersurfaces. By contrast, we show that a large part of spatial Schwarzschild of dimension 3<n<8 is foliated by non-compact area-minimizing hypersurfaces.

Mon, 19 Oct 2020

16:00 - 17:00

Deep neural networks, generic universal interpolation and controlled ODEs

CHRISTA CUCHIERO
(University of Vienna)
Abstract

Abstract: A recent paradigm views deep neural networks as discretizations of certain controlled ordinary differential equations, sometimes called neural ordinary differential equations. We make use of this perspective to link expressiveness of deep networks to the notion of controllability of dynamical systems. Using this connection, we study an expressiveness property that we call universal interpolation, and show that it is generic in a certain sense. The universal interpolation property is slightly weaker than universal approximation, and disentangles supervised learning on finite training sets from generalization properties. We also show that universal interpolation holds for certain deep neural networks even if large numbers of parameters are left untrained, and are instead chosen randomly. This lends theoretical support to the observation that training with random initialization can be successful even when most parameters are largely unchanged through the training. Our results also explore what a minimal amount of trainable parameters in neural ordinary differential equations could be without giving up on expressiveness.

Joint work with Martin Larsson, Josef Teichmann.

Mon, 18 Nov 2019

15:45 - 16:45
L3

From discrete to continuous time models Some surprising news on an old topic

WALTER SCHACHERMAYER
(University of Vienna)
Abstract

We reconsider the approximations of the Black-Scholes model by discrete time models such as the binominal or the trinominal model.

We show that for continuous and bounded claims one may approximate the replication in the Black-Scholes model by trading in the discrete time models. The approximations holds true in measure as well as "with bounded risk", the latter assertion being the delicate issue. The remarkable aspect is that this result does not apply to the well-known binominal model, but to a much wider class of discrete approximating models, including, eg.,the trinominal model. by an example we show that we cannot do the approximation with "vanishing risk".

We apply this result to portfolio optimization and show that, for utility functions with "reasonable asymptotic elasticity" the solution to the discrete time portfolio optimization converge to their continuous limit, again in a wide class of discretizations including the trinominal model. In the absence of "reasonable asymptotic elasticity", however, surprising pathologies may occur.

Joint work with David Kreps (Stanford University)

Mon, 25 Nov 2019
14:15
L4

D modules and rationality questions

Ludmil Katzarkov
(University of Vienna)
Abstract

In this talk we will discuss a new approach to non rationality of projective varieties based on HMS. Examples will be discussed.

Thu, 30 May 2019

16:00 - 17:30
L4

Adapted Wasserstein distances and their role in mathematical finance

Julio Backhoff
(University of Vienna)
Abstract

The problem of model uncertainty in financial mathematics has received considerable attention in the last years. In this talk I will follow a non-parametric point of view, and argue that an insightful approach to model uncertainty should not be based on the familiar Wasserstein distances. I will then provide evidence supporting the better suitability of the recent notion of adapted Wasserstein distances (also known as Nested Distances in the literature). Unlike their more familiar counterparts, these transport metrics take the role of information/filtrations explicitly into account. Based on joint work with M. Beiglböck, D. Bartl and M. Eder.

Subscribe to University of Vienna