A regularized Kellerer theorem in arbitrary dimension
We present a multidimensional extension of Kellerer's theorem on the existence of
mimicking Markov martingales for peacocks, a term derived from the French for stochastic …
mimicking Markov martingales for peacocks, a term derived from the French for stochastic …
Adapted Wasserstein distance between the laws of SDEs
J Backhoff-Veraguas, S Källblad… - arxiv preprint arxiv …, 2022 - arxiv.org
We consider the adapted optimal transport problem between the laws of Markovian
stochastic differential equations (SDE) and establish the optimality of the synchronous …
stochastic differential equations (SDE) and establish the optimality of the synchronous …
[HTML][HTML] Optimal control of martingales in a radially symmetric environment
We study a stochastic control problem for continuous multidimensional martingales with
fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit …
fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit …
[PDF][PDF] A regularized Kellerer theorem in arbitrary dimension
BA Robinson - stat.aau.at
A regularized Kellerer theorem in arbitrary dimension Page 1 A regularized Kellerer theorem
in arbitrary dimension Benjamin A. Robinson University of Vienna September 7, 2023 — 11th …
in arbitrary dimension Benjamin A. Robinson University of Vienna September 7, 2023 — 11th …