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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.OC2025
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…
math.PR2025
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…