Button to scroll to the top of the page.


Monthly View
By Month
Weekly View
By Week
Daily View
Math Physics
Download as iCal file
Mihai Sirbu, PMA 12.166: Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces
Wednesday, February 14, 2024, 11:00am - 12:00pm
We study an optimal transport problem with a backward martingale constraint in a pseudo-Euclidean space S. We show that the dual problem consists in the minimization of the expected values of the Fitzpatrick functions associated with maximal S-monotone sets. An optimal plan γ and an optimal maximal S-monotone set G are characterized by the condition that the support of γ is contained in the graph of the S-projection on G. For a Gaussian random variable Y, we get a unique decomposition: Y = X +Z, where X and Z are independent Gaussian random variables taking values, respectively, in complementary positive and negative linear subspaces of the S-space. Based on joint work with Dmitry Kramkov: https://arxiv.org/abs/2209.04664.
Location: PMA 12.166

Math Calendar Login