[Zurück]


Vorträge und Posterpräsentationen (ohne Tagungsband-Eintrag):

M. Huesmann:
"Transport cost estimates for random measures in dimension one";
Vortrag: Vienna Seminar in Mathematical Finance and Probability, TU Wien, University of Vienna, Austria (eingeladen); 12.01.2017.



Kurzfassung englisch:
Motivated by matching and allocation problems we introduce the optimal transport problem between two invariant random measures. Since this is a transport problem between two infinite measures the total transport cost will always be infinite. It turns that the proper replacement is the transport cost per unit volume; assuming that the transport cost per unit volume is finite existence and uniqueness of optimal invariant couplings can be established.
After reviewing the essential parts of this theory I will show that in dimension one there is a sharp threshold for the transport cost between the Lebesgue measure and an invariant random measure to be finite. More precisely, we show that the L^1 cost is always infinite (provided the random measure is sufficiently random) and we establish sharp and easily checkable conditions for the L^p cost to be finite for 0<p<1.
If time permits, we end with some challenging open problems.


Elektronische Version der Publikation:
https://fam.tuwien.ac.at/events/vs-mfp/


Erstellt aus der Publikationsdatenbank der Technischen Universität Wien.