Reconstruction by optimal transport: applications in cosmology and finance

Appears in collections : Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risques, Exposés de recherche

Following the seminal work by Benamou and Brenier on the time continuous formulation of the optimal transport problem, we show how optimal transport techniques can be used in various areas, ranging from "the reconstruction problem" cosmology to a problem of volatility calibration in finance.

Information about the video

Date of recording 16/11/2017
Date of publication 16/11/2017
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.19244503
Cite this video Loeper, Grégoire (16/11/2017). Reconstruction by optimal transport: applications in cosmology and finance. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19244503
URL https://dx.doi.org/10.24350/CIRM.V.19244503

Domain(s)

Bibliography

Benamou, J.-D., & Brenier, Y. (2000). A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem. Numerische Mathematik, 84(3), 375–393 - http://dx.doi.org/10.1007/s002110050002
Guo, I., Loeper, G., & Wang, S. (2017). Local Volatility Calibration by Optimal Transport - https://ssrn.com/abstract=3042015
Loeper, G. (2005). The reconstruction problem for the Euler-Poisson system in cosmology. Archive for Rational Mechanics and Analysis, 179(2), 153-216 - http://dx.doi.org/10.1007/s00205-005-0384-3
Tan, X., & Touzi, N. (2013). Optimal transportation under controlled stochastic dynamics. The Annals of Probability, 41(5), 3201-3240 - http://dx.doi.org/10.1214/12-AOP797