On the structure of optimal martingale transport plans in general dimensions

Date & time

4pm 12 October 2017

Location

John Dedman Building 27, Room G35

Speakers

Nassif Ghoussoub, The University of British Columbia

Event series

Contacts

I will describe the profile of optimal solutions of the martingale counterpart of the Monge mass transport problem. These are one-step martingales that maximize or minimize the expected value of the modulus of their increment among all martingales having two prescribed —convex ordered-- probability measures as marginals. While there is a great deal of results —mostly established by the mathematical financial community— when the marginals are probabilities on the real line, much less is known in the richer and more delicate higher dimensional setting.

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