Events

Columbia-NYU Financial Engineering Colloquium: Prediction problems and second order parabolic equations in the Wasserstein space

Speaker: Erhan Bayraktar, University of Michigan

Location: Columbia University, Room Innovation Hub, Tang Family Hall

Date: Wednesday, February 5, 2025

We study the long-time regime of the prediction with expert advice problems in both full information and adversarial bandit feedback settings. In the adversarial bandit feedback setting, we show that the problem leads to second order parabolic PDEs in the Wasserstein space. We establish the wellposedness of weak solutions for these PDEs and establish the connection between these PDEs, mean-field control, and filtering problems. Based on joint works with Ibrahim Ekren and Xin Zhang.