2 papers
math.PR2021
Backward Monge Potential and Monge-Ampere Equation
Mine Caglar, Ihsan Demirel
In this paper, Monge-Kantorovich problem is considered in the infinite dimension on an abstract Wiener space , where is Cameron-Martin space and is the Gaussian m…
math.PR2021
Hedging Portfolio for a Degenerate Market Model
Mine Caglar, Ihsan Demirel, Ali Suleyman Ustunel
We consider a semimartingale market model when the underlying diffusion has a singular volatility matrix and compute the hedging portfolio for a given payoff function. Recently, th…