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April 13, 2023Virtual seminar

Backward Martingale Transport and Fitzpatrick Functions in Pseudo-Euclidean Spaces

Mihai SîrbuUniversity of Texas at Austin

Abstract

Motivated by a variant of the Kyle equilibrium model with insider from Rochet and Vila (94), we study a one-period multidimensional backward martingale problem with quadratic objective given by a bilinear form S. The role of the Kantorovich potentials is played by the Fitzpatrick functions. Based on joint work with Dmitry Kramkov: https://arxiv.org/abs/2209.04664.

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About the speaker

Mihai Sîrbu is a Professor of Mathematics at the University of Texas at Austin, specializing in Mathematical Finance and Applied Probability. He earned his Ph.D. from Carnegie Mellon University in 2004. Sîrbu's research interests include stochastic control, stochastic analysis, and financial mathematics. He is an active member of the Mathematical Finance Group at UT Austin.