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math.ST2026
Identifying the Predictable Drift of a Semimartingale from Marginal Laws
Jakub Marecek, Enrico Biffis, Abigail Langbridge +1
A special semimartingale admits a unique decomposition into a local martingale and a predictable finite-variation part . We consider the identification of wh…
math.OC2026
Sinkhorn-Knopp balancing with generalised martingale-type constraints
Abigail Langbridge, Martin Corless, Robert Shorten
We consider the problem of optimally distributing resources from a set of suppliers to a set of consumers in the presence of general transportation constraints, and including heter…