3 papers
math.PR2016
Geometry of Distribution-Constrained Optimal Stopping Problems
Mathias Beiglboeck, Manu Eder, Christiane Elgert +1
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the…
q-fin.MF2015
Itô's formula for finite variation Lévy processes: The case of non-smooth functions
Ramin Okhrati, Uwe Schmock
Extending Itô's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-Itô, applies to on…
math.PR2007
Non-monotone convergence in the quadratic Wasserstein distance
Walter Schachermayer, Uwe Schmock, Josef Teichmann
We give an easy counter-example to Problem 7.20 from C. Villani's book on mass transport: in general, the quadratic Wasserstein distance between -fold normalized convolutions of…