6 citations · 12 across the 5 of their papers we have counts for
5 papers
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Christoph Czichowsky, Rémi Peyre, Walter Schachermayer +1
We continue the analysis of our previous paper (Czichowsky/Schachermayer/Yang 2014) pertaining to the existence of a shadow price process for portfolio optimisation under proportio…
No simple arbitrage for fractional Brownian motion
Rémi Peyre
We prove the following result: For a fractional Brownian motion with arbitrary Hurst parameter, there does not exist any stopping time adapted to the…
Comparison between distance and norm, and localisation of Wasserstein distance
Rémi Peyre
It is well known that the quadratic Wasserstein distance is formally equivalent, for infinitesimally small pertur…
Tensorizing maximal correlations
Remi Peyre
The maximal (or Hilbertian) correlation coefficient between two random variables X and Y, denoted by \{X:Y\}, is the supremum of the |Corr(f(X),g(Y))| for real measurable functions…
Some ideas about quantitative convergence of collision models to their mean field limit
Remi Peyre
We consider a stochastic -particle model for the spatially homogeneous Boltzmann evolution and prove its convergence to the associated Boltzmann equation when . For…