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Recruitment Talk -- A potential-based construction of the increasing supermartingale coupling

The Golden Hourglass by Craig Schaffer
January 21, 2022
4:15 pm - 5:15 pm
Zoom

Speaker:  Shuoqing Deng

Abstract:  We provide an explicit construction of a triple of functions, on the graph of which the increasing supermartingale coupling concentrates. In particular, we show how the increasing supermartingale coupling can be identified with the left-curtain martingale coupling and the antitone coupling to the left and to the right of a uniquely determined regime-switching point. Our construction is based on the concept of the shadow measure and we show how to determine the potential of the shadow measure associated with a supermartingale. (Joint work with E. Bayraktar and D. Norgilas).

Zoom:  https://osu.zoom.us/j/2904626940?pwd=WEZ3K2lPRlFybXI2OEdSSU5ROHlYdz09

Meeting ID: 290 462 6940

Password: Bucks

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