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math.OC2026
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…
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…