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Financial/Actuarial Mathematics Seminar

Existence of Dual Optimizers in Constrained Transport
Wednesday, February 14, 2018
4:00-5:00 PM
1360 East Hall Map
Martingale Optimal Transport and Skorokhod Embedding Problems are naturally studied alongside their dual problems, also known as Robust Hedging Problems. I will explore the question of Strong Duality, i.e. the absence of a duality gap and existence of a dual optimizer, in both discrete and continuous time. In particular I will discuss how the choice of the dual domain can affect Strong Duality and how the existence of a dual optimizer allows for an easy derivation of Monotonicity Principles.
Speaker(s): Florian Stebegg (Columbia University)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics