Stochastic Processes Seminar

Date: March 1, 2024

Time: 10:00AM - 11:00AM

Location: BLOC 302

Speaker: Alexander Roitershtein, TAMU

Title: Balancing art and money in pursuit of a Kelly-type optimality

Abstract: We will discuss a model of an art collector driven by two competing long-term objectives, namely sustainable financial health and maintaining the collection. Mathematically, our model is a peculiar two-dimensional random linear system. In some examples, combining theoretical insights with intensive simulations, we are able to show that the two goals can be reconciled. The talk will focus on the story rather than on exact mathematical details, and will be accessible to students. Among other things, I am planning to discuss a connection between (evasive) Lyapunov exponents, Mobius transformations, continued fractions, inverse Gaussian distributions, and (mysterious) Furstenberg measures, and what it all has to do with investment portfolios, cultural economics, coexistence equilibria, and Bell Labs in the '50s.