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math.PR2017★ 3 cited
Sampling of probability measures in the convex order by Wasserstein projection
Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain
In this paper, for and two probability measures on with finite moments of order , we define the respective projections for the -Wasserstein dist…
math.PR2016
Evolution of the Wasserstein distance between the marginals of two Markov processes
Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain
In this paper, we are interested in the time derivative of the Wasserstein distance between the marginals of two Markov processes. As recalled in the introduction, the Kantorovich…
math.PR2015
The asymptotic smile of a multiscaling stochastic volatility model
Francesco Caravenna, Jacopo Corbetta
We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multi-scaling of moments. The volatility evolves according to a…