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DTSTART:20260308T070000
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DTSTART:20251102T060000
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DTSTART;VALUE=DATE:20261020
SEQUENCE:0
TRANSP:TRANSPARENT
DTEND;VALUE=DATE:20261021
URL:https://uwaterloo.ca/statistics-and-actuarial-science/events/distinguis
 hed-lecture-erhan-bayraktar
LOCATION:DC - William G. Davis Computer Research Centre 200 University Aven
 ue West Room: DC 1302 Waterloo ON N2L 3G1 Canada
SUMMARY:Distinguished Lecture by Erhan Bayraktar
CLASS:PUBLIC
DESCRIPTION:David Sprott Distinguished Lecture Series\n\nERHAN BAYRAKTAR\nP
 rofessor of Mathematics & Susan M. Smith Professor\nDirector of the Quant
 itative Finance and Risk Management Masters\nProgram\nDepartment of Mathe
 matics\nUniversity of Michigan\n\nRoom: TBD\n\n-------------------------\n
 \nANALYTICAL APPROACH TO CONTINUOUS-TIME CAUSAL OPTIMAL TRANSPORT\n\nWe st
 udy continuous-time causal optimal transport with a Markovian\ncost\, coup
 ling a finite-state Markov source with a diffusion target.\nBy representin
 g the source through its conditional distribution given\nobservations of t
 he target\, we characterize the transport value using\na fully nonlinear p
 arabolic master equation on an enlarged state\nspace. We also establish eq
 uivalence with two stochastic control\nformulations on the probability sim
 plex: a controlled\nKushner–Stratonovich filtering equation subject to a
  zero-mean\ncondition\, and a state-constrained stochastic control problem
 . These\nformulations lead to implementable numerical schemes that approxi
 mate\nthe value from above and below.\n\nThis is joint work with Julio Bac
 khoff\, Ibrahim Ekren\, and Antonios\nZitridis.
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DTSTAMP:20260820T175541Z
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