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.