Backward Martingale Transport and Fitzpatrick Functions in Pseudo-Euclidean Spaces

Explore a 58-minute virtual talk on backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces, presented by Mihai Sîrbu from the University of Texas at Austin. Delve into a one-period multidimensional backward martingale problem with quadratic objective given by a bilinear form S, motivated by a variant of the Kyle equilibrium model with insider from Rochet and Vila (94). Discover how Fitzpatrick functions play the role of Kantorovich potentials in this context. Gain insights from this research, which is based on joint work with Dmitry Kramkov. Part of the SIAM Activity Group on Financial Mathematics and Engineering Virtual Talk Series, this presentation offers a deep dive into advanced mathematical concepts relevant to financial mathematics and engineering.

Backward Martingale Transport and Fitzpatrick Functions in Pseudo-Euclidean Spaces (SIAM FME)