Department Mathematik



Mathematisches Kolloquium

On Thursday January 17th, 2019, at 16:30h

Mathias Beiglböck
(Universität Wien)

will give a talk in lecture hall A027 on

The Geometry of Model Uncertainty

Abstract: Starting with the "Black Monday" 1987 (if not earlier) and down to the present day, the over-confidence in mathematical models and the failure to account for model uncertainty have frequently been blamed for their infamous role in financial crisis. Remarkably, it remains an open challenge to quantify the effects of model uncertainty in a coherent way. From a mathematical persepctive, this is a delicate issue which touches on deep classical problems of stochastic analysis. Recent work has established new links to the field of optimal mass transport. This yields a powerful geometric approach to model uncertainty and a number of related problems in the theory of stochastic processes.

Everyone is invited! Join us for coffee and tea in the common room (B448) half an hour before the talk.