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math.PR2024
Causal transport on path space
Rama Cont, Fang Rui Lim
We study properties of causal couplings for probability measures on the space of continuous functions. We first provide a characterization of bicausal couplings between weak soluti…
math.PR2012★ 7 cited
Short-time asymptotics for marginal distributions of semimartingales
Amel Bentata, Rama Cont
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymp…
math.PR2010
Change of variable formulas for non-anticipative functionals on path space
Rama Cont, David-Antoine Fournie
We derive a functional change of variable formula for {\it non-anticipative} functionals defined on the space of right continuous paths with left limits. The functional is only req…