Talks and Poster Presentations (without Proceedings-Entry):
M. Huesmann:
"The geometry of multi-marginal Skorokhod embedding";
Talk: ERC Conference on Optimal Transportation and Applications,
Pisa, Italy (invited);
2016-11-07
- 2016-11-11.
English abstract:
The martingale optimal transport problem (MOT) is a variant of the optimal transport problem where the coupling is required to be a martingale between its marginals. In dimension one, this problem is well understood for two marginals corresponding to one-
step martingales.
Via the Dambis-Dubins-Schwarz Theorem the MOT can be translated into a Skorokhod embedding problem (SEP). It turns out that the recently established transport approach to SEP allows for a systematic treatment of all known solutions to (one-dimensional)
MOT.
We show that the transport approach to SEP extends to a multi-marginal setup. This allows us to show that all known one-marginal solutions have natural multi-marginal coun-
terparts. In particular (among other things), we can systematically construct solutions to genuine multi-marginal martingale optimal transport problems.
This is joint work with M.Beiglböck and A.Cox
Electronic version of the publication:
http://cvgmt.sns.it/media/doc/event/357/WEB_locandina%407-11_novembre_2016.pdf
Created from the Publication Database of the Vienna University of Technology.