142 citations · 230 across the 39 of their papers we have counts for
3 papers · 1 filter
Convergence of Optimal Expected Utility for a Sequence of Binomial Models
Friedrich Hubalek, Walter Schachermayer
We analyze the convergence of expected utility under the approximation of the Black-Scholes model by binomial models. In a recent paper by D. Kreps and W. Schachermayer a surprisin…
A trajectorial approach to the gradient flow properties of Langevin-Smoluchowski diffusions
Ioannis Karatzas, Walter Schachermayer, Bertram Tschiderer
We revisit the variational characterization of conservative diffusion as entropic gradient flow and provide for it a probabilistic interpretation based on stochastic calculus. It w…
Trajectorial dissipation and gradient flow for the relative entropy in Markov chains
Ioannis Karatzas, Jan Maas, Walter Schachermayer
We study the temporal dissipation of variance and relative entropy for ergodic Markov Chains in continuous time, and compute explicitly the corresponding dissipation rates. These a…