121 citations · 301 across the 31 of their papers we have counts for
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math.PR2013★ 121 cited
Optimal transportation under controlled stochastic dynamics
Xiaolu Tan, Nizar Touzi
We consider an extension of the Monge-Kantorovitch optimal transportation problem. The mass is transported along a continuous semimartingale, and the cost of transportation depends…
math.PR2013★ 10 cited
Weak approximation of second-order BSDEs
Dylan Possamaï, Xiaolu Tan
We study the weak approximation of the second-order backward SDEs (2BSDEs), when the continuous driving martingales are approximated by discrete time martingales. We establish a co…