Project Grant 2508581
- This $250,000 Project Grant award from the National Science Foundation's (NSF) Mathematical and Physical Sciences (CFDA 47.049) program supports research in two areas: (1) regularized optimal transport theory and (2) price impact modeling in financial markets. For the first part, the project investigates the mathematical foundations and theoretical guarantees for sparsity in quadratically regularized optimal transport. This builds on prior work on entropically regularized optimal transport....
- This Project Grant award from the National Science Foundation's (NSF) Mathematical and Physical Sciences program (CFDA 47.049) provides $117,090 to New York University (NYU) to advance the mathematical foundations of robust finance and decision-making under uncertainty. The project has two key focus areas: 1) Developing a systematic framework to quantify divergences between stochastic models, with the goal of uncovering the underlying geometric structure of stochastic processes to facilitate...
- This $174,629 federal Project Grant award from the National Science Foundation (NSF) Mathematical and Physical Sciences program (CFDA 47.049) aims to develop new learning frameworks and mathematical foundations to strengthen the understanding of stability, efficiency, and fairness in societal systems with large populations. The key products and services to be delivered include: New mathematical models and learning algorithms for "mean-field games" - stochastic systems with many...
- This $239,999 federal Project Grant award from the National Science Foundation's Mathematical and Physical Sciences program (CFDA 47.049) supports research by Brown University into probability flows and stochastic processes, with applications ranging from materials science to artificial intelligence. The project has two key research directions: 1) developing a novel dynamical formulation of multi-marginal optimal transport and related optimization problems, and 2) investigating the...
- This $337,985 federal Project Grant award from the National Science Foundation's (NSF) Mathematical and Physical Sciences (CFDA 47.049) program supports the development of innovative methods for risk-sensitive statistical learning at Duke University. The research aims to advance decision-making processes in critical fields like medicine, finance, and robotics by incorporating risk assessments to improve outcomes and minimize risks, particularly for a large proportion of the population. Key focus...
- This $146,112 Project Grant award from the National Science Foundation's Computer and Information Science and Engineering (CFDA 47.070) program supports the development of new mathematical and computational tools for generalized optimal transport models. The University of Houston System, as the awardee, will extend the theory of optimal transport to enable more adequate quantitative analysis methods for specialized real-world data structures such as medical images, dynamic crowd movements, and...
- This Project Grant award from the National Science Foundation's (NSF) Mathematical and Physical Sciences program (CFDA 47.049) provides $225,094 to investigate foundational and emerging areas of probability theory with broad applications in mathematics, physics, finance, and machine learning. The key research areas include limit theorems, entropic gradient flows, stochastic control with partial observation, and stochastic portfolio theory. The award aims to advance the theoretical foundations of...
- This $268,602 federal Project Grant award from the National Science Foundation's Mathematical and Physical Sciences program (CFDA 47.049) supports an interdisciplinary research project led by the Regents of the University of Michigan. The research aims to develop new mathematical tools based on partial differential equations (PDEs) and apply them to address practical challenges in mathematical finance and game theory. Key focus areas include: 1) using infinite-dimensional PDEs to demonstrate...
- The National Science Foundation awarded a $239,999 Project Grant under the Mathematical and Physical Sciences program (CFDA 47.049) to the Georgia Tech Research Corporation from September 15, 2022 to August 31, 2025. The grant funds research to develop mathematical theories and efficient algorithms for multi-marginal optimal transport problems with graphical costs. Specifically, the principal investigator will establish a unified framework for these problems by merging concepts from optimal...
- This National Science Foundation Project Grant award of $540,000 provides funding from July 1, 2022 to June 30, 2025 to address new challenges in statistical inference with regularized optimal transport. The award is made under the Mathematical and Physical Sciences program (CFDA 47.049) to Cornell University to explore modern regularization techniques for optimal transport distances and develop a comprehensive statistical theory to facilitate principled inference in high dimensions....
This $299,057 federal Project Grant award from the National Science Foundation's (CFDA 47.049) Mathematical and Physical Sciences program supports research on optimal transport for risk management and scenario generation. The project, titled "OPTIMAL TRANSPORT FOR RISK MANAGEMENT AND SCENARIO GENERATION (OTRIMAGE)," aims to contribute to the mathematical foundations of risk management in finance and develop robust generative models. Key components include designing dynamic stochastic models with domain and distributional constraints to better represent underlying uncertainties, and developing sensitivity analysis tools for distributionally robust optimization to assess and mitigate model risk. The research is expected to advance methods for optimizing systems of interacting agents, which is crucial for financial risk analysis. The award was made to New York University, a prominent private research institution, and has a performance period from Sep 1, 2025 to Aug 31, 2027.
Mod # | Description | ReasonForModification | Federal Obligation | Date |
|---|---|---|---|---|
| Not listed | $299.1k | 8/7/25 |