Uncertainty, Valuations and Filtering
Host
Department of Applied Mathematics
Speaker
Samuel Cohen
Mathematical Institute, Oxford University
https://people.maths.ox.ac.uk/cohens/
Description
Model uncertainty is often an unconsidered source of risk in probabilistic modelling. In this talk, we will consider an approach to quantifying uncertainty arising due to statistical estimation, using nonlinear expectations. We will then consider how this uncertainty propagates through time in a Kalman-Bucy filter, which leads to some difficult problems in optimal control.
Event Topic
Mathematical Finance, Stochastic Analysis, and Machine Learning