Embedded Files
UCSB Financial Math
Location: South Hall 5421, UC Santa Barbara. Schedule: Monthly
Please contact Haosheng Zhou (hzhou593@ucsb.edu), or Ka Lok Lam (kalok@ucsb.edu) to be added to our mail list.
Supported by the Center for Financial Mathematics and Actuarial Research (CFMAR).
Upcoming events
Upcoming events
Speaker: Lane Chun Yeung (Illinois Institute of Technology)
Title: Quantitative propagation of chaos for non-exchangeable diffusions via first-passage percolation
Time: 12pm - 2pm (PST), 13 May, 2026.
Venue: South Hall 5607F (Sobel Seminar Room)
Abstract:
Continuing from Monday’s seminar, this talk will explain in more detail the proof strategy for obtaining the quantitative propagation of chaos estimates for non-exchangeable diffusions. We use a generalized form of the BBGKY hierarchy to derive a hierarchy of differential inequalities for relative entropies. A key step is to exploit an unexpected connection with first-passage percolation, which allows us to analyze this hierarchy by bounding the marginal entropies in terms of expectations of functionals of the associated percolation process. Based on joint work with Daniel Lacker and Fuzhong Zhou.
Page updated
Google Sites
Report abuse