Ioannis Gasteratos

Abstract

In this talk, we study concentration properties for laws of non-linear Gaussian functionals on metric spaces. Our focus lies on measures with non-Gaussian tail behaviour which are beyond the reach of Talagrand’s classical TransportationCost Inequalities (TCIs). Motivated by solutions of Rough Differential Equations and relying on a suitable contraction principle, we prove generalised TCIs for functionals that arise in the theory of regularity structures and, in particular, in the cases of rough volatility and the two-dimensional Parabolic Anderson Model. Our work also extends existing results on TCIs for diffusions driven by Gaussian processes. This is joint work with Antoine Jacquier.  

Our speaker

I am a research associate at the Department of Mathematics of Imperial College London. Prior to this, I completed my PhD in Mathematics at Boston University, under the supervision of Prof. Michael Salins and Prof. Konstantinos Spiliopoulos, in June 2022.

My research interests lie in stochastic analysis. Currently, I am working on problems in large deviations, stochastic partial differential equations, rough volatility and rough paths.

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