University of Vienna

TBA

We develop a general framework for pathwise stochastic integration that extends Follmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums and provides pathwise counterparts of Ito, Stratonovich, and backward Ito integration. More precisely, for a continuous path admitting both quadratic variation and Levy area along a fixed sequence of partitions, we define pathwise stochastic integrals as limits of general Riemann sums and prove that they coincide with integrals defined with respect to suitable rough paths. Furthermore, we identify necessary and sufficient conditions under which the quadratic variation and the Levy area of a continuous path are invariant with respect to the choice of partition sequences.

Brenier’s theorem and its Benamou-Brenier variant play a pivotal role
in optimal transport theory. In the context of martingale transport
there is a perfect analogue, termed stretched Brownian motion. We
show that under a natural irreducibility condition this leads to the
notion of Bass martingales.
For given probability measures µ and ν on Rn in convex order, the
Bass martingale is induced by a probability measure α. It is the min-
imizer of a convex functional, called the Bass functional. This implies
that α can be found via gradient descent. We compare our approach
to the martingale Sinkhorn algorithm introduced in dimension one by
Conze and Henry-Labordere.

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.

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.

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.

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.

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.