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SIAM Activity Group on FME Virtual Talk Series
Join us for a series of online talks on topics related to mathematical finance and engineering and running every two weeks until further notice. The series is organized by the SIAM Activity Group on Financial Mathematics and Engineering.

Date: Thursday, March 4, 2021, 1PM-2PM

Speaker: Marcel Nutz, Columbia University

Title: Entropic Optimal Transport

Abstract: Applied optimal transport is flourishing after computational advances have enabled its use in real-world problems with large data sets. Entropic regularization is a key method to approximate optimal transport in high dimensions while retaining feasible
computational complexity. In this talk we discuss the convergence of entropic optimal transport to the unregularized counterpart as the regularization parameter vanishes, with a focus on the local behavior. Based on joint works with Espen Bernton (Columbia), Promit
Ghosal (MIT), Johannes Wiesel (Columbia).

Moderator: Mete Soner, Princeton University
Mar 4, 2021 01:00 PM
Apr 1, 2021 01:00 PM
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Marcel Nutz
Professor @Columbia University
Marcel’s research focuses on mathematical finance, optimal transport and game theory. He holds a PhD in mathematics from ETH Zurich. Marcel serves on the editorial boards of FMF, MF, MOR, SIFIN, SPA, as co-Chair of the IMS-FIPS, and currently as Columbia-Ecole Polytechnique Alliance Professor 2020-2021. Support by an Alfred P. Sloan Fellowship and several NSF grants is gratefully acknowledged.