Bayesian dynamic portfolio optimization with informative constraints
Abstract
Graph causal optimal transport is a recent generalisation of causal optimal transport in which the allowed couplings satisfy causal restrictions given by a directed graph. Inspired by applications to structural causal models, it was originally introduced in Eckstein and Cheridito (2023). We study fundamental properties of graph causal optimal transport, with a particular focus on its induced Wasserstein distance. Our main result is a full characterisation of the directed graphs for which this associated Wasserstein distance is indeed a metric, an open problem in the original paper. We fully characterise the gluing properties of graph causal couplings, prove denseness of Monge maps, and provide a dynamic programming principle. Finally, we present an application to continuity of stochastic team problems. Based on joint work with Jan Obloj.
The Department of Psychiatry are looking for volunteers aged 18–65 who are experiencing low mood or reduced motivation to take part in a study testing a 7-day course of Losartan (a licensed blood pressure medicine) or placebo, and psychological training focused on activity scheduling.
Participants who complete the study will be reimbursed at least £140, plus reasonable travel expenses for visits.
The dynamical Phi^4_3 model is a stochastic partial differential equation that arises in quantum field theory and statistical physics. Owing to the singular nature of the driving noise and the presence of a nonlinear term, the equation is inherently ill-posed. Nevertheless, it can be given a rigorous meaning, for example, through the framework of regularity structures. On compact domains, standard arguments show that any solution converges to the equilibrium state described by the unique invariant measure. Extending this result to infinite volume is highly nontrivial: even for the lattice version of the model, uniqueness holds only in the high-temperature regime, whereas at low temperatures multiple phases coexist.
We prove that, when the mass is sufficiently large or the coupling constant sufficiently small (that is, in the high-temperature regime), all solutions of the dynamical Phi^4_3 model in infinite volume converge exponentially fast to the unique stationary solution, uniformly over all initial conditions. In particular, this result implies that the invariant measure of the dynamics is unique, exhibits exponential decay of correlations, and is invariant under translations, rotations, and reflections.
Joint work with Martin Hairer, Jaeyun Yi, and Wenhao Zhao.
Thursday 22 January 2026, 5.00-6.00 pm Andrew Wiles Building. Please email @email to register to attend in person.
Rabbit: a small furry mammal. 'Rabbit, rabbit, rabbit: a superstition for day one of the month to bring luck for the rest of it. 'Rabbit and pork: Cockney rhyming slang for talk, as in too much of. Rabbit: a maths puzzle?
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