Entropy and enlargement of filtrations
Speaker: Anna Aksamit
Affiliation: The University of Sydney
Abstract
I will discuss entropy as a measurement of additional information under filtration enlargement. Starting with a reference filtration we look at the stability of appropriate martingale and semi-martingale spaces when considered in the filtration enlarged with a thin random time. The sufficient condition for the stability is expressed in terms of the new notion of entropy of a thin random time. Additionally we give a utility maximisation interpretation of this notion of entropy.
About Statistics, modelling and operations research seminars
Students, staff and visitors to UQ are welcome to attend our regular seminars.
The events are jointly run by our Operations research and Statistics and probability research groups.
The Statistics, modelling and operations research (SMOR) Seminar series seeks to celebrate and disseminate research and developments across the broad spectrum of quantitative sciences. The SMOR series provides a platform for communication of both theoretical and practical developments, as well as interdisciplinary topics relating to applied mathematics and statistics.
Venue
Room: 210 (and via Zoom:
https://uqz.zoom.us/j/85861107130)
