5 citations · 13 across the 6 of their papers we have counts for
3 papers · 1 filter
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…