250016 VO Stochastic Mass Transport (2021S)
Labels
Registration/Deregistration
Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).
Details
Language: English
Examination dates
Lecturers
Classes (iCal) - next class is marked with N
Initially all meetings will be held online.
Registered students will receive a zoom link via E-mail shortly before the start of the lecture.
If at some point the University re-opens, we will go back to the usual teaching format, using the reserved Seminar rooms .
-
Tuesday
02.03.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
05.03.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
09.03.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
16.03.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
19.03.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
23.03.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
26.03.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
13.04.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
16.04.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
20.04.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
23.04.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
27.04.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
30.04.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
04.05.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
07.05.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
11.05.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
14.05.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
18.05.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
21.05.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
28.05.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
01.06.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
04.06.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
08.06.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
11.06.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
15.06.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
18.06.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
22.06.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock -
Friday
25.06.
09:45 - 10:30
Digital
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock -
Tuesday
29.06.
09:45 - 11:15
Digital
Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock
Information
Aims, contents and method of the course
The theory of optimal transport (OT) has seen a tremendous development in the last 25 years with fascinating applications ranging from geometric and functional inequalities over PDEs and geometry to image analysis, statistics and machine learning. In recent years, variants of the optimal transport problem with additional stochastic constraints have received increasing attention, e.g. martingale optimal transport (MOT) and causal/adapted optimal transport (COT).The aim of this lecture is to serve as an introduction into the stochastic variants of the transport problem. After a quick recall of the classical OT problem we will start investigating its martingale variant, the MOT, which is motivated by intriguing questions from robust/model independent finance.In the second part of the lecture we will complement the worst case point of view of MOT on robust finance by a 'local' approach. This will naturally lead us to 'adapted' versions of the OT problem, the COT, which we will explore in detail. Our discussion will be guided by examples from finance and stochastic analysis.
Assessment and permitted materials
Depending on the Corona situation, either
* an open book and individual exam from home;
* an oral exam in person.
* an open book and individual exam from home;
* an oral exam in person.
Minimum requirements and assessment criteria
Examination topics
The content of the lectures.
Reading list
Lecture Notes will be provided.
Association in the course directory
MSTV; MAMV;
Last modified: Fr 12.05.2023 00:21