Reconstruction of missing data by optimal transport: applications in cosmology and finance

Seminar/Forum

Optimal Transport is an old optimisation problem that goes back to Gaspard Monge in 1781. I will give some historical perspective of the problem and its solutions, and then present some recent results where techniques from Optimal Transport can be used, going from the problem of reconstruction of the early universe, to a problem of model calibration in finance.

Presenter

  •  Gregoire Leoper
    Gregoire Leoper, Monash University