BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:https://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20250330T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20251026T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20251120T110000
DTEND;TZID=Europe/Helsinki:20251120T120000
DTSTAMP:20260710T020917
CREATED:20250806T090239Z
LAST-MODIFIED:20251117T141928Z
UID:18273-1763636400-1763640000@crest.science
SUMMARY:Julio BACKHOFF (University of Vienna)  "Exciting games and the specific relative entropy "
DESCRIPTION:Mathematical Finance\nTime: 11.00 am\nDate:20th of November 2025\nRoom 3001 \nJulio BACKHOFF (University of Vienna) “Exciting games and the specific relative entropy ” \nAbstract : The laws of two continuous martingales will typically be singular to each other and hence have infinite relative entropy. But this does not need to happen in discrete time. This suggests defining a new object\, the specific relative entropy\, as a scaled limit of the relative entropy between the discretized laws of the martingales. This definition goes all the way back to Gantert’s PhD thesis\, and in recent time Föllmer has rekindled the study of this object by for instance obtaining a novel transport-information inequality. \nIn this talk I will first discuss recent results on explicit formulae (or bounds) for the specific relative entropy in terms of the quadratic variation processes of the martingales involved. Next I will describe an application of this object to prediction markets. Concretely\, D. Aldous asked in an open question to determine the ‘most exciting game’\, i.e. the prediction market with the highest entropy. We formalize this question as a problem of specific relative entropy optimization and completely characterize its optimizer. As a crucial step\, we make an unexpected connection to the field of Monge-Ampère equations. \nOrganizers:  Roxanna DUMITRESCU – Jean-François CHASSAGNEUX \n  \n
URL:https://crest.science/event/julio-backhoff-university-of-vienna-t-b-a/
CATEGORIES:Finance-Insurance,Mathematical Finance,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR