On a problem of optional transport under marginal martingale constraints

10.05.2024, 11:00 Uhr  –  Campus Golm, Building 9, Room 2.22 and via Zoom
Arbeitsgruppenseminar Analysis

Luisa Herrmann (Universität Potsdam)

Based on an article by Mathias Beigelböck and Nicolas Juillet, I will first describe the martingale version of the optimal transport problem after which I will define the convex order and give some examples. I will then discuss the central question as to whether the set of all martingale transport plans is nonempty and present a constructive proof of the existence under certain assumptions.

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