Type: Seminar

Modified: Tue 3 Oct 2017 1744

Distribution: World

Expiry: 22 Sep 2018

CalTitle1: On a general theory of mass transfer

Auth: leo@cpe-121-211-99-151.hhui5.cht.bigpond.net.au (ltzo2369) in SMS-WASM

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}.