第102回研究会

開催日：

2025年10月8日(水) 16:00-17:00

会場：

丸の内永楽ビルディング18階 東京都立大学 丸の内サテライトキャンパス
(Zoomでも同時配信します)

報告者：

Freddy Delbaen 氏 (Professor Emeritus, ETH Zurich)

タイトル：

Some algorithmic problems related to the best independent approximation of a random variable

概要Overview

With Majumdar I proved that if a random variable is uncorrelated to a sigma algebra there exists a best approximation of it by a random variable that is independent of the sigma algebra. We try to calculate such an approximation in a discrete probability space. In a discrete setting we must adapt some of the hypotheses of this theorem. There is a big difference between the one dimensional random variables and the more dimensional random variables. In the one dimensional case the solution only needs re-ordering algorithms.

講師ご略歴Profile for speakers

Freddy Delbaen was appointed full Professor at the Chair of Financial Mathematics on October 1, 1995. He directed many projects in this field. He retired end of May 2008. He is still active as a professor emeritus. Since 2011 he is also invited professor at the University of Zurich.
Freddy Delbaen has published many papers in journals dealing with pure and applied mathematics, as well as insurance and financial mathematics.
He was invited Professor at many universities in Canada, France, Japan, Australia and China. He gave several talks as invited speaker at international conferences like the biannual meeting of the Bachelorier Finance Society (BFS). He was president and vice president of the BFS. He is now an honorary member of BFS.
His research deals with the mathematical theory of arbitrage and the study of risk measures. Together with P. Artzner, J.M. Eber and D. Heath he introduced the concept of risk measures and made the link to mathematical finance.
Freddy Delbaen is also a recipient of the following prizes:
– Stipend of the Belgian Government to travel (prize given to young scientists on the basis of their work).
– Louis Empain Prize (this prize is awarded to mathematical sciences on a three year term basis. It is given by the Belgian National Science Foundation).
– The David Garrick Halmstad Prize (in 1989 and in 2010) for the best actuarial paper.
– The international INA prize for actuarial Sciences, awarded by the Accademia Nazionale dei Lincei (Rome).
He is a Fellow of the Institute of Mathematical Statistics, a Fellow of the American Mathematical Society (first year promotion), and a member of the Academia Europaea.

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