2 papers
math.OC2025
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…
math.AP2022
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…