EVENT DETAILS AND ABSTRACT

Title: Optimal martingale transport in general dimensions
Speaker: Young-Heon Kim
Speaker Info: University of British Columbia
Brief Description:
Special Note:
Abstract:

We discuss the optimal solutions to a transport problem where mass has to move under martingale constraint; this constraint forces the transport to split the mass. This problem was originated from mathematical finance, e.g. option pricing. There have been intensive studies on the one-dimensional case, but, rarely in higher dimensions. We present structural results in general dimensions. This is a joint work with Nassif Ghoussoub and Tongseok Lim.