Presented By: Financial/Actuarial Mathematics Seminar - Department of Mathematics
The soccer model, stochastic ordering and martingale transport
Wenpin Tang/ Columbia
Tournaments are competitions between a number of participants, the outcome of which determines the relative strength or rank of each participant. In many cases, the strength of a participant in the tournament is given by a score. Perhaps, the most striking mathematical result on the tournament is Moon’s theorem, which provides a necessary and sufficient condition for a feasible score sequence via majorization. To give a probabilistic interpretation of Moon’s result, Aldous and Kolesnik introduced the soccer model, the existence of which allows a short proof of Moon’s theorem. However, the existence proof of Aldous and Kolesnik is non-constructive, leading to the question of a “canonical” construction of the soccer model. The purpose of this talk is to discuss explicit constructions of the soccer model with an additional stochastic ordering constraint, which can be formulated by martingale transport. Two solutions are given: one is by solving an entropy optimization problem via Sinkhorn’s algorithm, and the other relies on the idea of shadow couplings. It turns out that both constructions yield the property of strong stochastic transitivity. I will also discuss the nontransitive situations if time permits.