LMF Seminars
Winter 2026 @ LSE (Jan-Mar)
Date:
Thursday,
January 29, 2026
Time: 4-5pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Leonard Wong (University of Toronto)
Title: Adapted optimal transport: the Gaussian case
Abstract: We study adapted optimal transport - a framework for comparing stochastic processes, in the Gaussian discrete-time setting where explicit computation is possible. We introduce a space of filtered Gaussian processes, where the randomness and the flow of information are driven by a Gaussian white noise process. On this space, we derive explicitly the adapted 2-Wasserstein distance AW_2, and establish various results including metric completeness and geodesic convexity. We also prove that this space is the AW_2-completion of the space of Gaussian distributions. In particular, the adapted 2-Wasserstein distance can be expressed in terms of a constrained Procrustes problem between the Cholesky factors. Next, we study the adapted Brenier coupling which is the multivariate analogue of the Knothe-Rosenblatt coupling and can be viewed as a myopic solution to the adapted transport problem. We compare its transport cost with the adapted 2-Wasserstein distance in a random matrix setting. Finally, we show that Gelbrich's lower bound of the 2-Wasserstein distance does not generally hold in the adapted setting, and provide a martingale difference condition under which it holds.
Joint work with Madhu Gunasingam.
Date: Thursday, January 29, 2026
Time: 5-6pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Johannes Wiesel (University of Copenhagen)
Title: Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
Abstract: We extend the Benamou-Brenier formula from classical optimal transport to weak optimal transport and show that the barycentric optimal transport problem studied by Gozlan and Juillet has a dynamic analogue. We also investigate a martingale relaxation of this problem, and relate it to the martingale Benamou-Brenier formula of Backhoff-Veraguas, Beiglböck, Huesmann and Källblad.
This talk is based on joint work with Ivan Guo and Severin Nilsson.
Date: Thursday, February 12, 2026
Time: 4-5pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Alessandro Calvia (Politecnico di Milano)
Title: TBA
Abstract: TBA
Date: Thursday, February 12, 2026
Time: 5-6pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Emmanuel Gobet (Ecole Polytechnique)
Title: Modeling the risks within the lending-borrowing protocol Aave
Abstract: Decentralized Finance (DeFi) lending and borrowing protocols enable investors to take leveraged long and short positions on digital assets without centralized intermediaries, but expose them to a distinctive form of risk: on-chain liquidation triggered by debt and collateral value fluctuations. In this talk, we provide a detailed formalization of Aave's lending, borrowing, and liquidation mechanisms, grounded in the protocol's open-source implementation. In doing so, we propose a mathematical modelling of the risks, including some stochastic approximations with the purpose of efficient analysis, with different applications. Among them, portfolio optimization problem. Joint work with Louis Latournerie (Ecole polytechnique, ENSAE).
Date: Thursday, February 26, 2026
Time: 4-5pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Agostino Capponi (Columbia University)
Title: TBA
Abstract: TBA
Date: Thursday, February 26, 2026
Time: 5-6pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Josef Teichmann (ETH Zurich)
Title: TBA
Abstract: TBA
Date: Thursday, March 12, 2026
Time: 4-5pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Sergey Nadtochiy (Carnegie Mellon University)
Title: TBA
Abstract: TBA
Date: Thursday, March 12, 2026
Time: 5-6pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Gero Junike (LMU Munich)
Title: TBA
Abstract: TBA
Date: Thursday, March 26, 2026
Time: 4-5pm
Location: Provisionally FAW 2.03, LSE Pankhurst House and Fawcett House
Speaker: Dörte Kreher (HU Berlin)
Title: TBA
Abstract: TBA
Date: Thursday, March 26, 2026
Time: 5-6pm
Location: Provisionally FAW 2.03, LSE Pankhurst House and Fawcett House
Speaker: Alexander Cox (Bath)
Title: TBA
Abstract: TBA
