5 citations · 13 across the 6 of their papers we have counts for
6 papers
Talagrand-type transport inequalities for path spaces over Carnot groups
Peter K. Friz, Helena Kremp, Vaios Laschos +2
We consider Talagrand-type transportation inequalities for the law of Brownian motion on Carnot groups. An important example is the lift of standard Brownian motion to the Brownian…
Bicausal optimal transport for SDEs with irregular coefficients
Michaela Hitz, Benjamin A. Robinson
We solve constrained optimal transport problems in which the marginal laws are given by the laws of solutions of stochastic differential equations (SDEs). We consider SDEs with irr…
A regularized Kellerer theorem in arbitrary dimension
Gudmund Pammer, Benjamin A. Robinson, Walter Schachermayer
We present a multidimensional extension of Kellerer's theorem on the existence of mimicking Markov martingales for peacocks, a term derived from the French for stochastic processes…
Adapted Wasserstein distance between the laws of SDEs
Julio Backhoff-Veraguas, Sigrid Källblad, Benjamin A. Robinson
We consider the bicausal optimal transport problem between the laws of scalar time-homogeneous stochastic differential equations, and we establish the optimality of the synchronous…
SDEs with no strong solution arising from a problem of stochastic control
Alexander M. G. Cox, Benjamin A. Robinson
We study a two-dimensional stochastic differential equation that has a unique weak solution but no strong solution. We show that this SDE shares notable properties with Tsirelson's…
Optimal control of martingales in a radially symmetric environment
Alexander M. G. Cox, Benjamin A. Robinson
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explic…