Seminar Event Detail

Financial/Actuarial Mathematics

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

Event Organizer:     


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