Talks and Poster Presentations (without Proceedings-Entry):
J. Backhoff:
"On optimal transport under the causality constraint";
Talk: Joint Risk & Stochastics and Financial Mathematics Seminar Series 2016,
London School of Economics, UK (invited);
2016-01-25.
English abstract:
In this talk we shall examine causal transports and the associated optimal transportation problem under the causality constraint (Pc) introduced by Rémi Lasalle. Loosely speaking, causal transports are a relaxation of adapted processes in the same sense as Kantorovich transport plans are the extension of Monge-type transport maps. We will establish a simple primal-dual picture of both (Pc) and the so-called bicausal transportation problem (whereby causality runs in both directions) in euclidean space or equiv. for discrete-time processes, and discuss the limit to continuous-time.
Electronic version of the publication:
http://www.lse.ac.uk/maths/Seminars/Risk%20_Stochastics-Maths_Dept_Joint_Seminars.aspx
Created from the Publication Database of the Vienna University of Technology.