27 jan 2010
Next cvgmt seminar will be:
MERCOLEDI' 27 GENNAIO 2010
SEMINARI DI CALCOLO DELLE VARIAZIONI 17:00-18:00, Sala Seminari (Dip. Matematica) "On Pareto efficiency and multivariate comonotonicity" Guillaume Carlier (Univ. Paris Dauphine)
Abstract: We wil consider the situation that is very common in economics where a certain number of agents have to share some risk (a cake whose size is a random variable, say). When this risk is one dimensional, it is well-known that "Pareto-efficient" risk sharings amount to give to each participant a share that is nondecreasing in the total size of the cake. In this talk, we will address the more involved case where the risk has several dimensions. The tools to study this extension are those of convex duality and an optimization problem over measures that has some similarities with the multi-marginal Monge-Kantorovich problem. Joint work with R-A Dana (Dauphine) and A. Galichon (Polytechnique).