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Optimal stochastic transport
November 21, 2014 @ 11:00 am
Alfred Galichon (Sciences Po, Paris)
We explore the link between the Monge-Kantorovich problem and the Skorohod embedding problem. This question arises in particular in Mathematical Finance when seeking model-free bounds on some option prices when the marginal distributions of the underlying at various maturities are implied by European options prices. We provide a stochastic control approach which we connect to several important constructions. Finally we revisit in this light the celebrated Azéma-Yor solution of the Skorohod embedding problem.
This talk is based on joint works with Guillaume Carlier, Pierre Henry-Labordère and Nizar Touzi.