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math.PR2024
Convergence of Sinkhorn's Algorithm for Entropic Martingale Optimal Transport Problem
Fan Chen, Giovanni Conforti, Zhenjie Ren +1
In this paper, we study the Entropic Martingale Optimal Transport (EMOT) problem on \mathbb{R}. The investigation of the EMOT problem arises in the calibration problem of the Stoch…
math.PR2022
Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton Jacobi Bellman equations
Giovanni Conforti
We investigate the long time behavior of weakly dissipative semilinear Hamilton-Jacobi-Bellman (HJB) equations and the turnpike property for the corresponding stochastic control pr…