Talks and Poster Presentations (with Proceedings-Entry):
M. Huesmann:
"The geometry of multi-marginal Skorokhod embedding";
Talk: Conference "Heat Kernels, Stochastic Processes and Functional Inequalities",
Oberwolfach;
2016-11-27
- 2016-12-03; in: "Report No. 55/2016 - Heat Kernels, Stochastic Processes and Functional Inequalities",
(2016),
3096
- 3099.
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
Keywords:
Mathematics Subject Classification (2010): 31, 60, 35, 58, 46, 58J65, 53C23, 60F17, 60J45, 35B27.
"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)
http://dx.doi.org/10.4171/OWR/2016/55
Electronic version of the publication:
https://www.mfo.de/occasion/1648/www_view
Created from the Publication Database of the Vienna University of Technology.