Optimal transport and Skorokhod embedding

Stochastic Analysis Seminar Series

 It is well known that several solutions to the Skorokhod problem   optimize certain ``cost''- or ``payoff''-functionals.  We use the   theory of Monge-Kantorovich transport to study the corresponding   optimization problem. We formulate a dual problem and establish   duality based on the duality theory of optimal transport. Notably   the primal as well as the dual problem have a natural interpretation   in terms of model-independent no arbitrage theory.   In optimal transport the notion of c-monotonicity is used to   characterize the geometry of optimal transport plans. We derive a   similar optimality principle that provides a geometric     characterization of optimal stopping times. We then use this   principle to derive several known solutions to the Skorokhod   embedding problem and also new ones. This is joint work with Mathias Beiglböck and Alex Cox.

Location:
Speaker(s):

MARTIN HUESMANN

Date:
Monday, May 12, 2014 - 14:15
to 15:15