November 4, 2021Virtual seminar
Adapted Wasserstein distances in mathematical finance
Beatrice AcciaioDepartment of Mathematics, ETH Zurich
Abstract
The causality constraint in optimal transport allows to capture the temporal structure of the transported objects, which is crucial when transporting measures on path spaces. In its symmetric formulation, this leads to the definition of adapted Wasserstein distances. I will present several applications of those concepts to illustrate their suitability for multiple problems in mathematical finance and stochastic analysis.
About the speaker
No bio is available for this talk.