3 papers
math.PR2019
Functional inequalities for forward and backward diffusions
Daniel Bartl, Ludovic Tangpi
In this article we derive Talagrand's inequality on the path space w.r.t. the maximum norm for various stochastic processes, including solutions of one-dimensional stochastic…
math.PR2019
All Adapted Topologies are Equal
Julio Backhoff-Veraguas, Daniel Bartl, Mathias Beiglböck +1
A number of researchers have introduced topological structures on the set of laws of stochastic processes. A unifying goal of these authors is to strengthen the usual weak topology…
q-fin.MF2019
Adapted Wasserstein Distances and Stability in Mathematical Finance
Julio Backhoff-Veraguas, Daniel Bartl, Mathias Beiglböck +1
Assume that an agent models a financial asset through a measure Q with the goal to price / hedge some derivative or optimize some expected utility. Even if the model Q is chosen in…