Stochastic Mass Transports (20w5229)


Jan Obloj (University of Oxford)

Mathias Beiglböck (University of Vienna)

Martin Huesmann (Universität Münster)


The Banff International Research Station will host the "Stochastic Mass Transports" workshop in Banff from March 22 to March 27, 2020.

Need to decide on optimal way to transport iron ore from mines to factories? Need to decide if two images are similar or not? Trying to reconstruct how the universe looked a moment after the Bing Bang?

Optimal transport is a theory offering a unified mathematical language for these and many other problems and a powerful methodology to understand and characterise their solutions, and to compute them numerically. Originally posed by G.\ Monge in 1781, the theory has earned Fields medals and thick monographs to testify to its importance. What happens however if we want to design optimal actions looking into the future? We can only trade on the current stock prices, we do not know where gravitational waves will reach us next year. As we now understand, a host of problems in economics, finance and stochastic modelling can be re-interpreted as optimal transport questions but with an additional directional, often temporal, aspect. The workshop focuses on the mathematics which arise at these crossroads and which can help us to understand and solve such problems.

The Banff International Research Station for Mathematical Innovation and Discovery (BIRS) is a collaborative Canada-US-Mexico venture that provides an environment for creative interaction as well as the exchange of ideas, knowledge, and methods within the Mathematical Sciences, with related disciplines and with industry. The research station is located at The Banff Centre in Alberta and is supported by Canada's Natural Science and Engineering Research Council (NSERC), the U.S. National Science Foundation (NSF), Alberta's Advanced Education and Technology, and Mexico's Consejo Nacional de Ciencia y Tecnología (CONACYT).