Showing 2024Show all
2 papers · 1 filter
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…
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…