Universität Wien
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250188 VO Selected topics in probability theory (2019S)

3.00 ECTS (2.00 SWS), SPL 25 - Mathematik

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Details

Language: English

Examination dates

Lecturers

Classes (iCal) - next class is marked with N

  • Wednesday 06.03. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 13.03. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 20.03. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 27.03. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 03.04. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 10.04. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 08.05. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 15.05. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 22.05. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 29.05. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 05.06. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 12.06. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 19.06. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 26.06. 15:00 - 16:30 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

The theory of optimal transport (OT) has seen a tremendous development in the last 25 years with fascinating applications ranging from geometric and functional inequalities over PDEs and geometry to image analysis and statistics. In recent years, variants of the optimal transport problem with additional stochastic constraints have received increasing attention, e.g. martingale optimal transport (MOT) and causal/adapted optimal transport (COT).

The aim of this lecture is to serve as an introduction into the stochastic variants of the transport problem. After a quick recall of the classical OT problem we will start investigating its martingale variant which is motivated by intriguing questions from robust/model independent finance.
In the second part of the lecture we will complement the worst case point of view of MOT on robust finance by a ``local'' approach. This will naturally lead us to adapted versions of the OT problem, the COT, which we will explore in detail. Our discussion will be guided by examples from finance and stochastic analysis.

Assessment and permitted materials

Minimum requirements and assessment criteria

* measure theory
* basic knowledge in martingales and stochastic processes
* basic ideas of math finance will be useful but not necessary

Examination topics

Reading list

Association in the course directory

MSTV

Last modified: We 23.09.2020 00:28