Thursday, January 24, 2019 - 17:15 in V2-210/216
Optimal Transport with a Martingale Constraint: theory, applications and numerics
A talk in the Mathematisches Kolloquium (SFB 1283) series by
Jan Obloj from Oxford
| Abstract: |
Optimal transportation is a very rich an well-established field in mathematics. I consider here its variant where the transport has a direction and an additional martingale, or barycentre preservation, constraint. I will explain how this problem, called the Martingale Optimal Transport (MOT), arises naturally in (robust) financial mathematics and how it links with the classical Skorokhod embedding problem in probability. I will then discuss some recent results on structure of martingale transports. Finally, I will present recent advances on numerical methods for such problems.
Based on joint works with Pietro Siorpaes and with Gaoyue Guo.
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