Talks and Poster Presentations (without Proceedings-Entry):
J. Backhoff:
"Martingale Benamou-Brenier: a probabilistic perspective";
Talk: Stochastic modelling in finance Seminar at CMAP,
École Polytechnique, Paris, France (invited);
2018-01-29.
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 continuous time classical optimal transport mass/particles only travel in straight lines. Of course 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 probabilisticpoint 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. This is joint work with M. Beiglböck, M. Huesmann and S. Kallblad.
Created from the Publication Database of the Vienna University of Technology.