From Martingale Optimal Transport to McKean-Vlasov Control Problems
Date:
Monday, 28 January, 2019 - 16:30 - 17:30
Venue:
LSB 219
Seminar Type:
Seminar
Speaker Name:
Prof. Xiaolu TAN
Affiliation:
University of Paris-Dauphine
Abstract:
The Martingale Optimal Transport (MOT) problem consists in maximizing a reward value among a class of martingales with given marginal distributions. It is motivated by its application in finance to obtain the no-arbitrage price bounds of derivative options in a data calibrated market. We consider a class of MOT problems and show how it could be related to a McKean-Vlasov (mean-field) control problem, which is a large population control problem. We then study the dynamic programming principle and the numerical approximation of the McKean-Vlasov control problem.
Poster:
