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39 votes
3 answers
4k views

Manifold of probability measures: connections between two types of metrics

The space of probability measures could be viewed as an infinite-dimensional manifold, equipped with two possible types of metrics — (1) Wasserstein and (2) Fisher-Rao. Metric (1) is connected with ...
13 votes
2 answers
789 views

Geometric characterization of martingales

Recently I've read a paraphrasing from Ito saying that he sometimes thinks of martingales as geodesics in a very large dimensional manifold. My question is, is there any research studying this idea? ...
6 votes
0 answers
352 views

How to generate a random (Weyl) curvature operator ?

Given a dimension $n$, the space of curvature operators is the space $S^2_B(\Lambda^2\mathbb{R}^n)$ of symmetric endomorphisms $R$ of $\Lambda^2\mathbb{R}^n$ which satisfy the first Bianchi identity : ...