Probability Colloqium
Date
Time
16:15
Location
HUB; RUD 25; 1.115
Mathias Beiglböck (U Vienna)
Martingale Benamou-Brenier
In classical optimal transport, the contributions of Benamou-Brenier and Mc- Cann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas.
Stretched Brownian motion provides an analogue for the martingale version of this problem. We provide a characterization in terms of gradients of convex functions, similar to the characterization of optimizers in the classical transport problem for quadratic distance cost.
Based on joint work with Julio Backhoff-Veraguas, Walter Schachermayer and Bertram Tschiderer.