Financial/Actuarial Mathematics Seminar
From Martingale Optimal Transport problem to the McKean-Vlasov control problem
The Martingale Optimal Transport (MOT) problem consists in maximizing a reward value among a class of martingales with given marginal distributions. It is motivated by its application in finance to obtain the no-arbitrage price bounds of derivative options. We consider a class of MOT problems and show how it could be related to a McKean-Vlasov (mean-field) control problem, which is a large population control problem. We then study the dynamic programming principle and the numerical approximation of the McKean-Vlasov control problem.
Speaker(s): Xiaolu Tan (Paris Dauphine)
Speaker(s): Xiaolu Tan (Paris Dauphine)
| Building: | East Hall |
|---|---|
| Event Type: | Workshop / Seminar |
| Tags: | Mathematics |
| Source: | Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics |
