American University of Beirut

Stochastic Optimal Transport and Finance

Speaker: Walter Schachermayer (University of Vienna)

Abstract: This mini-course will be a continuation of Prof. Brendan’s lectures on Monge-Kantorovich transport. We deal with the special case of martingale transports where the transports of a probability measure to another is required to be a martingale. We introduce and analyze the concepts of stretched Brownian motion as well as Bass martingales.
Biography: Walter Schachermayer is Professor Emeritus of Mathematics at the University of Vienna. His research is concerned with stochastic processes and their applications in finance. Walter Schachermayer was the first mathematician to receive the Wittgensteinpreis (1998), the highest scientific distinction in Austria. He is a member of the German National Academy of Science Leopoldina and the European Academy of Science. Professor Schachermayer holds honorary doctorates from Université Paris Dauphine and Universidad de Murcia. In 2009 he was awarded an ERC Advanced Grant.


Contact Us

For various questions, please try contacting us via social media first!
read more

Privacy Statement

We take data privacy seriously and adhere to all applicable data privacy laws and regulations.
read more

Copyright and Disclaimer

Written permission is needed to copy or disseminate all or part of the materials on the AUB website.
read more

Title IX, Non-Discrimination, and Anti-Discriminatory Harassment

AUB is committed to providing a safe, respectful, and inclusive environment to all members of its community.
read more