We investigate the strong data processing inequalities of contractive Markov Kernels under a specific f-divergence, namely the E-gamma-divergence. More specifically, we characterize an upper bound on the E-gamma-divergence between PK and QK, the output distributions of contractive Markov kernel K, in terms of the E-gamma-divergence between the corresponding input distributions P and Q. Interestingly, the tightest such upper bound turns out to have a non-multiplicative form. We apply our results to derive new bounds for the local differential privacy guarantees offered by the sequential application of a privacy mechanism to data and we demonstrate that our framework unifies the analysis of mixing times for contractive Markov kernels.

We characterise the solutions to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads -- these are short-term deviations from the fundamental value of the asset. Conditional on the value of the fad, we model how informed traders and uninformed traders arrive in the market. The market maker knows of the two groups of traders but only observes the anonymous order arrivals. We study both, the complete information and the partial information versions of the control problem faced by the market maker. In such frameworks, we characterise the value of information, and we find the price of liquidity as a function of the proportion of informed traders in the market. Lastly, for the partial information setup, we explore how to go beyond the Kalman-Bucy filter to extract information about the fad from the market arrivals.

In this talk, we discuss the condition for the marginal distribution of the solution to singular SPDEs on the d-dimensional torus to be singular with respect to the law of the Gaussian measure induced by the linearized equation. As applications of our result, we see the singularity of the Phi^4_3-measure with respect to the Gaussian free field measure and the border of parameters for the fractional Phi^4-measure to be singular with respect to the base Gaussian measure. This talk is based on a joint work with Martin Hairer and Seiichiro Kusuoka.