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X-WR-CALDESC:Events for Mathematical Finance
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DTSTART:20240310T080000
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DTSTART:20241103T070000
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DTSTART;TZID=America/Chicago:20240412T140000
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DTSTAMP:20260604T083652
CREATED:20231114T173107Z
LAST-MODIFIED:20240305T220124Z
UID:1209-1712930400-1712934000@www.math.ttu.edu
SUMMARY:Supermartingale Brenier's Theorem with full-marginals constraint
DESCRIPTION:Speaker: Prof. Dominykas Norgilas\, Department of Mathematics\, North Carolina State University \nAbstract: We explicitly construct the supermartingale version of the Fréchet-Hoeffding coupling in the setting with infinitely many marginal constraints. This extends the results of Henry-Labordere et al. obtained in the martingale setting. Our construction is based on the Markovian iteration of one-period optimal supermartingale couplings. In the limit\, as the number of iterations goes to infinity\, we obtain a pure jump process that belongs to a family of local Lévy models introduced by Carr et al. We show that the constructed processes solve the continuous-time supermartingale optimal transport problem for a particular family of path-dependent cost functions. The explicit computations are provided in the following three cases: the uniform case\, the Bachelier model and the Geometric Brownian Motion case.
URL:https://www.math.ttu.edu/mathematicalfinance/event/supermartingale-breniers-theorem-with-full-marginals-constraint/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/norgilas-1.jpg
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