Section: New Results

Optimal transport

Participant : Benjamin Jourdain.

With J. Corbetta (postdoc financed by the chair financial risks), A. Alfonsi and B. Jourdain study a general formula for the time-derivative of the wasserstein distance between the time-marginals of two Markov processes. They have checked the validity of this formula for pure-jump Markov processes with a bounded intensity of jumps. They now study the extension to piecewise deterministic Markov processes.