Talks and Poster Presentations (without Proceedings-Entry):
J. Backhoff:
"Martingale Benamou-Brenier: a probabilistic perspective";
Talk: Vienna Seminar in Mathematical Finance and Probability, TU Wien,
Vienna, Austria (invited);
2017-11-30.
English abstract:
In classical optimal transport, the contributions by Benamou, Brenier and McCann (among others) regarding the time-dependent version of the problem, have had a lasting impact in the field and led to many applications. It is remarkable that this is achieved even if in continuoustime classical optimal transport mass/particles only travel in straight lines. This fails to happen when we consider (continuous-time) martingale optimal transport. In this talk we discuss the existence of a martingale analogue to McCann's interpolation and the Benamou-Brenier formula from a probabilistic point of view. This remarkable martingale is characterized by very natural optimality and geometric properties, leading us to say that it provides a canonical martingale way to connect two measures in convex order.
Electronic version of the publication:
https://fam.tuwien.ac.at/events/vs-mfp/
Created from the Publication Database of the Vienna University of Technology.