IMB > Recherche > Séminaires
Le 28 septembre 2023
à 11:00
Salle de Conférences
Julio Backhoff University of Vienna
Bass Martingales: existence, duality, and their properties.
Motivated by robust mathematical finance, and also taking inspiration from the field of Optimal Transport, we ask:
What is the martingale, with prescribed initial and terminal marginal distributions, which is closest to Brownian motion?
Under suitable assumptions the answer to this question, in any dimension, is provided by the so-called Bass martingales. To imagine what these are, one pictures an underlying Brownian motion which is stretched in space in an order-preserving and martingale-preserving way. In this talk we discuss the properties of Bass martingales, their existence, and the duality theory required to study them. Talk based on joint work with Beiglböck, Schachermayer and Tschiderer.
Le 5 octobre 2023
à 11:00
Salle de Séminaire.
Hui Shi Bordeaux
Soutenance de thèse
Le 12 octobre 2023
à 11:00
Salle de Séminaire
Baptiste Louf IMB
À préciser
À préciser
Le 19 octobre 2023
à 09:00
...
Séminaire banalisé ...
Journée de rentrée IMB
...
Le 26 octobre 2023
à 11:00
Salle de Séminaire
Nicolas Zalduendo Université de Lorraine and INRIA Grand Est
À préciser
À préciser
Le 16 novembre 2023
à 11:00
Salle de Séminaire
Pierre-Jan Benard IMB
À préciser
À préciser.
Le 7 décembre 2023
à 11:00
Salle de Séminaires
Raphaël Berthier EPFL
À préciser
À préciser
Le 21 décembre 2023
à 11:00
Salle de Conférences
Bastien Laville INRIA
À préciser
À préciser
Séminaire Images Optimisation et Probabilités
Responsable : Camille Male
What is the martingale, with prescribed initial and terminal marginal distributions, which is closest to Brownian motion?
Under suitable assumptions the answer to this question, in any dimension, is provided by the so-called Bass martingales. To imagine what these are, one pictures an underlying Brownian motion which is stretched in space in an order-preserving and martingale-preserving way. In this talk we discuss the properties of Bass martingales, their existence, and the duality theory required to study them. Talk based on joint work with Beiglböck, Schachermayer and Tschiderer.
Institut de Mathématiques de Bordeaux UMR 5251
Université de Bordeaux
351, cours de la Libération - F 33 405 TALENCE
Tél: +33 (0)5 40 00 60 70
institut
math.u-bordeaux.fr
