Talks and Poster Presentations (without Proceedings-Entry):
"Causal optimal transport: model misspecification and the role of information";
Talk: Hausdorff School "Optimal Transport meets Economic Theory",
In probabilistic terms, Optimal Transport (OT) is the theory of extremal couplings between stochastic process. Nevertheless, classical OT is oblivious to the information structure (i.e. filtrations and adaptedness) that make stochastic processes so appealing in many applications in economics, finance, etc. Causal Optimal Transport is what appears when we take information into account in an OT problem. In this talk we will introduce some aspects of this theory. We will highlight its usefulness in economics and related areas by studying the issues of model misspecification, and the role of information, from this point of view.
Electronic version of the publication:
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