6 citations · 10 across the 3 of their papers we have counts for
6 papers
Geometrical bounds for the variance and recentered moments
Tongseok Lim, Robert J. McCann
We bound the variance and other moments of a random vector based on the range of its realizations, thus generalizing inequalities of Popoviciu (1935) and Bhatia and Davis (2000) co…
Robust pricing and hedging of options on multiple assets and its numerics
Stephan Eckstein, Gaoyue Guo, Tongseok Lim +1
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-margin…
Uniqueness and characterization of local minimizers for the interaction energy with mildly repulsive potentials
Kyungkeun Kang, Hwa Kil Kim, Tongseok Lim +1
In this paper, we are concerned with local minimizers of an interaction energy governed by repulsive-attractive potentials of power-law type in one dimension. We prove that sum of…
Optimal Brownian stopping when the source and target are radially symmetric distributions
Nassif Ghoussoub, Young-Heon Kim, Tongseok Lim
Given two probability measures on , in subharmonic order, we describe optimal stopping times that maximize/minimize the cost functional $\mathbb{E} |B_0 -…
Optimal Brownian Stopping between radially symmetric marginals in general dimensions
Nassif Ghoussoub, Young-Heon Kim, Tongseok Lim
Given an initial (resp., terminal) probability measure (resp., ) on , we characterize those optimal stopping times that maximize or minimize the functional…
Dual attainment for the martingale transport problem
Mathias Beiglboeck, Tongseok Lim, Jan Obłój
We investigate existence of dual optimizers in one-dimensional martingale optimal transport problems. While [BNT16] established such existence for weak (quasi-sure) duality, [BHP13…