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From Martingale Optimal Transport to McKean-Vlasov Control Problems

  • 演讲者:谭小路(巴黎第九大学)

  • 时间:2018-12-18 09:00-10:00

  • 地点:慧园3栋 518报告厅

Abstract:

The Martingale Optimal Transport (MOT) problem consists in maximizing a reward value among a class of martingales with given marginal distributions. It is motivated by its application in finance to obtain the no-arbitrage price bounds of derivative options in a data calibrated market. We consider a class of MOT problems and show how it could be related to a McKean-Vlasov (mean-field) control problem, which is a large population control problem. We then study the dynamic programming principle and the numerical approximation of the McKean-Vlasov control problem.