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PRODID:-//Columba Systems Ltd//NONSGML CPNG/SpringViewer/ICal Output/3.3-
M3//EN
VERSION:2.0
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20221201T102647Z
DTSTART:20221207T150000Z
DTEND:20221207T160000Z
SUMMARY:Dominykas Norgilas - Supermartingale shadow couplings (cancelled)
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}cof-laqrjvq
j-da1clc
DESCRIPTION:Dominykas Norgilas (University of Michigan) will speak in the
Probability seminar. \n\nA classical result of Strassen asserts that gi
ven probability measures $\\mu\,\\nu$ on the real line which are in conv
ex-decreasing order\, there exists a supermartingale with these marginal
s\, i.e.\, a random vector $(S_1\,S_2)$ such that $S_1\\sim\\mu$\, $S_2\
\sim\\nu$ and $\\mathbb{E}[S_2|S_1]=S_1$. However\, it is a non-trivial
problem to construct particular (or canonical) supermartingales with pre
scribed marginals. In this talk we introduce a family of such supermarti
ngales\, each of which admits canonical characterization in terms of sto
chastic dominance. We explicit construct the extreme elements (of this f
amily) that solve the martingale optimal transport problem with supermar
tingale constraints.\n\n
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:https://zoom.us/j/97662591193
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