Research-From Martingale Optimal Transport to McKean-Vlasov Control Problems

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From Martingale Optimal Transport to McKean-Vlasov Control Problems

Speaker: Xiaolu Tan (University of Paris-Dauphine)
Time: Dec 18, 2018, 09:00-10:00
Location: Conference Room 518, Hui Yuan 3#

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.