9 dec 2015 - 11 dec 2015   [open in google calendar]

On December 9-10-11 prof. Nizar Touzi (Ecole Polytechnique) will give a mini-course on "Martingale Optimal Transport" at the Department of Mathematics of Pisa University.

Abstract and time schedules are reported below.

---------

- Wed 9 / 12: 16 - 18 (Aula riunioni)

- Thu 10 / 12: 10 - 12 (Aula seminari)

- Thu 10 / 12: 15 - 17 (Aula seminari)

- Fri 11 / 12: 9 - 13 (Aula seminari)

Abstract: We provide an introduction to martingale optimal transport. In the context of the one-period version of the problem, we establish the Kantorovitch duality, we discuss the existence for the primal and the dual problems, and we provide the martingale version of the cyclic monotonicity condition together with of the one-dimensional Brenier theorem. We finally show the connection between continuous-time martingale transport and the Skorohod embedding problem, and we provide some applications.