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: (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 —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.I will describe some joint work with {\bf
Young-Heon Kim} and {\bf Tongseok Lim}.