Related papers: Shadows and Barriers
Let $W$ be a standard Brownian motion with $W_0 = 0$ and let $b\colon[0,\infty) \to \mathbb{R}$ be a continuous function with $b(0) > 0$. In this article, we look at the classical First Passage Time (FPT) problem, i.e., the question of…
We present an explicit solution to the Skorokhod embedding problem for spectrally negative L\'evy processes. Given a process $X$ and a target measure $\mu$ satisfying an explicit admissibility condition we define functions $\f_\pm$ such…
We prove a strong duality result for a linear programming problem which has the interpretation of being a discretised optimal Skorokhod embedding problem, and we recover this continuous time problem as a limit of the discrete problems. With…
In classical optimal transport, the contributions of Benamou$-$Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical…
We provide a solution to the problem of optimal transport by Brownian martingales in general dimensions whenever the transport cost satisfies certain subharmonic properties in the target variable, as well as a stochastic version of the…
The conformal Skorokhod embedding problem (CSEP) is a planar variant of the classical problem where the solution is now a simply connected domain $D\subset\mathbb{C}$ whose exit time embeds a given probability distribution $\mu$ by…
A linear implicit finite difference method is proposed for the approximation of the solution to a periodic, initial value problem for a Schrodinger-Hirota equation. Optimal, second order convergence in the discrete $H^1-$norm is proved,…
We study the tunnelling trough a potential barrier of the system of two quantum correlated particles. The system is considered in one dimension. The interaction with the barrier and between particles is approximated by $\delta$-potentials.…
We develop a numerical method for the martingale analogue of the Benamou--Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which is closest to the Brownian motion. Recent contributions have…
This paper studies a variant of ramified/branched optimal transportation problems. Given the distributions of production capacities and market sizes, a firm looks for an allocation of productions over factories, a distribution of sales…
Let $(X_n \colon n\in\Z)$ be a two-sided recurrent Markov chain with fixed initial state $X_0$ and let $\nu$ be a probability measure on its state space. We give a necessary and sufficient criterion for the existence of a non-randomized…
Given two matroids $\mathcal{M}_{1} = (E, \mathcal{B}_{1})$ and $\mathcal{M}_{2} = (E, \mathcal{B}_{2})$ on a common ground set $E$ with base sets $\mathcal{B}_{1}$ and $\mathcal{B}_{2}$, some integer $k \in \mathbb{N}$, and two cost…
We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different compensator for the point process, and thus by a different…
One of aims of this note is to capture the interest of the mathematical community to a novel transformation, which we shall call Brownian symmetrization. This transformation arises from the solution of the planar Skorokhod embedding…
We present a numerical framework for approximating the $\mu$-domain in the planar Skorokhod embedding problem PSEP, recently introduced in \cite{gross2019}. We show that under weak convergence of a sequence of probability measures…
Replacing positivity constraints by an entropy barrier is popular to approximate solutions of linear programs. In the special case of the optimal transport problem, this technique dates back to the early work of Schr\"odinger. This approach…
Given a survival distribution on the positive half-axis and a Brownian motion, a solution of the inverse first-passage problem consists of a boundary so that the first passage time over the boundary has the given distribution. We show that…
We solve an optimal stopping problem where the underlying diffusion is Brownian motion on $\bf R$ with a positive drift changing at zero. It is assumed that the drift $\mu_1$ on the negative side is smaller than the drift $\mu_2$ on the…
In this paper, we provide an alternative proof of the monotonicity principle for the optimal Skorokhod embedding problem established by Beiglb\"ock, Cox and Huesmann. This principle presents a geometric characterization that reflects the…
We identify the integrable stopping time $\tau_*$ with minimal $L^1$-distance to the last-passage time $\gamma_z$ to a given level $z>0$, for an arbitrary non-negative time-homogeneous transient diffusion $X$. We demonstrate that $\tau_*$…