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math.PR2020
On Dynkin Games with Unordered Payoff Processes
Ivan Guo
A Dynkin game is a zero-sum, stochastic stopping game between two players where either player can stop the game at any time for an observable payoff. Typically the payoff process o…
math.PR2018
Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives
Ivan Guo, Gregoire Loeper
In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting. Instead of the classical constraints on marginal distributions,…