Optimal Transportation and Applications
timetable:
Thu 5 Dec, 9:50 - 10:35, Aula Dini
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Martingale Benamou-Brenier: mimicking a Brownian motion
speaker: Beatrice Acciaio (ETH Zürich)abstract: The concept of stretched Brownian motion has been introduced as the unique solution to a dynamic formulation of the martingale transport problem. The name originates from the characteristic of mimicking as closely as possible the movement of a Brownian particle, while fitting the prescribed marginals. In this talk I will review fundamental results for the stretched Brownian motion, with particular attention to the fixed-point iteration scheme for its computation, for which I will provide convergence results. Based on joint work with A. Marini and G. Pammer.
timetable:
Thu 5 Dec, 9:50 - 10:35, Aula Dini
<< Go back