Game theory | Martingale theory
In probability theory, the minimal-entropy martingale measure (MEMM) is the risk-neutral probability measure that minimises the entropy difference between the objective probability measure, , and the risk-neutral measure, . In incomplete markets, this is one way of choosing a risk-neutral measure (from the infinite number available) so as to still maintain the no-arbitrage conditions. The MEMM has the advantage that the measure will always be equivalent to the measure by construction. Another common choice of equivalent martingale measure is the minimal martingale measure, which minimises the variance of the equivalent martingale. For certain situations, the resultant measure will not be equivalent to . In a finite probability model, for objective probabilities and risk-neutral probabilities then one must minimise the Kullback–Leibler divergence subject to the requirement that the expected return is , where is the risk-free rate. (Wikipedia).
Physics - Thermodynamics 2: Ch 32.7 Thermo Potential (10 of 25) What is Entropy?
Visit http://ilectureonline.com for more math and science lectures! In this video explain and give examples of what is entropy. 1) entropy is a measure of the amount of disorder (randomness) of a system. 2) entropy is a measure of thermodynamic equilibrium. Low entropy implies heat flow t
From playlist PHYSICS 32.7 THERMODYNAMIC POTENTIALS
Vernier caliper / diameter and length of daily used objects.
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From playlist Fine Measurements
A PRG for Gaussian Polynomial Threshold Functions - Daniel Kane
Daniel Kane Harvard University March 15, 2011 We define a polynomial threshold function to be a function of the form f(x) = sgn(p(x)) for p a polynomial. We discuss some recent techniques for dealing with polynomial threshold functions, particular when evaluated on random Gaussians. We sho
From playlist Mathematics
Optimal Transportation and Applications - 12 November 2018
http://crm.sns.it/event/436 It is the ninth edition of this "traditional'' meeting in Pisa, after the ones in 2001, 2003, 2006, 2008, 2010, 2012, 2014 and 2016. Organizing Committee Luigi Ambrosio, Scuola Normale Superiore, Pisa Giuseppe Buttazzo, Dipartimento di Matematica, Università
From playlist Centro di Ricerca Matematica Ennio De Giorgi
Hans Föllmer: Entropy, energy, and optimal couplings on Wiener space
HYBRID EVENT Recorded during the meeting "Advances in Stochastic Control and Optimal Stopping with Applications in Economics and Finance" the September 12, 2022 by the Centre International de Rencontres Mathématiques (Marseille, France) Filmmaker: Guillaume Hennenfent Find this video a
From playlist Probability and Statistics
MANY Students Didn't Know This...
How To Calculate THRESHOLD Frequency For The Photoelectric Effect!! #Quantum #Mechanics #Physics #Chemistry #NicholasGKK #Shorts
From playlist Quantum Mechanics
Duality between estimation and control - Sanjoy Mitter
PROGRAM: Data Assimilation Research Program Venue: Centre for Applicable Mathematics-TIFR and Indian Institute of Science Dates: 04 - 23 July, 2011 DESCRIPTION: Data assimilation (DA) is a powerful and versatile method for combining observational data of a system with its dynamical mod
From playlist Data Assimilation Research Program
Twenty third SIAM Activity Group on FME Virtual Talk Series
Date: Thursday, December 2, 2021, 1PM-2PM ET Speaker 1: Renyuan Xu, University of Southern California Speaker 2: Philippe Casgrain, ETH Zurich and Princeton University Moderator: Ronnie Sircar, Princeton Universit Join us for a series of online talks on topics related to mathematical fina
From playlist SIAM Activity Group on FME Virtual Talk Series
Eighteenth SIAM Activity Group on FME Virtual Talk
Date: Thursday, March 4, 2021, 1PM-2PM Speaker: Marcel Nutz, Columbia University Title: Entropic Optimal Transport Abstract: Applied optimal transport is flourishing after computational advances have enabled its use in real-world problems with large data sets. Entropic regularization is
From playlist SIAM Activity Group on FME Virtual Talk Series
Mixing of Lennard-Jones particles of two different sizes and masses
Like the video https://youtu.be/opy4fzvxs8g this simulation shows the mixing of 819 particles interacting via a Lennard-Jones potential. The difference is that unlike in the previous video, the orange particles have twice the mass, and sqrt(2) times the radius, of the blue ones. It appear
From playlist Molecular dynamics
Polar Codes and Randomness Extraction for Structured Sources - Emmanuel Abbe
Emmanuel Abbe Princeton University February 25, 2013 Polar codes have recently emerged as a new class of low-complexity codes achieving Shannon capacity. This talk introduces polar codes with emphasis on the probabilistic phenomenon underlying the code construction. New results and connect
From playlist Mathematics
Gilles Pagès: CVaR hedging using quantization based stochastic approximation algorithm
Find this video and other talks given by worldwide mathematicians on CIRM's Audiovisual Mathematics Library: http://library.cirm-math.fr. And discover all its functionalities: - Chapter markers and keywords to watch the parts of your choice in the video - Videos enriched with abstracts, b
From playlist Analysis and its Applications
Maxwell-Boltzmann distribution
Entropy and the Maxwell-Boltzmann velocity distribution. Also discusses why this is different than the Bose-Einstein and Fermi-Dirac energy distributions for quantum particles. My Patreon page is at https://www.patreon.com/EugeneK 00:00 Maxwell-Boltzmann distribution 02:45 Higher Temper
From playlist Physics
Talagrand's convolution conjecture and geometry via coupling - James Lee
James Lee University of Washington November 10, 2014 This is joint work with Ronen Eldan. More videos on http://video.ias.edu
From playlist Mathematics
Micrometer/diameter of daily used objects.
What was the diameter? music: https://www.bensound.com/
From playlist Fine Measurements
Thermodynamics 4a - Entropy and the Second Law I
The Second Law of Thermodynamics is one of the most important laws in all of physics. But it is also one of the more difficult to understand. Central to it are the concepts of reversibility and entropy. Note on the definition of a "closed system." I am using the term "closed system" in th
From playlist Thermodynamics
Lagrange Multipiers: Find the Max and Min of a Function of Two Variables
This video explains how to use Lagrange Multipliers to maximum and minimum a function under a given constraint. The results are shown in using level curves. http://mathispower4u.com
From playlist Lagrange Multipliers
Entropic Optimal Transport - Prof. Marcel Nutz
A workshop to commemorate the centenary of publication of Frank Knight’s "Risk, Uncertainty, and Profit" and John Maynard Keynes’ “A Treatise on Probability” This workshop is organised by the University of Oxford and supported by The Alan Turing Institute. For further details and regular
From playlist Uncertainty and Risk
Micrometer / diameter of daily used objects
What was the diameter? music: https://www.bensound.com/
From playlist Fine Measurements
2020.07.09 Ronen Eldan - Localization and concentration of measures on the discrete hypercube (2/2)
For a probability measure $\mu$ on the discrete hypercube, we are interested in finding sufficient conditions under which $\mu$ either (a) Exhibits concentration (either in the sense of Lipschitz functions, or in a stronger sense such as a Poincare inequality), or (b) Can be decomposed as
From playlist One World Probability Seminar