8 papers
Quantitative homogenization of convex Hamilton-Jacobi equations in the Wasserstein space
Zhiyan Ding, Ibrahim Ekren, Yuxi Han +1
We study a homogenization problem for first-order Hamilton-Jacobi equations in the Wasserstein space with a convex Hamiltonian. We show that the solution , which is…
Analytical Approach to Continuous-Time Causal Optimal Transport
Julio Backhoff, Erhan Bayraktar, Ibrahim Ekren +1
We study causal optimal transport in continuous time, with Markovian cost, between a finite-state Markov source and a diffusion target. By replacing the source with its conditional…
Martingale Optimal Transport and Martingale Schrödinger Bridges for Calibration of Stochastic Volatility Models
Antonios Zitridis
Motivated by recent developments in the calibration of stochastic volatility models (SVMs for short), we study continuous-time formulations of martingale optimal transport and mart…
Singular Perturbations of Hamilton-Jacobi Equations in the Wasserstein Space
Antonios Zitridis
We study a singular perturbation problem for second-order Hamilton-Jacobi equations in the Wasserstein space. Specifically, we characterize the behavior of the solutions as the per…
Fluctuation exponents of the open KPZ equation in the maximal current phase
Andres A. Contreras Hip, Sayan Das, Antonios Zitridis
We consider the open KPZ equation on the interval with Neumann boundary conditions depending on parameters (the so-called maximal current phase). For $L…
Concentration bounds for stochastic systems with singular kernels
Joe Jackson, Antonios Zitridis
This note is concerned with weakly interacting stochastic particle systems with possibly singular pairwise interactions. In this setting, we observe a connection between entropic p…
Homogenization of conditional slow-fast McKean-Vlasov SDEs
Antonios Zitridis
We study a fully-coupled system of conditional slow-fast McKean-Vlasov Stochastic Differential Equations that exhibit full dependence on both the slow and fast components, as well…
The Master Equation in a Bounded Domain under Invariance Conditions for the State Space
Antonios Zitridis
In this paper, we study the well-posedness (existence and uniqueness) of the Master Equation of Mean Field Games under invariance-type conditions, otherwise known as viability cond…