3 citations · 3 across the 1 of their papers we have counts for
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★ 3 cited
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…