UAlberta Math and Statistics Colloquium: Dmitry Kramkov

We study a single-period optimal transport problem with a cost function given by a general bilinear form and a backward martingale constraint. The role of Kantorovich potentials is played by Fitzpatrick functions. The dual problem is a pseudo-Euclidean counterpart of nonlinear principal component analysis. The research is motivated by a variant of the classical Kyle model of insider trading from Rocher and Vila (1994). The presentation is based on joint papers with Yan Xu and Mihai Sirbu.