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UID:20260624T082125EDT-9256OGDuKA@132.216.98.100
DTSTAMP:20260624T122125Z
DESCRIPTION:Title: From Monge optimal transports to optimal Skorokhod embed
 dings\n\nAbstract: The optimal transportation problem\, which originated i
 n the work of Gaspard Monge in 1781\, provides a fundamental and quantitav
 e way to measure the distance between probability distributions. It has le
 d to many successful applications in PDEs\, Geometry\, Statistics and Prob
 ability Theory. Recently\, and motivated by problems in Financial Mathemat
 ics\, variations on this problem were introduced by requiring the transpor
 t plans to abide by certain 'fairness rules\,' such as following martingal
 e paths. One then specifies a stochastic state process and a costing proce
 dure\, and minimize the expected cost over stopping times with a given sta
 te distribution. Recent work has uncovered deep connections between this t
 ype of constrained optimal transportation problems\, the celebrated Skorok
 hod embeddings of probability distributions in Brownian motion\, and Hamil
 ton-Jacobi variational inequalities.\n
DTSTART;VALUE=DATE:20190927
DTEND;VALUE=DATE:20190927
LOCATION:Room 1355\, CA\, Pav. André-Aisenstadt
SUMMARY:Nassif Ghoussoub\, UBC - Lauréat 2019 du Prix CRM-Fields-PIMS
URL:/mathstat/channels/event/nassif-ghoussoub-ubc-laur
 eat-2019-du-prix-crm-fields-pims-300847
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