SMS scnews item created by Leo Tzou at Fri 22 Sep 2017 1608
Type: Seminar
Modified: Tue 3 Oct 2017 1744
Distribution: World
Expiry: 22 Sep 2018
Calendar1: 6 Oct 2017 1500-1600
CalLoc1: Carslaw 373
CalTitle1: On a general theory of mass transfer
Auth: leo@cpe-121-211-99-151.hhui5.cht.bigpond.net.au (ltzo2369) in SMS-WASM

# Joint Colloquium: Ghoussoub -- On the structure of optimal martingale transport plans in general dimensions

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 â€”convex ordered-- probability measures as marginals.  While there is a
great deal of results â€”mostly established by the mathematical financial communityâ€”
when the marginals are probabilities on the real line, much less is known in the richer
and more delicate higher dimensional setting.I will describe some joint work with {\bf
Young-Heon Kim} and {\bf Tongseok Lim}.


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