Français
Reconstruction by optimal transport: applications in cosmology and finance
Multi angle
Authors : Loeper, Grégoire (Author of the conference)
CIRM (Publisher )
35Q35 - PDEs in connection with fluid mechanics
65K10 - Optimization and variational techniques
85A30 - Hydrodynamic and hydromagnetic problems in astrophysics
85A40 - Cosmology
CIRM (Publisher )
Loading the player...
|
Abstract :
Following the seminal work by Benamou and Brenier on the time continuous formulation of the optimal transport problem, we show how optimal transport techniques can be used in various areas, ranging from "the reconstruction problem" cosmology to a problem of volatility calibration in finance.
MSC Codes : 35Q35 - PDEs in connection with fluid mechanics
65K10 - Optimization and variational techniques
85A30 - Hydrodynamic and hydromagnetic problems in astrophysics
85A40 - Cosmology
|
Information on the Video
Film maker : Hennenfent, GuillaumeLanguage : English Available date : 16/11/2017 Conference Date : 16/11/2017 Subseries : Research talks arXiv category : Optimization and Control ; Quantitative Finance Mathematical Area(s) : Control Theory & Optimization ; PDE ; Mathematics in Science & Technology Format : MP4 (.mp4) - HD Video Time : 00:35:36 Targeted Audience : Researchers Download : https://videos.cirm-math.fr/2017-11-16_Loeper.mp4 
|
Information on the Event
Event Title : Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risquesEvent Organizers : Bouchard, Bruno ; Cheridito, Patrick ; Schweizer, Martin ; Touzi, Nizar Dates : 13/11/2017 - 17/11/2017 Event Year : 2017 Event URL : https://conferences.cirm-math.fr/1730.html
Citation Data
DOI : 10.24350/CIRM.V.19244503Cite this video as: Loeper, Grégoire (2017). Reconstruction by optimal transport: applications in cosmology and finance. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19244503 URI : http://dx.doi.org/10.24350/CIRM.V.19244503 |
See Also
- [Post-edited] Pathwise or quasi-sure towards dynamic robust framework for pricing and hedging / Author of the conference Obloj, Jan.
- [Multi angle] Rough volatility from an affine point of view / Author of the conference Cuchiero, Christa.
- [Multi angle] Affine Volterra processes and models for rough volatility / Author of the conference Larsson, Martin.
- [Multi angle] Viability and arbitrage under Knightian uncertainty / Author of the conference Burzoni, Matteo.
- [Multi angle] Market delay and $G$-expectations / Author of the conference Dolinsky, Yan.
Bibliography
- Benamou, J.-D., & Brenier, Y. (2000). A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem. Numerische Mathematik, 84(3), 375–393 - http://dx.doi.org/10.1007/s002110050002
- Guo, I., Loeper, G., & Wang, S. (2017). Local Volatility Calibration by Optimal Transport - https://ssrn.com/abstract=3042015
- Loeper, G. (2005). The reconstruction problem for the Euler-Poisson system in cosmology. Archive for Rational Mechanics and Analysis, 179(2), 153-216 - http://dx.doi.org/10.1007/s00205-005-0384-3
- Tan, X., & Touzi, N. (2013). Optimal transportation under controlled stochastic dynamics. The Annals of Probability, 41(5), 3201-3240 - http://dx.doi.org/10.1214/12-AOP797
