ERC Workshop on Optimal Transportation and Applications
timetable:
Tue 6 Nov, 15:05 - 15:35, Aula Dini
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A Canonical Martingale Coupling
speaker: Nicolas Juillet (Université de Strasbourg)abstract: (Joint work with Mathias Beiglböck) According to Strassen, if two real probability measures \(\mu\) and \(\nu\) are in the convex order i.e., the integral of any convex function \(\varphi\) is greater for \(\nu\), then there exists a transport plan \(\pi\) of ''martingale'' type: \(\mu\)-almost surely the conditional measure \(\pi_x\) has barycenter \(x\). We will see that such a measure can enjoy canonical properties when it is chosen as the minimizer of a ''martingale transport problem''. We give other results related to the classical theory of optimal transport.
timetable:
Tue 6 Nov, 15:05 - 15:35, Aula Dini
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