Actuarial Science and Financial Mathematics seminar: Fabio Angelo Maccheroni
Fabio Angelo Maccheroni
Bocconi University
Room: M3 3127
Fabio Angelo Maccheroni
Bocconi University
Room: M3 3127
Youngjoo Cho
Konkuk University & University of Pittsburgh
Room: M3 3127
Zhenyuan Zhang
Stanford University
Room: M3 3127
David Sprott Distinguished Lecture Series
Erhan Bayraktar
Professor of Mathematics & Susan M. Smith Professor
Director of the Quantitative Finance and Risk Management Masters Program
Department of Mathematics
University of Michigan
Room: DC 1302
We study continuous-time causal optimal transport with a Markovian cost, coupling a finite-state Markov source with a diffusion target. By representing the source through its conditional distribution given observations of the target, we characterize the transport value using a fully nonlinear parabolic master equation on an enlarged state space. We also establish equivalence with two stochastic control formulations on the probability simplex: a controlled Kushner–Stratonovich filtering equation subject to a zero-mean condition, and a state-constrained stochastic control problem. These formulations lead to implementable numerical schemes that approximate the value from above and below.
This is joint work with Julio Backhoff, Ibrahim Ekren, and Antonios Zitridis.
Jonathan Ansari
University of Salzburg
Room: M3 3127
Maria Andraos
PhD Candidate, University of Waterloo
Room: M3 3127
Shimeng Huang
Purdue University
Room: M3 3127
Jingcheng Yu
PhD Candidate, University of Waterloo
Room: M3 3127
Jae Youn Ahn
Ewha Womans University
Room: M3 3127
Vali Asimit
City St George's, University of London
Room: M3 3127