Abstract

This series of 4 talks throught the Spring 2016 semester explored continuous time reformulations of optimal transport starting from the Benamou-Brenier formula, extensions to the stochastic setting through the work of Mikami and Thieullen as well as Tan and Touzi, and finally culminating with the theory of Martingale Optimal transport thanks tot he seminal paper by Beiglbock and Juillet. Other relevant topics included Schrodinger bridges and connections to the entropic regularization, as well as the IPFP/Sinkhorn algorithm.