Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics
WIAS Berlin

Prof. P. Friz (WIAS und TU Berlin)

“Algebraic statistics meets rough paths”, joint work with C. Armendola and B. Sturmfels

Programm / Abstract:
The signature of a parametric curve is a sequence of tensors whose entries are iterated integrals. This construction is central to the theory of rough paths in stochastic analysis. It is here examined through the lens of algebraic geometry. We introduce varieties of signature tensors for both deterministic and random paths. For the former, we focus on piecewise linear paths, on polynomial paths, and on varieties derived from free nilpotent Lie groups. For the latter, we focus on Brownian motion and its mixtures.

am Dienstag den 17. April 2018 um 15:00

Mohrenstr. 39
10117 Berlin
Weierstraß-Hörsaal (Raum: 406) 4. Etage

eingetragen von chschnei(, 030 20372574)

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