Events (Since covid these events are taking place online.)
Martingale optimal transport with stopping
Tuesday, April 11, 2017 at 11:45am - 12:45pm
Yavor Stoev, University of Michigan
Yavor Stoev, University of Michigan: We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in ArXiv: 1507.02651 allows us to obtain an equivalent infinite-dimensional controller-stopper problem. We use the stochastic Perron's method and characterize the finite dimensional approximation as a viscosity solution to the corresponding HJB equation. It turns out that this solution is the concave envelope of the cost function with respect to the atoms of the terminal law. We demonstrate the results by finding explicit solutions for a class of cost functions.
Joint work with Erhan Bayraktar (UM) and Alex Cox (Bath)
Joint work with Erhan Bayraktar (UM) and Alex Cox (Bath)
Location Hill 705