Talks and Poster Presentations (without Proceedings-Entry):
"Risk-sensitive optimal transport as a limit of particle systems";
Talk: Workshop on stochastic analysis applied in economics, finance and insurance,
Universidad de Chile (invited);
Optimal transport, a linear programming problem, can be obtained as a limit of entropic optimization problems. The latter, also known as Schrödinger problems, have a solid interpretation in terms of non-interacting particle systems. In this way Optimal transport itself can be given a probabilistic interpretation in terms of random particles in the zero-noise limit. In this talk we introduce a family of (non-linear) risk-sensitive optimal transport problems, and prove that such problems can be interpreted via a zero-noise limit of a system of random particles with random weights. Risk-sensitive optimal transport problems serve to find worst-case dependence structures between random variables, and are therefore relevant in actuarial science and finance. This is work in progress with G. Conforti and M. Beiglböck.
Electronic version of the publication:
Created from the Publication Database of the Vienna University of Technology.