2 papers
stat.ML2025
Forward Reverse Kernel Regression for the Schrödinger bridge problem
Denis Belomestny, John. Schoenmakers
In this paper, we study the Schrödinger Bridge Problem (SBP), which is central to entropic optimal transport. For general reference processes and begin--endpoint distributions, we…
q-fin.MF2025
Primal and dual optimal stopping with signatures
Christian Bayer, Luca Pelizzari, John Schoenmakers
We propose two signature-based methods to solve the optimal stopping problem - that is, to price American options - in non-Markovian frameworks. Both methods rely on a global appro…