2 papers
math.PR2024
Information-Based Martingale Optimal Transport
Georges Kassis, Andrea Macrina
Randomised arcade processes are a class of continuous stochastic processes that interpolate in a strong sense, i.e., omega by omega, between any given ordered set of random variabl…
math.PR2024
The Quadratic Variation of Gauss-Markov Semimartingales
Georges Kassis
The covariance function of a Gauss-Markov process evaluated at points admits a representation as a product of a function of and a function of . We ca…