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DTSTART:20260308T070000
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DTSTART:20251102T060000
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DTSTART;TZID=America/Toronto:20261020T160000
SEQUENCE:0
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DTEND;TZID=America/Toronto:20261020T170000
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: DC 1302\n\n-----------------------
 --\n\nANALYTICAL APPROACH TO CONTINUOUS-TIME CAUSAL OPTIMAL TRANSPORT\n\nW
 e study continuous-time causal optimal transport with a Markovian\ncost\, 
 coupling a finite-state Markov source with a diffusion target.\nBy represe
 nting the source through its conditional distribution given\nobservations 
 of the target\, we characterize the transport value using\na fully nonline
 ar parabolic master equation on an enlarged state\nspace. We also establis
 h equivalence with two stochastic control\nformulations on the probability
  simplex: a controlled\nKushner–Stratonovich filtering equation subject 
 to a zero-mean\ncondition\, and a state-constrained stochastic control pro
 blem. These\nformulations lead to implementable numerical schemes that app
 roximate\nthe value from above and below.\n\nThis is joint work with Julio
  Backhoff\, Ibrahim Ekren\, and Antonios\nZitridis.
DTSTAMP:20260910T225605Z
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