Ze-An Ng

collaborators

3 papers

math.CA2026

A universal support theorem for 1-Wasserstein optimal transport

Ze-An Ng

We show that every optimal transport plan for the $1$ -Wasserstein distance in $R^{n}$ is supported on a closed $n + 1$ rectifiable set. In particular, the support of any optima…

math.PR2026

Extreme value theory for geometric Brownian motion and pricing of short maturity options

Ze-An Ng

We investigate the limiting distribution of geometric Brownian motion conditional on its running maximum taking large values. The Freidlin-Wentzell large deviations theory predicts…

math.CA2026

On equality of the $L^{\infty}$ norm of the gradient under the Hausdorff and Lebesgue measure

Ze-An Ng

Let $I^c ◯$ be an open subset of $R^{n}$ , and let $f : I^c ◯ \to R$ be differentiable $H^{k}$ -almost everywhere, for some nonnegative integer $k < n$ , where $\mathcal…

A universal support theorem for 1-Wasserstein optimal transport

Extreme value theory for geometric Brownian motion and pricing of short maturity options

On equality of the L∞ norm of the gradient under the Hausdorff and Lebesgue measure

On equality of the $L^{\infty}$ norm of the gradient under the Hausdorff and Lebesgue measure