Probability Seminar: Yifan Jiang
| Dates: | 18 November 2026 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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| Who is it for: | University staff, External researchers, Current University students |
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Yifan Jiang (Imperial) will speak at the Probability seminar.
Title: Adapted Wasserstein distance between scalar fractional SDEs
Abstract: In this talk, I will discuss two approaches to compute the adapted Wasserstein distance between fractional SDEs. The first approach uses the canonical representation of Gaussian processes and reformulates the bicausal transport problem as a stochastic control problem. The second approach relies on the discrete-time approximation to scalar fractional SDEs. We identify the synchronous coupling between fractional SDE and establish its optimality for any Hurst parameter in (0,1) up to a commutator condition of the associated coefficients for the rough regime. To the best of my knowledge, these are first results go beyond the Markovian or semi-martingale framework. This talk is based on joint works with Fang Rui Lim.
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Frank Adams 2
Alan Turing Building
Manchester
