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Caltech/UCLA/USC Joint Analysis Seminar

Tuesday, May 10, 2022
3:00pm to 4:00pm
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Prediction problems and second order equations
Ibrahim Ekren, Department of Mathematics, Florida State University,

We study the long-time regime of the prediction problem in both full information and adversarial bandit feedback setting. We show that with full information, the problem leads to second order parabolic partial differential equations in the Euclidian space. We exhibit solvable cases for this equation. In the adversarial bandit feedback setting, we show that the problem leads to a second order equation in the Wasserstein space. Based on joint works with Erhan Bayraktar and Xin Zhang.

For more information, please contact Math Department by phone at 626-395-4335 or by email at [email protected].