Related papers: Stability of the Weak Martingale Optimal Transport…
We study the stability of entropically regularized optimal transport with respect to the marginals. Given marginals converging weakly, we establish a strong convergence for the Schr\"odinger potentials describing the density of the optimal…
We study the entropic regularizations of optimal transport problems under suitable summability assumptions on the point-wise transport cost. These summability assumptions already appear in the literature. However, we show that the weakest…
Change of numeraire is a classical tool in mathematical finance. Campi-Laachir-Martini established its applicability to martingale optimal transport. We note that the results of Campi-Laachir-Martini extend to the case of weak martingale…
We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of…
Multimarginal optimal transport (MOT) has emerged as a useful framework for many applied problems. However, compared to the well-studied classical two-marginal optimal transport theory, analysis of MOT is far more challenging and remains…
We consider a non-stationary variant of a sequential stochastic optimization problem, in which the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said…
Given the marginal distribution information of the underlying asset price at two future times $T_1$ and $T_2$, we consider the problem of determining a model-free upper bound on the price of a class of American options that must be…
Entropic optimal transport (EOT) in continuous spaces with quadratic cost is a classical tool for solving the domain translation problem. In practice, recent approaches optimize a weak dual EOT objective depending on a single potential, but…
During recent decades, there has been a substantial development in optimal mass transport theory and methods. In this work, we consider multi-marginal problems wherein only partial information of each marginal is available, which is a setup…
Stability of the value function and the set of minimizers w.r.t. the given data is a desirable feature of optimal transport problems. For the classical Kantorovich transport problem, stability is satisfied under mild assumptions and in…
We study the quantitative stability of the mapping that to a measure associates its pushforward measure by a fixed (non-smooth) optimal transport map. We exhibit a tight H\"older-behavior for this operation under minimal assumptions. Our…
The magnetic-Rayleigh--Taylor (MRT) instability is a ubiquitous phenomenon that occurs in magnetically-driven Z-pinch implosions. It is important to understand this instability since it can decrease the performance of such implosions. In…
We study the problem of stopping a Brownian motion at a given distribution $\nu$ while optimizing a reward function that depends on the (possibly randomized) stopping time and the Brownian motion. Our first result establishes that the set…
We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…
We study a single-period optimal transport problem on $\mathbb{R}^2$ with a covariance-type cost function $c(x,y) = (x_1-y_1)(x_2-y_2)$ and a backward martingale constraint. We show that a transport plan $\gamma$ is optimal if and only if…
The martingale part in the semimartingale decomposition of a Brownian motion with respect to an enlargement of its filtration, is an anticipative mapping of the given Brownian motion. In analogy to optimal transport theory, we define causal…
In this paper, we address the numerical solution to the multimarginal optimal transport (MMOT) with pairwise costs. MMOT, as a natural extension from the classical two-marginal optimal transport, has many important applications including…
Transport systems on networks are crucial in various applications, but face a significant risk of being adversely affected by unforeseen circumstances such as disasters. The application of entropy-regularized optimal transport (OT) on graph…
The optimal weak transport problem has recently been introduced by Gozlan et.\ al. We provide general existence and duality results for these problems on arbitrary Polish spaces, as well as a necessary and sufficient optimality criterion in…
We give explicit solutions for utility maximization of terminal wealth problem $u(X_T)$ in the presence of Knightian uncertainty in continuous time $[0,T]$ in a complete market. We assume there is uncertainty on both drift and volatility of…