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20022025
most citedBubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles

224 citations

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4 papers · 1 filter

math.OC2024

Entropic Semi-Martingale Optimal Transport

Jean-David Benamou, Guillaume Chazareix, Marc Hoffmann +2

Entropic Optimal Transport (EOT), also referred to as the Schrödinger problem, seeks to find a random processes with prescribed initial/final marginals and with minimal relative en…

math.OC2024

From entropic transport to martingale transport, and applications to model calibration

Jean-David Benamou, Guillaume Chazareix, Grégoire Loeper

We propose a discrete time formulation of the semi martingale optimal transport problembased on multi-marginal entropic transport. This approach offers a new way to formulate and s…

math.OC2019★ 10 cited

Robust utility maximization under model uncertainty via a penalization approach

Ivan Guo, Nicolas Langrené, Grégoire Loeper +1

This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within…

math.OC2006★ 11 cited

On finite-difference approximations for normalized Bellman equations

István Gyöngy, David Šiška

A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov are adapted to investigate the numerical solutions of the corresponding n…