2 papers
math.PR2016
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
Beatrice Acciaio, Julio Backhoff Veraguas, Anastasiia Zalashko
The martingale part in the semimartingale decomposition of a Brownian motion with respect to an enlargement of its filtration, is an anticipative mapping of the given Brownian moti…
math.OC2016
Causal transport in discrete time and applications
Julio Backhoff Veraguas, Mathias Beiglböck, Yiqing Lin +1
Loosely speaking, causal transport plans are a relaxation of adapted processes in the same sense as Kantorovich transport plans extend Monge-type transport maps. The corresponding…