Oberseminar Wahrscheinlichkeitstheorie
Joint research seminar of LMU and TUM in Probability Theory
Students and guests welcome.
Organizers:
Noam
Berger (TUM),
Nina
Gantert
(TUM),
Konstantinos Panagiotou (LMU),
Markus
Heydenreich (LMU),
Sabine
Jansen (LMU),
Franz Merkl
(LMU),
Silke
Rolles (TUM)
Upcoming talks:
| Mon 27 Apr 2026, 16:30: Francesco Mattesini Adapted Wasserstein Barycenters of Gaussian Processes: Existence, Uniqueness and Characterization |
| Optimal transport has become a central tool for comparing probability measures and extracting representative distributions from heterogeneous data — yet in many applications the objects of interest are stochastic processes, and the classical framework ignores a key structural feature: time and information. Indeed, classical Wasserstein barycenters ignore the filtration structure, making them ill-suited for problems in mathematical finance, stochastic control, and sequential decision-making. We study Fréchet means of Gaussian process laws in adapted Wasserstein space, where transport plans must respect the temporal flow of information. We prove that barycenters of Gaussian inputs exist, are Gaussian, and are unique. The key insight is a decomposition of the adapted Bures–Wasserstein distance into independent classical Bures–Wasserstein problems, one per time step, which yields both a clean characterization of the barycenter and a tractable fixed-point algorithm for its computation. Finally, we briefly discuss possible applications in robust stress testing of financial models and illustrate with numerical examples Wasserstein barycenters of autoregressive models. Based on joint work with Johannes Wiesel. |
| Parkring 11, Garching-Hochbrück. |
| Mon 1 Jun 2026, 16:30: Vitali Wachtel TBA |
| TBA |
| Parkring 11, Garching-Hochbrück. Room BC1 2.01.10 (8101.02.110) |
| Mon 8 Jun 2026, 16:30: Adrien Malacan TBA |
| TBA |
| Parkring 11, Garching-Hochbrück. |
| Tue 9 Jun 2026, 16:00: Jakob Maier TBA |
| TBA |
| Parkring 11, Garching-Hochbrück. Room BC1 2.01.10 (8101.02.110) |