6 papers · 1 filter
Generalized specific entropy on Wiener space with application to Martingale Optimal Transport
Francois Buet-Golfouse, Anaïs Després, Zhenjie Ren +1
Classical entropy regularization is poorly suited to continuous-time martingale transport, since relative entropy between diffusion laws typically forces their volatility character…
Scaling Limits for Exponential Hedging in the Brownian Framework
Yan Dolinksy, Xin Zhang
In this paper, we consider scaling limits of exponential utility indifference prices for European contingent claims in the Bachelier model. We show that the scaling limit can be re…
The Wasserstein Space of Stochastic Processes in Continuous Time
Daniel Bartl, Mathias Beiglböck, Gudmund Pammer +2
Researchers from different areas have independently defined extensions of the usual weak convergence of laws of stochastic processes with the goal of adequately accounting for the…
Exciting games and Monge-Ampère equations
Julio Backhoff, Zhizhang Wang, Xin Zhang
We consider a competition between players, and aim to identify the "most exciting game'' of this kind. This is translated, mathematically, into a stochastic optimization prob…
Specific Wasserstein divergence between continuous martingales
Julio Backhoff-Veraguas, Xin Zhang
Defining a divergence between the laws of continuous martingales is a delicate task, owing to the fact that these laws tend to be singular to each other. An important idea, put for…
Representing General Stochastic Processes as Martingale Laws
Mathias Beiglböck, Gudmund Pammer, Stefan Schrott +1
Random variables , are 'probabilistically equivalent' if they have the same law. Moreover, in any class of equivalent random variables it is easy to select canonical r…