Universität Wien
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250139 VO Martingale Theory and Optimal Transport (2023W)

3.00 ECTS (2.00 SWS), SPL 25 - Mathematik
ON-SITE

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Details

Language: English

Examination dates

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 03.10. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 10.10. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 17.10. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 24.10. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 31.10. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 07.11. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 14.11. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 21.11. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 28.11. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 05.12. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 12.12. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 09.01. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 16.01. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 23.01. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 30.01. 16:45 - 18:15 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

In this highly advanced course we review recent progress in the field of optimal transport, with special emphasis on the pathwise approach. It will be mainly based on recent research by W. Schachermayer and his co-authors.

Assessment and permitted materials

Oral exam

Minimum requirements and assessment criteria

The exam will check your good understanding of the lectures.

Examination topics

Material presented in the lectures

Reading list

M. Beiglböck, G. Pammer, W. Schachermayer: From Bachelier to Dupire via Optimal Transport. Preprint (2021).
[arXiv:2106.12395]
Please download PDF from the following link: https://arxiv.org/abs/2106.12395

Backhoff J. und Huesmann M. (2021) Stochastic Mass Transport,
Preprint. Please download PDF from the following link:
https://www.mat.univie.ac.at/~schachermayer/Scripts

Ronen Eldan: Analysis of high-dimensional distributions using path wise methods. Preprint (2021): https://www.wisdom.weizmann.ac.il/~ronene/files/Pathwise.pdf

I. Karatzas, W. Schachermayer, B. Tschiderer:
A trajectorial approach to the gradient flow properties of Langevin-Smoluchowsk diffusions. Teor. Veroyatnost. i Primenen & SIAM Theory Probab. Appl., Vol. 66 (2021), No. 4, pp. 839--888.
Please download PDF from the following link: https://arxiv.org/abs/2008.09220

G. Pammer, B. A. Robinson, W. Schachermayer:
A regularized Kellerer theorem in arbitrary dimension.
Preprint (2022). arXiv:2210.13847]
Please download PDF from the following link: https://arxiv.org/abs/2210.13847

J. Backhoff-Veraguas, M. Beiglböck, Tschiderer, W. Schachermayer:
The structure of martingale Benamou−Brenier in Rd.
Preprint (2023). [arXiv:2306.11019]
Please download the PDF from the following link: https://arxiv.org/abs/2306.11019

Association in the course directory

MSTV

Last modified: Tu 18.06.2024 10:46