Reconstruction by optimal transport: applications in cosmology and finance

Apparaît dans les 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.

Informations sur la vidéo

Date de captation 16/11/2017
Date de publication 16/11/2017
Institut CIRM
Licence CC BY NC ND
Langue Anglais
Audience Chercheurs
Réalisateur(s) Guillaume Hennenfent
Format MP4

Données de citation

DOI 10.24350/CIRM.V.19244503
Citer cette vidéo 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

Domaine(s)

Bibliographie

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