3 papers
math.PR2026
Exponential Convergence of the Sinkhorn Algorithm for the Schrödinger Bridge with Regime Switching
Katharina Eichinger, Anna Kazeykina, Zhenjie Ren +1
This paper studies the convergence of the Sinkhorn algorithm for the Schrödinger bridge problem with regime switching, as introduced in Zlotchevski and Chen (2025). We consider a c…
math.OC2025
Entropic Optimal Transport Problem with Convex Functional Cost
Anna Kazeykina, Zhenjie Ren, Xiaozhen Wang +1
We study an entropic optimal transport problem in which the transport plan is penalized by a nonlinear convex functional acting on the coupling. We establish existence, uniqueness,…
math.OC2024
Deciding Bank Interest Rates -- A Major-Minor Impulse Control Mean-Field Game Perspective
Fan Chen, Nicholas Martin, Po-Yu Chen +3
Deciding bank interest rates has been a long-standing challenge in finance. It is crucial to ensure that the selected rates balance market share and profitability. However, traditi…