Talks and Poster Presentations (without Proceedings-Entry):
"The Geometry of Multi-Marginal Skorokhod Embedding";
Talk: Workshop "Optimal transport and stochastics",
Hausdorff Center for Mathematics, University Bonn, Germany (invited);
During the last 50 years the Skorokhod embedding problem has become an important classical problem in probability theory and a number of solutions with particular optimality properties have been constructed. Recently a unified derivation of many of these solutions has been obtained through a new approach inspired by the theory of optimal transport.
Using the original techniques from stochastic analysis, the multi-period version of the Skorokhod problem seems difficult and only limited results are available: Henry-Labordere, Obloj, Spoida, and Touzi derive the multi- marginal Azema-Yor embedding under additional technical conditions and recently the multi-marginal Root embedding has been obtained by Cox, Obloj, and Touzi.
Here we show that the transport approach can also be used to extend the classical optimal solutions to the multi-marginal Skorokhod problem. In particular we establish that these constructions share a common geometric structure. This has further applications to the martingale optimal transport problem.
(joint work with A. Cox, M. Huesmann)
Electronic version of the publication:
Created from the Publication Database of the Vienna University of Technology.