|Date: Wednesday, February 14, 2018
Location: 1360 East Hall (4:00 PM to 5:00 PM)
Title: Existence of Dual Optimizers in Constrained Transport
Abstract: Martingale Optimal Transport and Skorokhod Embedding Problems are naturally studied alongside their dual problems, also known as Robust Hedging Problems. I will explore the question of Strong Duality, i.e. the absence of a duality gap and existence of a dual optimizer, in both discrete and continuous time. In particular I will discuss how the choice of the dual domain can affect Strong Duality and how the existence of a dual optimizer allows for an easy derivation of Monotonicity Principles.
Speaker: Florian Stebegg
Institution: Columbia University